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
62,729
2.
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 NYU - Courant Institute of Mathematical Sciences
Downloads
57,656
3.
The Capital Asset Pricing Model: Theory and Evidence
Number of pages: 35
Posted: 16 Sep 2003
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
46,740
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
44,261
5.
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
43,744
6.
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
38,938
7.
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
38,220
8.
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
37,834
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
37,834
9.
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, Harvard Law School 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
34,982
What Matters in Corporate Governance?
The Review of Financial Studies, Vol. 22, Issue 2, pp. 783-827, 2009
Posted: 25 Jan 2009
Downloads
34,982
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
32,154
11.
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
31,682
12.
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
30,230
13.
How Active is Your Fund Manager? A New Measure That Predicts Performance
AFA 2007 Chicago Meetings Paper, EFA 2007 Ljubljana Meetings Paper, Yale ICF Working Paper No. 06-14
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, EFA 2007 Ljubljana Meetings Paper, Yale ICF Working Paper No. 06-14
Number of pages: 47
Posted: 21 Mar 2006
Last Revised: 09 Feb 2019
Downloads
28,290
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
28,290
14.
Facts and Fantasies About Commodity Futures
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
Number of pages: 41
Posted: 29 Jun 2004
Downloads
27,704
Facts and Fantasies About Commodity Futures
NBER Working Paper No. w10595
Number of pages: 41
Posted: 25 May 2006
Last Revised: 14 Jun 2021
Downloads
811
Facts and Fantasies About Commodity Futures
Financial Analysts Journal, Vol. 62, No. 2, pp. 47-68, April 2006
Posted: 23 May 2006
Downloads
27,704
15.
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
27,439
16.
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: 10 Sep 2020
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
27,298
17.
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
27,061
18.
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
IESE Business School, IESE Business School and IESE
Downloads
25,798
19.
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
25,460
The Golden Dilemma
NBER Working Paper No. w18706
Number of pages: 49
Posted: 18 Jan 2013
Last Revised: 11 Feb 2021
Downloads
222
Downloads
25,460
20.
Understanding Modern Portfolio Construction
Number of pages: 46
Posted: 03 Mar 2016
Last Revised: 22 Sep 2016
Working Paper Series
Orcam Financial Group
Downloads
25,207
21.
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
24,988
22.
The Intuition Behind Black-Litterman Model Portfolios
Number of pages: 27
Posted: 28 Oct 2002
Working Paper Series
Independent and Kepos Capital
Downloads
24,094
23.
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
23,843
24.
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
23,267
25.
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
20,308
26.
The Equity Premium
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
Downloads
19,605
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
19,433
28.
Equity Risk Premiums: Determinants, Estimation and Implications - The 2020 Edition
NYU Stern School of Business
Number of pages: 143
Posted: 19 Mar 2020
Working Paper Series
New York University - Stern School of Business
Downloads
19,384
29.
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
19,053
30.
Risk Management for Hedge Funds: Introduction and Overview
Number of pages: 36
Posted: 13 Sep 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
There are 2 versions of this paper
Risk Management for Hedge Funds: Introduction and Overview
Number of pages: 36
Posted: 13 Sep 2001
Downloads
18,227
Downloads
18,227
31.
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
IESE Business School
Downloads
18,112
32.
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 - Tilburg University School of Economics and Management, 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
17,364
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
17,364
33.
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
16,942
Size Matters, If You Control Your Junk
CEPR Discussion Paper No. DP12684
Number of pages: 62
Posted: 14 Feb 2018
Downloads
8
Downloads
16,942
34.
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
16,661
35.
Country Risk: Determinants, Measures and Implications – The 2020 Edition
NYU Stern School of Business
Number of pages: 125
Posted: 27 Jul 2020
Working Paper Series
New York University - Stern School of Business
Downloads
16,567
36.
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
16,478
37.
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
16,435
38.
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
16,409
39.
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
IESE Business School
Downloads
16,179
40.
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) - Laboratory for Financial Engineering
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
15,580
What Happened to the Quants in August 2007?
Journal of Investment Management, Vol. 5, No. 4, Fourth Quarter 2007
Posted: 17 Jan 2008
Downloads
15,580
41.
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
IESE Business School
Downloads
15,438
42.
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
15,269
43.
The Theory and Practice of Corporate Finance: Evidence from the Field
Number of pages: 48
Posted: 12 Apr 2000
Working Paper Series
Duke University and Duke University - Fuqua School of Business
Downloads
15,264
44.
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
15,160
45.
Market Risk Premium and Risk-Free Rate Used for 69 Countries in 2019: A Survey
Number of pages: 15
Posted: 18 Apr 2019
Last Revised: 26 May 2019
Working Paper Series
IESE Business School, University of Navarra, IESE Business School and University of Navarra - University of Navarra, Students
Downloads
15,121
46.
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
15,071
47.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2019 Edition
NYU Stern School of Business
Number of pages: 135
Posted: 29 May 2019
Working Paper Series
New York University - Stern School of Business
Downloads
15,031
48.
Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks
2016 Charles H. Dow Award
Updated Through December 31, 2020
Number of pages: 24
Posted: 07 Mar 2016
Last Revised: 09 Feb 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads
14,733
49.
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
14,636
50.
CAPM: An Absurd Model
Number of pages: 17
Posted: 07 Oct 2014
Last Revised: 26 May 2019
Working Paper Series
IESE Business School
Downloads
14,411
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