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Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal

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Viewing: 1 - 50 of 9,521 papers

1.

Fact, Fiction and Momentum Investing

Journal of Portfolio Management, Fall 2014 (40th Anniversary Issue), Fama-Miller Working Paper
Number of pages: 26 Posted: 12 May 2014 Last Revised: 03 Oct 2014
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 29,202
2.

Where the Black Swans Hide & the 10 Best Days Myth

Cambria – Quantitative Research Monthly, August 2011,
Number of pages: 17 Posted: 14 Aug 2011
Accepted Paper Series
Cambria Investment Management
Downloads 19,602
3.

The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading

The Journal of Portfolio Management, Vol. 37, No. 2, pp. 118-128, Winter 2011
Number of pages: 15 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 18,036
4.

Flow Toxicity and Liquidity in a High Frequency World

Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
Number of pages: 71 Posted: 23 Oct 2010 Last Revised: 15 Apr 2012
Accepted Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 16,222
5.

From Efficient Market Theory to Behavioral Finance

Cowles Foundation Discussion Paper No. 1385
Number of pages: 44 Posted: 08 Nov 2002
Working Paper Series
Yale University - Cowles Foundation
Downloads 15,560
6.

An Intermarket Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities

2014 Charles H. Dow Award Winner
Number of pages: 16 Posted: 31 Mar 2014 Last Revised: 26 Nov 2019
Working Paper Series
Lead-Lag Publishing, LLC and affiliation not provided to SSRN
Downloads 14,509
7.

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
8.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications - The 2010 Edition

Number of pages: 89 Posted: 21 Feb 2010 Last Revised: 23 Aug 2010
Working Paper Series
New York University - Stern School of Business
Downloads 12,859
9.

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
10.

The Behavior of Individual Investors

Number of pages: 54 Posted: 27 Jun 2011 Last Revised: 06 Jan 2012
Working Paper Series
University of California, Davis and University of California, Berkeley - Haas School of Business
Downloads 11,537
11.

Efficient Markets Hypothesis

THE NEW PALGRAVE: A DICTIONARY OF ECONOMICS, L. Blume, S. Durlauf, eds., 2nd Edition, Palgrave Macmillan Ltd., 2007
Number of pages: 28 Posted: 06 Jun 2007
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 9,925
12.

The Sharpe Ratio Efficient Frontier

Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36 Posted: 24 Apr 2011 Last Revised: 23 Apr 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 8,754
13.

Learning to Play Offense and Defense: Combining Value and Momentum from the Bottom Up, and the Top Down

Number of pages: 10 Posted: 08 Oct 2015
Working Paper Series
Cambria Investment Management
Downloads 8,578
14.

Machine Learning for Trading

Number of pages: 19 Posted: 14 Aug 2017 Last Revised: 04 Dec 2017
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 8,425
15.

Buffett's Alpha

NBER Working Paper No. w19681
Number of pages: 46 Posted: 28 Nov 2013 Last Revised: 28 Nov 2013
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 8,224
16.

A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-Reactions

Number of pages: 59 Posted: 01 May 1997 Last Revised: 21 May 2018
Working Paper Series
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 7,235
17.

The New Role of the Corporate Treasurer: Emerging Trends in Response to the Financial Crisis

International Research Journal of Finance and Economics, No. 78, 2011
Number of pages: 22 Posted: 12 Dec 2011
Accepted Paper Series
University of Brunei Darussalam, Treasury Strategies, Inc. and European Treasurers' Peer Group
Downloads 7,159
18.

Betting Against Correlation: Testing Theories of the Low-Risk Effect

Number of pages: 73 Posted: 08 Feb 2017 Last Revised: 21 Jun 2018
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, University of Chicago - Booth School of Business and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 6,902
19.

Momentum and Markowitz: A Golden Combination

Number of pages: 34 Posted: 16 May 2015 Last Revised: 05 Jun 2015
Working Paper Series
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads 6,897
20.

Alpha Generation and Risk Smoothing Using Managed Volatility

Number of pages: 37 Posted: 24 Aug 2010
Working Paper Series
Double-Digit Numerics
Downloads 6,731
21.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011; https://doi.org/10.3905/jot.2011.6.2.008. , Johnson School Research Paper Series No. 10-2011
Number of pages: 12 Posted: 17 Jul 2019 Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,674
22.

An Intermarket Approach to Tactical Risk Rotation: Using the Signaling Power of Treasuries to Generate Alpha and Enhance Asset Allocation

2014 Wagner Award, 3rd Place
Number of pages: 19 Posted: 01 May 2014 Last Revised: 03 Dec 2019
Working Paper Series
Lead-Lag Publishing, LLC and affiliation not provided to SSRN
Downloads 6,370
23.

The Financial Market Impact of Quantitative Easing

Bank of England Working Paper No. 393
Number of pages: 44 Posted: 12 Jul 2010 Last Revised: 15 Jul 2015
Working Paper Series
Bank of England - Monetary Analysis, Bank of England, Bank of England and Bank of England
Downloads 6,360
24.

Market Timing with Moving Averages: Anatomy and Performance of Trading Rules

Number of pages: 33 Posted: 27 Mar 2015 Last Revised: 29 May 2016
Working Paper Series
University of Agder - School of Business and Law
Downloads 6,219
25.

Discerning Information from Trade Data

Journal of Financial Economics, 120(2), pp. 269-286. May 2016, Johnson School Research Paper Series No. 8-2012
Number of pages: 56 Posted: 23 Jan 2012 Last Revised: 16 May 2016
Accepted Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 5,795
26.

Behavioral Portfolio Management

Journal of Behavioral Finance & Economics, Forthcoming
Number of pages: 37 Posted: 02 Feb 2013 Last Revised: 03 Feb 2015
Accepted Paper Series
University of Denver - Daniels College of Business
Downloads 5,791
27.

Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks)

Number of pages: 77 Posted: 20 May 2015 Last Revised: 11 May 2017
Working Paper Series
University of Pennsylvania - The Wharton School, Finance Department and Two Centuries Investments
Downloads 5,711
28.

Factor Investing in the Corporate Bond Market

Financial Analysts Journal, 2017, Vol. 73, No. 2
Number of pages: 49 Posted: 31 Oct 2014 Last Revised: 13 Feb 2017
Accepted Paper Series
Robeco Investment Research and BlueCove Limited
Downloads 5,640
29.

Fact, Fiction, and the Size Effect

Number of pages: 54 Posted: 24 May 2018 Last Revised: 10 Aug 2018
Working Paper Series
AQR Capital Management LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 5,439
30.

Into the Abyss: What If Nothing is Risk Free?

Number of pages: 55 Posted: 24 Jul 2010
Working Paper Series
New York University - Stern School of Business
Downloads 5,281
31.

What Do We Know About High-Frequency Trading?

Columbia Business School Research Paper No. 13-11
Number of pages: 56 Posted: 21 Mar 2013
Working Paper Series
Columbia Business School
Downloads 5,280
32.

Low-Latency Trading

Johnson School Research Paper Series No. 35-2010, AFA 2012 Chicago Meetings Paper
Number of pages: 56 Posted: 22 Oct 2010 Last Revised: 22 May 2013
Working Paper Series
New York University (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,987
33.

The Price Impact of Order Book Events

JOURNAL OF FINANCIAL ECONOMETRICS (Winter 2014) 12 (1): 47-88.
Number of pages: 32 Posted: 28 Nov 2010 Last Revised: 17 Sep 2015
Accepted Paper Series
University of Oxford, AQR Capital Management, LLC and Cornell Financial Engineering Manhattan
Downloads 4,947
34.

A Century of Evidence on Trend-Following Investing

Number of pages: 26 Posted: 28 Jun 2017
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 4,940
35.

Mispricing Factors

Review of Financial Studies 30, April 2017, pp 1270-1315.
Number of pages: 93 Posted: 05 Jul 2015 Last Revised: 16 Apr 2017
Accepted Paper Series
University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company

Multiple version iconThere are 2 versions of this paper

Downloads 4,926
36.

Can Basel III Work? Examining the New Capital Stability Rules by the Basel Committee: A Theoretical and Empirical Study of Capital Buffers

Number of pages: 32 Posted: 21 Feb 2010
Working Paper Series
McMaster University - DeGroote School of Business, Standard & Poor's and Barclays
Downloads 4,850
37.

Understanding the Fed Model, Capital Structure, and Then Some

Number of pages: 25 Posted: 24 Apr 2011 Last Revised: 15 Aug 2012
Working Paper Series
affiliation not provided to SSRN
Downloads 4,815
38.

High Frequency Trading and Price Discovery

Number of pages: 61 Posted: 12 Oct 2011 Last Revised: 26 Apr 2013
Working Paper Series
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business and Queen's University - Smith School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,773
39.

Warning: Physics Envy May be Hazardous to Your Wealth!

Number of pages: 73 Posted: 05 Mar 2010 Last Revised: 15 Mar 2010
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology, Center for Theoretical Physics

Multiple version iconThere are 2 versions of this paper

Downloads 4,708
40.

Preguntas para consejeros sobre el dinero de la empresa (Questions for Board Members)

Number of pages: 6 Posted: 29 Jul 2011 Last Revised: 17 Jan 2018
Working Paper Series
University of Navarra - IESE Business School
Downloads 4,578
41.

Haircuts

Yale ICF Working Paper No. 09-15
Number of pages: 18 Posted: 11 Aug 2009 Last Revised: 17 May 2010
Working Paper Series
Yale School of Management and Yale School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 4,505
42.

A Research Starting Point for the New Scholar: A Unique Perspective of Behavioral Finance

Number of pages: 21 Posted: 24 Mar 2005
Working Paper Series
Social Science Research Network (SSRN)

Multiple version iconThere are 2 versions of this paper

Downloads 4,315
43.

Islamic vs. Conventional Banking: Business Model, Efficiency and Stability

World Bank Policy Research Working Paper No. 5446
Number of pages: 44 Posted: 20 Apr 2016
Working Paper Series
City University London - Sir John Cass Business School, World Bank - Development Research Group and World Bank
Downloads 4,253
44.

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Review of Financial Studies 28, 791-837, 2015
Number of pages: 67 Posted: 19 Aug 2013 Last Revised: 30 Jan 2019
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 4,238
45.

Managerial Miscalibration

Quarterly Journal of Economics, Forthcoming
Number of pages: 38 Posted: 16 Jul 2010 Last Revised: 30 Oct 2019
Accepted Paper Series
Ohio State University (OSU) - Department of Finance, Duke University and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,233
46.

Middlemen in Limit Order Markets

Number of pages: 56 Posted: 13 Jun 2010 Last Revised: 21 Jun 2016
Working Paper Series
New York University - Department of Economics and VU Amsterdam
Downloads 4,135
47.

Household Balance Sheets, Consumption, and the Economic Slump

Chicago Booth Research Paper No. 13-42, Fama-Miller Working Paper
Number of pages: 50 Posted: 18 Nov 2011 Last Revised: 07 Jun 2013
Working Paper Series
Princeton University - Department of Economics, MasterCard Advisors and University of Chicago - Booth School of Business
Downloads 4,081
48.

Global CAPE Model Optimization

Number of pages: 17 Posted: 18 Oct 2012 Last Revised: 31 Oct 2012
Working Paper Series
ReSolve Asset Management, ReSolve Asset Management, ReSolve Asset Management and Cambria Investment Management
Downloads 4,048
49.

Measuring Systemic Risk

FRB of Cleveland Working Paper No. 10-02
Number of pages: 55 Posted: 24 Apr 2010 Last Revised: 28 Aug 2010
Accepted Paper Series
New York University - Leonard N. Stern School of Business, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,963
50.

Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

Journal of Finance, 69, pp. 2045-2084., FRB International Finance Discussion Paper No. 980
Number of pages: 42 Posted: 06 Nov 2009 Last Revised: 18 Mar 2015
Accepted Paper Series
Federal Reserve Board - Division of International Finance, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System
Downloads 3,956