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
68,998
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
66,696
3.
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
48,522
4.
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
48,094
5.
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
48,076
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
40,864
7.
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
39,674
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
39,674
8.
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
38,849
9.
The Best Strategies for Inflationary Times
Number of pages: 32
Posted: 29 Mar 2021
Last Revised: 25 May 2021
Working Paper Series
Man Group, Man Group, affiliation not provided to SSRN, Duke University - Fuqua School of Business and Man AHL
Downloads
37,541
10.
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
35,868
What Matters in Corporate Governance?
The Review of Financial Studies, Vol. 22, Issue 2, pp. 783-827, 2009
Posted: 25 Jan 2009
Downloads
35,868
11.
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
33,984
12.
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
32,161
13.
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
31,956
14.
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 Marshall School of Business, USC
Downloads
31,531
15.
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
29,433
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
29,433
16.
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
28,091
Facts and Fantasies About Commodity Futures
NBER Working Paper No. w10595
Number of pages: 41
Posted: 25 May 2006
Last Revised: 15 Jun 2022
Downloads
840
Facts and Fantasies About Commodity Futures
Financial Analysts Journal, Vol. 62, No. 2, pp. 47-68, April 2006
Posted: 23 May 2006
Downloads
28,091
17.
Deep Reinforcement Learning for Portfolio Allocation
Risk Magazine Global Quant Network 2021
Number of pages: 26
Posted: 12 Aug 2021
Accepted Paper Series
Societe Generale and Université Paris Dauphine
Downloads
27,946
18.
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
27,696
19.
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
27,533
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
26,867
21.
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
26,732
The Golden Dilemma
NBER Working Paper No. w18706
Number of pages: 49
Posted: 18 Jan 2013
Last Revised: 11 Feb 2022
Downloads
313
Downloads
26,732
22.
The Black-Litterman Model in Detail
Number of pages: 65
Posted: 28 Jan 2009
Last Revised: 23 Jun 2014
Working Paper Series
blacklitterman.orgBoston University - Metropolitan College - Department of Computer Science
Downloads
26,511
23.
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
25,874
24.
The Intuition Behind Black-Litterman Model Portfolios
Number of pages: 27
Posted: 28 Oct 2002
Working Paper Series
IndependentGoldman Sachs Group, Inc. - Quantitative Strategy Group and Kepos Capital
Downloads
25,830
25.
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
24,349
26.
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
23,521
27.
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
23,136
28.
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
22,804
29.
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
20,892
30.
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
20,129
31.
…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
20,103
32.
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
19,808
33.
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
19,431
34.
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
18,494
Downloads
18,494
35.
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
18,260
36.
DeFi and the Future of Finance
Number of pages: 39
Posted: 15 Dec 2020
Last Revised: 06 Feb 2022
Working Paper Series
Duke University - Fuqua School of Business, Independent and Fei Protocol
Downloads
17,965
37.
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
17,762
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
17,762
38.
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 SOMAQR Capital 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
17,530
Size Matters, If You Control Your Junk
CEPR Discussion Paper No. DP12684
Number of pages: 62
Posted: 14 Feb 2018
Downloads
8
Downloads
17,530
39.
In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis
Swiss Finance Institute Research Paper No. 20-91
Number of pages: 123
Posted: 23 Oct 2020
Last Revised: 13 May 2022
Working Paper Series
Harvard University - Department of Economics and University of Chicago - Booth School of Business
There are 3 versions of this paper
In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis
Swiss Finance Institute Research Paper No. 20-91
Number of pages: 123
Posted: 23 Oct 2020
Last Revised: 13 May 2022
Downloads
17,268
In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis
NBER Working Paper No. w28967
Number of pages: 54
Posted: 28 Jun 2021
Last Revised: 24 Feb 2022
Downloads
26
In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis
CEPR Discussion Paper No. DP16290
Number of pages: 124
Posted: 14 Jul 2021
Downloads
2
Downloads
17,268
40.
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
17,218
41.
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
17,013
42.
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
16,969
43.
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
16,692
44.
Ratio Analysis and Equity Valuation
Number of pages: 68
Posted: 11 May 1999
Working Paper Series
Columbia University - Columbia Business School and Columbia University - Columbia Business School, Accounting, Business Law & Taxation
Downloads
16,610
45.
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
16,414
46.
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
16,317
47.
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
16,165
48.
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
15,775
What Happened to the Quants in August 2007?
Journal of Investment Management, Vol. 5, No. 4, Fourth Quarter 2007
Posted: 17 Jan 2008
Downloads
15,775
49.
Non-Fungible Tokens: Blockchains, Scarcity, and Value
Critical Blockchain Research Initiative (CBRI) Working Papers, 2021
Number of pages: 14
Posted: 21 Apr 2021
Working Paper Series
UNSW Business School
Downloads
15,771
50.
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
15,746
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