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Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal

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Viewing: 1 - 50 of 10,898 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 SOMAQR Capital
Downloads 33,900
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 21,076
3.

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

2014 Charles H. Dow Award Winner Updated Through October 31, 2020
Number of pages: 18 Posted: 31 Mar 2014 Last Revised: 11 Jan 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 19,882
4.

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 EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 18,689
5.

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

Multiple version iconThere are 3 versions of this paper

Downloads 18,307
6.

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 EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 17,033
7.

From Efficient Market Theory to Behavioral Finance

Number of pages: 44 Posted: 08 Nov 2002
Working Paper Series
Yale University - Cowles Foundation
Downloads 16,505
8.

CAPM: An Absurd Model

Number of pages: 17 Posted: 07 Oct 2014 Last Revised: 26 May 2019
Working Paper Series
IESE Business School
Downloads 14,673
9.

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: 07 May 2020
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 14,438
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 14,021
11.

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 13,190
12.

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 13,066
13.

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 12,449
14.

Alpha Generation and Risk Smoothing Using Managed Volatility

Number of pages: 37 Posted: 24 Aug 2010
Working Paper Series
Double-Digit Numerics
Downloads 11,969
15.

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) - Laboratory for Financial Engineering
Downloads 11,814
16.

Buffett's Alpha

NBER Working Paper No. w19681
Number of pages: 46 Posted: 28 Nov 2013 Last Revised: 11 Apr 2022
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 10,242
17.

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 9,528
18.

The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

Journal of Portfolio Management, Forthcoming
Number of pages: 33 Posted: 15 Oct 2004
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 9,519
19.

Explainable AI (XAI) Models Applied to Planning in Financial Markets

Université Paris-Dauphine Research Paper No. 3862437
Number of pages: 9 Posted: 13 Jun 2021 Last Revised: 22 Feb 2022
Working Paper Series
Université Paris Dauphine, AI For Alpha, Université Paris Dauphine, AI For Alpha and affiliation not provided to SSRN
Downloads 9,207
20.

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 Updated Through November 30, 2020
Number of pages: 21 Posted: 01 May 2014 Last Revised: 20 Jan 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 8,907
21.

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 8,667
22.

A Closed-Form Solution for Optimal Mean-Reverting Trading Strategies

Number of pages: 32 Posted: 09 Mar 2020 Last Revised: 24 Mar 2020
Working Paper Series
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 8,546
23.

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 8,120
24.

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 University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area
Downloads 8,021
25.

Value Investing: Requiem, Rebirth or Reincarnation?

NYU Stern School of Business Forthcoming
Number of pages: 34 Posted: 12 Feb 2021
Working Paper Series
Anderson Graduate School of Management, UCLA and New York University - Stern School of Business
Downloads 7,834
26.

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 7,817
27.

Predicting Returns with Text Data

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-69, Yale ICF Working Paper No. 2019-10, Chicago Booth Research Paper No. 20-37
Number of pages: 66 Posted: 20 May 2019 Last Revised: 17 Aug 2021
Working Paper Series
Harvard University, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 7,815
28.

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 7,781
29.

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 7,743
30.

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 7,720
31.

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 7,528
32.

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 Asset Management and Cubist Systematic Strategies
Downloads 7,424
33.

Non-fungible Token (NFT) Markets on the Ethereum Blockchain: Temporal Development, Cointegration and Interrelations

Number of pages: 23 Posted: 16 Aug 2021
Working Paper Series
Blockchain Research Lab
Downloads 7,221
34.

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 EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 7,212
35.

ESG Rating Disagreement and Stock Returns

Swiss Finance Institute Research Paper No. 19-67, European Corporate Governance Institute – Finance Working Paper No. 651/2020, Financial Analyst Journal, Forthcoming
Number of pages: 57 Posted: 10 Aug 2019 Last Revised: 23 Aug 2021
Accepted Paper Series
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva - Geneva Finance Research Institute (GFRI) and University of Zurich - Department of Business Administration
Downloads 6,991
36.

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 EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,921
37.

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 6,610
38.

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 University
Downloads 6,584
39.

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 6,557
40.

Alternative Investments in the Fintech Era: The Risk and Return of Non-fungible Token (NFT)

Number of pages: 59 Posted: 01 Sep 2021 Last Revised: 26 Aug 2022
Working Paper Series
National Taiwan University - Department of Finance and The University of Hong Kong - Faculty of Business and Economics
Downloads 6,512
41.

Fact, Fiction, and the Size Effect

Number of pages: 54 Posted: 24 May 2018 Last Revised: 10 Aug 2018
Working Paper Series
Financial Stability Oversight Council, U.S. Treasury, AQR Capital Management, LLC and Yale University, Yale SOMAQR Capital
Downloads 6,510
42.

Financial Literacy - The Demand Side of Financial Inclusion

Number of pages: 16 Posted: 13 Nov 2011
Working Paper Series
Vivin Consultants Chennai
Downloads 6,496
43.

Herd Behavior in Financial Markets: A Review

IMF Working Paper No. 2000/048
Number of pages: 34 Posted: 10 May 2000
Working Paper Series
University of California, Los Angeles - Anderson School of Management and George Washington University - Elliott School of International Affairs
Downloads 6,199
44.

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, Tower Research Capital, LLC and Cornell Financial Engineering Manhattan
Downloads 6,116
45.

Mispricing Factors

Review of Financial Studies 30, April 2017, pp 1270-1315., Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 93 Posted: 05 Jul 2015 Last Revised: 02 Sep 2020
Accepted Paper Series
University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company

Multiple version iconThere are 2 versions of this paper

Downloads 6,063
46.

Business Bankruptcy Prediction Models: A Significant Study of the Altman’s Z-Score Model

Number of pages: 8 Posted: 13 Aug 2012
Working Paper Series
University of Toronto at Mississauga - Department of Management
Downloads 6,012
47.

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 5,604
48.

Price Improvement and Payment for Order Flow: Evidence from A Randomized Controlled Trial

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 40 Posted: 19 Aug 2022 Last Revised: 03 Oct 2022
Working Paper Series
University of Pennsylvania - The Wharton School
Downloads 5,598
49.

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 5,381
50.

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
Downloads 5,223