1.
A Five-Factor Asset Pricing Model
Fama-Miller Working Paper
Number of pages: 52
Posted: 30 Jun 2013
Last Revised: 23 Sep 2014
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
52,226
2.
The Capital Asset Pricing Model: Theory and Evidence
CRSP Working Paper No. 550; Tuck Business School Working Paper No. 03-26
Number of pages: 35
Posted: 16 Sep 2003
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
44,316
3.
We Don't Quite Know What We are Talking About When We Talk About Volatility
Journal of Portfolio Management, Vol. 33, No. 4, 2007
Number of pages: 8
Posted: 14 Mar 2007
Last Revised: 14 Dec 2017
Accepted Paper Series
Microsoft Research New York City and New York University (NYU) - NYU Tandon School of Engineering
Downloads
37,020
4.
Is Bitcoin Really Un-Tethered?
Number of pages: 119
Posted: 25 Jun 2018
Last Revised: 05 Nov 2019
Working Paper Series
University of Texas at Austin - Department of Finance and Ohio State University, Fisher College of Business
Downloads
35,787
5.
101 Formulaic Alphas
Wilmott Magazine 2016(84) (2016) 72-80
Number of pages: 22
Posted: 10 Dec 2015
Last Revised: 29 Jul 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads
33,945
6.
Pairs Trading: Performance of a Relative Value Arbitrage Rule
Yale ICF Working Paper No. 08-03
Number of pages: 47
Posted: 28 Dec 1998
Last Revised: 24 Jan 2008
Working Paper Series
Simon Fraser University, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance
There are 2 versions of this paper
Pairs Trading: Performance of a Relative Value Arbitrage Rule
Yale ICF Working Paper No. 08-03
Number of pages: 47
Posted: 28 Dec 1998
Last Revised: 24 Jan 2008
Downloads
33,749
Pairs Trading: Performance of a Relative-Value Arbitrage Rule
The Review of Financial Studies, Vol. 19, Issue 3, pp. 797-827, 2006
Posted: 29 Feb 2008
Downloads
33,749
7.
Tesla: Anatomy of a Run-Up Value Creation or Investor Sentiment?
Number of pages: 46
Posted: 28 Apr 2014
Working Paper Series
Anderson Graduate School of Management, UCLA and New York University - Stern School of Business
Downloads
33,581
8.
What Matters in Corporate Governance?
Review of Financial Studies, Vol. 22, No. 2, pp. 783-827, February 2009, Harvard Law School John M. Olin Center Discussion Paper No. 491 (2004)
Number of pages: 61
Posted: 21 Sep 2004
Last Revised: 17 Apr 2009
Accepted Paper Series
Harvard Law School, Tel Aviv University - Eitan Berglas School of Economics and Harvard Law School
There are 2 versions of this paper
What Matters in Corporate Governance?
Review of Financial Studies, Vol. 22, No. 2, pp. 783-827, February 2009, Harvard Law School John M. Olin Center Discussion Paper No. 491 (2004)
Number of pages: 61
Posted: 21 Sep 2004
Last Revised: 17 Apr 2009
Downloads
33,478
What Matters in Corporate Governance?
The Review of Financial Studies, Vol. 22, Issue 2, pp. 783-827, 2009
Posted: 25 Jan 2009
Downloads
33,478
9.
Global Value: Building Trading Models with the 10 Year CAPE
Cambria Quantitative Research, No. 5, August 2012
Number of pages: 15
Posted: 21 Aug 2012
Last Revised: 13 Sep 2012
Accepted Paper Series
Cambria Investment Management
Downloads
30,659
10.
Corporate Governance and Firm Performance
Number of pages: 53
Posted: 27 Sep 2004
Working Paper Series
Temple University - Department of Accounting and Kennesaw State University
Downloads
29,792
11.
151 Trading Strategies
Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 361
Posted: 13 Sep 2018
Last Revised: 16 Sep 2019
Accepted Paper Series
Quantigic Solutions LLC and University of CEMA
Downloads
27,924
12.
Facts and Fantasies About Commodity Futures
Yale ICF Working Paper No. 04-20
Number of pages: 41
Posted: 29 Jun 2004
Working Paper Series
Yale School of Management and Yale School of Management - International Center for Finance
There are 3 versions of this paper
Facts and Fantasies About Commodity Futures
Yale ICF Working Paper No. 04-20
Number of pages: 41
Posted: 29 Jun 2004
Downloads
27,302
Facts and Fantasies About Commodity Futures
NBER Working Paper No. w10595
Number of pages: 41
Posted: 25 May 2006
Downloads
761
Facts and Fantasies About Commodity Futures
Financial Analysts Journal, Vol. 62, No. 2, pp. 47-68, April 2006
Posted: 23 May 2006
Downloads
27,302
13.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2013 Edition
Number of pages: 114
Posted: 24 Mar 2013
Working Paper Series
New York University - Stern School of Business
Downloads
27,069
14.
Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay
Number of pages: 33
Posted: 04 Apr 2013
Last Revised: 13 Jun 2015
Working Paper Series
Portfolio Management Consultants
Downloads
26,867
15.
How Active is Your Fund Manager? A New Measure That Predicts Performance
AFA 2007 Chicago Meetings Paper, Yale ICF Working Paper No. 06-14, EFA 2007 Ljubljana Meetings Paper
Number of pages: 47
Posted: 21 Mar 2006
Last Revised: 09 Feb 2019
Accepted Paper Series
University of Notre Dame and New York University (NYU) - Department of Finance
There are 2 versions of this paper
How Active is Your Fund Manager? A New Measure That Predicts Performance
AFA 2007 Chicago Meetings Paper, Yale ICF Working Paper No. 06-14, EFA 2007 Ljubljana Meetings Paper
Number of pages: 47
Posted: 21 Mar 2006
Last Revised: 09 Feb 2019
Downloads
26,694
How Active is Your Fund Manager? A New Measure that Predicts Performance
The Review of Financial Studies, Vol. 22, Issue 9, pp. 3329-3365, 2009
Posted: 08 Sep 2009
Downloads
26,694
16.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2015 Edition
Number of pages: 120
Posted: 21 Mar 2015
Working Paper Series
New York University - Stern School of Business
Downloads
25,995
17.
Market Risk Premium Used in 82 Countries in 2012: A Survey with 7,192 Answers
IESE Business School Working Paper No. WP-1059-E
Number of pages: 18
Posted: 16 Jun 2012
Last Revised: 12 Oct 2017
Working Paper Series
University of Navarra - IESE Business School, IESE Business School and IESE
Downloads
25,570
18.
The Golden Dilemma
Financial Analysts Journal, vol. 69, no. 4 (July/August 2013) 10-42.
Number of pages: 48
Posted: 06 Jun 2012
Last Revised: 28 Aug 2015
Accepted Paper Series
TR and Duke University - Fuqua School of Business
There are 2 versions of this paper
The Golden Dilemma
Financial Analysts Journal, vol. 69, no. 4 (July/August 2013) 10-42.
Number of pages: 48
Posted: 06 Jun 2012
Last Revised: 28 Aug 2015
Downloads
23,617
Downloads
157
Downloads
23,617
19.
Economic Consequences of Financial Reporting and Disclosure Regulation: A Review and Suggestions for Future Research
Number of pages: 91
Posted: 13 Mar 2008
Last Revised: 07 May 2008
Working Paper Series
University of Chicago - Booth School of Business and Boston University Questrom School of Business
Downloads
22,961
20.
The Black-Litterman Model in Detail
Number of pages: 65
Posted: 28 Jan 2009
Last Revised: 23 Jun 2014
Working Paper Series
Boston University - Metropolitan College - Department of Computer Science
Downloads
22,664
21.
Country Risk: Determinants, Measures and Implications - The 2015 Edition
Number of pages: 97
Posted: 15 Jul 2015
Last Revised: 01 Aug 2015
Working Paper Series
New York University - Stern School of Business
Downloads
22,635
22.
Understanding Modern Portfolio Construction
Number of pages: 46
Posted: 03 Mar 2016
Last Revised: 22 Sep 2016
Working Paper Series
Orcam Financial Group
Downloads
22,451
23.
The Intuition Behind Black-Litterman Model Portfolios
Number of pages: 27
Posted: 28 Oct 2002
Working Paper Series
Independent and Kepos Capital
Downloads
20,908
24.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2016 Edition
Number of pages: 136
Posted: 05 Mar 2016
Working Paper Series
New York University - Stern School of Business
Downloads
19,244
25.
The Equity Premium
EFMA 2001 Lugano Meetings; CRSP Working Paper No. 522
Number of pages: 29
Posted: 20 Jul 2000
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
There are 2 versions of this paper
The Equity Premium
EFMA 2001 Lugano Meetings; CRSP Working Paper No. 522
Number of pages: 29
Posted: 20 Jul 2000
Downloads
19,230
Downloads
19,230
26.
The Worldwide Equity Premium: A Smaller Puzzle
Chapter 11 of R Mehra (Ed), Handbook of the Equity Risk Premium. Elsevier, 2008, pages 467–514, AFA 2008 New Orleans Meetings Paper; EFA 2006 Zurich Meetings Paper,
Number of pages: 41
Posted: 17 Mar 2006
Last Revised: 20 Mar 2016
Accepted Paper Series
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads
18,511
27.
…and the Cross-Section of Expected Returns
Number of pages: 101
Posted: 17 Apr 2013
Last Revised: 21 Apr 2015
Working Paper Series
Duke University - Fuqua School of Business, Purdue University and University of Oklahoma
Downloads
18,217
28.
Risk Management for Hedge Funds: Introduction and Overview
Number of pages: 36
Posted: 13 Sep 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Risk Management for Hedge Funds: Introduction and Overview
Number of pages: 36
Posted: 13 Sep 2001
Downloads
17,695
Risk Management for Hedge Funds: Introduction and Overview
Financial Analysts Journal, Vol. 57, No. 6, November/December 2001
Posted: 31 Jul 2001
Downloads
17,695
29.
Valuation Using Multiples: Dispersion. Useful to compare and to negotiate
Number of pages: 13
Posted: 17 Jul 2001
Last Revised: 26 May 2019
Working Paper Series
University of Navarra - IESE Business School
Downloads
17,681
30.
A Checklist for Reviewing a Paper
Duke I&E Research Paper No. 2017-03, Stanford University Graduate School of Business Research Paper No. 17-6
Number of pages: 2
Posted: 21 Dec 2016
Last Revised: 08 Jan 2017
Working Paper Series
Stanford Graduate School of Business, Duke University - Fuqua School of Business and University of California, Irvine - Paul Merage School of Business
Downloads
16,727
31.
Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes
Number of pages: 33
Posted: 20 May 2019
Last Revised: 20 May 2019
Working Paper Series
Tilburg University - Center and Faculty of Economics and Business Administration, Independent and Rabobank
There are 2 versions of this paper
Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes
Number of pages: 33
Posted: 20 May 2019
Downloads
16,572
Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes
Journal of Wealth Management, Vol. 12, No. 3, pp. 61-77, 2009
Posted: 02 Nov 2009
Downloads
16,572
32.
Fight the Fed Model: The Relationship between Stock Market Yields, Bond Market Yields, and Future Returns
Number of pages: 33
Posted: 23 Mar 2003
Working Paper Series
AQR Capital Management, LLC
Downloads
16,198
33.
Ratio Analysis and Equity Valuation
Number of pages: 68
Posted: 11 May 1999
Working Paper Series
Columbia University - Columbia Business School and Columbia Business School - Department of Accounting
Downloads
15,964
34.
Size Matters, If You Control Your Junk
Fama-Miller Working Paper
Number of pages: 59
Posted: 23 Jan 2015
Last Revised: 16 Apr 2015
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
There are 2 versions of this paper
Size Matters, If You Control Your Junk
Fama-Miller Working Paper
Number of pages: 59
Posted: 23 Jan 2015
Last Revised: 16 Apr 2015
Downloads
15,933
Size Matters, If You Control Your Junk
CEPR Discussion Paper No. DP12684
Number of pages: 62
Posted: 14 Feb 2018
Downloads
7
Downloads
15,933
35.
170 Errores en Valoraciones de Empresas (170 Errors in Company Valuations)
Number of pages: 47
Posted: 14 Feb 2007
Last Revised: 11 May 2017
Working Paper Series
University of Navarra - IESE Business School
Downloads
15,897
36.
Performance of Private Equity Funds
EFA 2005 Moscow Meetings
Number of pages: 50
Posted: 07 Aug 2005
Last Revised: 28 Mar 2008
Working Paper Series
University of Oxford - Said Business School and HEC Paris - Strategy & Business Policy
Downloads
15,876
37.
EVA and Cash Value Added Do NOT Measure Shareholder Value Creation
Number of pages: 10
Posted: 05 Jun 2001
Last Revised: 02 Jun 2019
Working Paper Series
University of Navarra - IESE Business School
Downloads
15,277
38.
What Happened to the Quants in August 2007?
Number of pages: 67
Posted: 21 Sep 2007
Last Revised: 17 Jan 2008
Working Paper Series
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
What Happened to the Quants in August 2007?
Number of pages: 67
Posted: 21 Sep 2007
Last Revised: 17 Jan 2008
Downloads
15,230
What Happened to the Quants in August 2007?
Journal of Investment Management, Vol. 5, No. 4, Fourth Quarter 2007
Posted: 17 Jan 2008
Downloads
15,230
39.
The Crisis of Fair Value Accounting: Making Sense of the Recent Debate
Chicago Booth Research Paper No. 33, Accounting, Organizations and Society, Vol. 34, 2009
Number of pages: 28
Posted: 21 Apr 2009
Accepted Paper Series
Vienna University of Economics and Business and University of Chicago - Booth School of Business
Downloads
14,830
40.
The Theory and Practice of Corporate Finance: Evidence from the Field
AFA 2001 New Orleans; Duke University Working Paper
Number of pages: 48
Posted: 12 Apr 2000
Working Paper Series
Duke University and Duke University - Fuqua School of Business
Downloads
14,632
41.
Risk-Neutral Probabilities Explained
Number of pages: 27
Posted: 27 Apr 2009
Last Revised: 20 Oct 2010
Working Paper Series
affiliation not provided to SSRN
Downloads
14,514
42.
Mean-Reversion and Optimization
Journal of Asset Management 16(1) (2015) 14-40
Number of pages: 41
Posted: 11 Aug 2014
Last Revised: 15 Feb 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads
14,229
43.
CAPM: An Absurd Model
Number of pages: 17
Posted: 07 Oct 2014
Last Revised: 26 May 2019
Working Paper Series
University of Navarra - IESE Business School
Downloads
13,809
44.
Quant Nugget 2: Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management
GARP Risk Professional, pp. 49-51, April 2010
Number of pages: 5
Posted: 09 Apr 2010
Last Revised: 15 Nov 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads
13,461
45.
Size, Value, and Momentum in International Stock Returns
Fama-Miller Working Paper, Tuck School of Business Working Paper No. 2011-85, Chicago Booth Research Paper No. 11-10
Number of pages: 36
Posted: 05 Dec 2010
Last Revised: 23 Jun 2011
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
13,265
46.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2018 Edition
Number of pages: 133
Posted: 19 Mar 2018
Last Revised: 30 Jul 2018
Working Paper Series
New York University - Stern School of Business
Downloads
12,831
47.
Global Accounting Convergence and the Potential Adoption of IFRS by the United States: An Analysis of Economic and Policy Factors
Number of pages: 104
Posted: 11 Mar 2009
Working Paper Series
University of Pennsylvania - The Wharton School, University of Chicago - Booth School of Business and Boston University Questrom School of Business
There are 2 versions of this paper
Global Accounting Convergence and the Potential Adoption of IFRS by the United States: An Analysis of Economic and Policy Factors
Number of pages: 104
Posted: 11 Mar 2009
Downloads
12,600
Global Accounting Convergence and the Potential Adoption of IFRS by the U.S. (Part I): Conceptual Underpinnings and Economic Analysis
Accounting Horizons, Vol. 24, No. 3, pp. 355-394, 2010
Posted: 10 Sep 2010
Downloads
12,600
48.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2011 Edition
Number of pages: 95
Posted: 24 Feb 2011
Last Revised: 02 Jun 2011
Working Paper Series
New York University - Stern School of Business
Downloads
12,509
49.
Slapped in the Face by the Invisible Hand: Banking and the Panic of 2007
Number of pages: 53
Posted: 18 May 2009
Working Paper Series
Yale School of Management
Downloads
12,250
50.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2017 Edition
Number of pages: 141
Posted: 07 Apr 2017
Working Paper Series
New York University - Stern School of Business
Downloads
12,186
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.