SSRN Finance Research Centers Papers

1.

Market Efficiency, Long-Term Returns, and Behavioral Finance

Number of pages: 31 Posted: 30 Apr 1997

Working Paper Series

Eugene F. Fama

University of Chicago - Finance

Downloads 86,622

2.

Option Traders Use (very) Sophisticated Heuristics, Never the Black–Scholes–Merton Formula

Journal of Economic Behavior and Organization, Vol. 77, No. 2, 2011

Number of pages: 11 Posted: 11 Sep 2007 Last Revised: 16 Nov 2012

Accepted Paper Series

Espen Gaarder Haug and Nassim Nicholas Taleb

affiliation not provided to SSRN and NYU-Tandon School of Engineering

Downloads 55,650

3.

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

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Tuck School of Business at Dartmouth

Downloads 39,171

4.

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

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Tuck School of Business at Dartmouth

Downloads 38,884

5.

Corporate Governance and Control

ECGI - Finance Working Paper No. 02/2002

Number of pages: 128 Posted: 31 Oct 2002

Working Paper Series

Marco Becht, Patrick Bolton and Ailsa Röell

Solvay Brussels School of Economics and Management (ULB), Columbia Business School - Department of Economics and Columbia University, School of International and Public Affairs

There are 2 versions of this paper

Downloads 38,847

6.

Value Versus Growth: The International Evidence

Number of pages: 30 Posted: 01 May 1997

Working Paper Series

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Tuck School of Business at Dartmouth

Downloads 37,485

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: 16 Nov 2012

Accepted Paper Series

Daniel G. Goldstein and Nassim Nicholas Taleb

Microsoft Research New York City and NYU-Tandon School of Engineering

Downloads 34,834

8.

Separation of Ownership and Control

Michael C. Jensen, FOUNDATIONS OF ORGANIZATIONAL STRATEGY, Harvard University Press, 1998, and Journal of Law and Economics, Vol. 26, June 1983

Number of pages: 32 Posted: 29 Nov 1998

Accepted Paper Series

Eugene F. Fama and Michael C. Jensen

University of Chicago - Finance and SSRN

Downloads 34,541

9.

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

Evan Gatev, William N. Goetzmann and K. Geert Rouwenhorst

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

Downloads 30,016

10.

Facts and Fantasies about Commodity Futures

Yale ICF Working Paper No. 04-20

Number of pages: 41 Posted: 29 Jun 2004

Working Paper Series

Gary B. Gorton and K. Geert Rouwenhorst

Yale School of Management and Yale School of Management - International Center for Finance

There are 3 versions of this paper

Downloads 26,656

11.

Taxes, Financing Decisions, and Firm Value

Center for Research in Security Prices (CRSP) Working Paper No.

Number of pages: 34 Posted: 01 Feb 1997

Working Paper Series

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Tuck School of Business at Dartmouth

There are 2 versions of this paper

Downloads 26,051

12.

Remuneration: Where We've Been, How We Got to Here, What are the Problems, and How to Fix Them

Harvard NOM Working Paper No. 04-28; ECGI - Finance Working Paper No. 44/2004

Number of pages: 116 Posted: 05 Jul 2004

Working Paper Series

Michael C. Jensen, Kevin J. Murphy and Eric G. Wruck

SSRN, University of Southern California - Marshall School of Business and Ohio State University (OSU) - Fisher College of Business

Downloads 23,947

13.

Exercises in Advanced Risk and Portfolio Management (ARPM) with Solutions and Code

Number of pages: 281 Posted: 11 Aug 2009 Last Revised: 08 Mar 2016

Working Paper Series

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Downloads 23,711

14.

Corporate Governance and Equity Prices

Quarterly Journal of Economics, Vol. 118, No. 1, pp. 107-155, February 2003

Number of pages: 67 Posted: 12 Sep 2001

Working Paper Series

Paul A. Gompers, Joy L. Ishii and Andrew Metrick

Harvard Business School - Finance Unit, Stanford Graduate School of Business and Yale School of Management

There are 3 versions of this paper

Downloads 23,616

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: 07 May 2009

Working Paper Series

Martijn Cremers and Antti Petajisto

University of Notre Dame and New York University (NYU) - Department of Finance

There are 2 versions of this paper

Downloads 23,391

16.

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

Clifford S. Asness, Andrea Frazzini, Ronen Israel and Tobias J. Moskowitz

AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM

Downloads 23,313

17.

Luck Versus Skill in the Cross Section of Mutual Fund Returns

Tuck School of Business Working Paper No. 2009-56 , Chicago Booth School of Business Research Paper, Journal of Finance, Forthcoming

Number of pages: 43 Posted: 10 Mar 2009 Last Revised: 08 Feb 2010

Accepted Paper Series

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Tuck School of Business at Dartmouth

Downloads 21,428

18.

The Black-Litterman Approach: Original Model and Extensions

Shorter version in, THE ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Wiley, 2010

Number of pages: 17 Posted: 08 Apr 2008 Last Revised: 13 Oct 2010

Working Paper Series

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Downloads 19,426

19.

Executive Compensation

Number of pages: 91 Posted: 19 May 1999

Working Paper Series

Kevin J. Murphy

University of Southern California - Marshall School of Business

Downloads 18,859

20.

The Equity Premium

EFMA 2001 Lugano Meetings; CRSP Working Paper No. 522

Number of pages: 29 Posted: 20 Jul 2000

Working Paper Series

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Tuck School of Business at Dartmouth

There are 2 versions of this paper

Downloads 18,599

21.

International Corporate Governance

ECGI - Finance Working Paper No. 05/2003; and Tuck-JQFA Contemporary Corporate Governance Issues II Conference

Number of pages: 62 Posted: 30 Jul 2002

Working Paper Series

Diane K. Denis and John J. McConnell

University of Pittsburgh - Katz School of Business and Purdue University

Downloads 17,927

22.

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

Meb Faber

Cambria Investment Management

Downloads 17,434

23.

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: 22 Oct 2010 Last Revised: 31 Jan 2011

Accepted Paper Series

David Easley, Marcos Lopez de Prado and Maureen O'Hara

Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads 17,222

24.

Understanding Modern Portfolio Construction

Number of pages: 46 Posted: 03 Mar 2016 Last Revised: 22 Sep 2016

Working Paper Series

Cullen O. Roche

Orcam Financial Group

Downloads 17,063

25.

Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck

Number of pages: 20 Posted: 15 May 2009 Last Revised: 06 Dec 2010

Working Paper Series

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Downloads 16,731

26.

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

David Easley, Marcos Lopez de Prado and Maureen O'Hara

Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads 15,322

27.

Venture Capital and Private Equity: A Course Overview

Number of pages: 48 Posted: 23 Apr 1998

Working Paper Series

Josh Lerner

Harvard Business School - Finance Unit

Downloads 15,143

28.

CEO Incentives: It's Not How Much You Pay, But How

Michael C. Jensen, FOUNDATIONS OF ORGANIZATIONAL STRATEGY, Harvard University Press, 1998; Harvard Business Review, No. 3, May-June 1990

Number of pages: 36 Posted: 12 Apr 1999

Accepted Paper Series

Michael C. Jensen and Kevin J. Murphy

SSRN and University of Southern California - Marshall School of Business

There are 2 versions of this paper

Downloads 14,468

29.

Investor Protection and Corporate Governance

Number of pages: 40 Posted: 27 Jul 2000

Working Paper Series

Rafael La Porta, Florencio Lopez de Silanes, Andrei Shleifer and Robert W. Vishny

Dartmouth College - Tuck School of Business, SKEMA Business School, Harvard University - Department of Economics and University of Chicago - Booth School of Business

There are 4 versions of this paper

Downloads 14,437

30.

A Review of IPO Activity, Pricing and Allocations

Yale ICF Working Paper No. 02-01

Number of pages: 45 Posted: 09 Jan 2002

Working Paper Series

Ivo Welch and Jay R. Ritter

University of California, Los Angeles (UCLA) and University of Florida - Department of Finance, Insurance and Real Estate

There are 3 versions of this paper

Downloads 14,364

31.

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

Christian Laux and Christian Leuz

Vienna University of Economics and Business and University of Chicago - Booth School of Business

Downloads 13,932

32.

Agency Problems and Residual Claims

Michael C. Jensen, FOUNDATIONS OF ORGANIZATIONAL STRATEGY, Harvard University Press, 1998; Journal of Law & Economics, Vol. 26, June 1983

Number of pages: 30 Posted: 29 Nov 1998

Accepted Paper Series

Eugene F. Fama and Michael C. Jensen

University of Chicago - Finance and SSRN

Downloads 13,816

33.

Offshore Hedge Funds: Survival & Performance 1989-1995

Yale School of Management Working Paper No. F-52B

Number of pages: 38 Posted: 27 Feb 1997

Working Paper Series

William N. Goetzmann, Roger G. Ibbotson and Stephen J. Brown

Yale School of Management - International Center for Finance, Yale School of Management and New York University - Stern School of Business

There are 2 versions of this paper

Downloads 13,735

34.

The Fundamentals of Commodity Futures Returns

Yale ICF Working Paper No. 07-08

Number of pages: 62 Posted: 28 Jun 2007 Last Revised: 07 Feb 2012

Working Paper Series

Gary B. Gorton, Fumio Hayashi and K. Geert Rouwenhorst

Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance

There are 2 versions of this paper

Downloads 13,290

35.

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

Clifford S. Asness, Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz and Lasse Heje Pedersen

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

Downloads 12,923

36.

Factor Investing

Columbia Business School Research Paper No. 13-42

Number of pages: 72 Posted: 11 Jun 2013

Working Paper Series

Andrew Ang

BlackRock, Inc

Downloads 12,798

37.

The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis

Number of pages: 54 Posted: 17 Dec 2007 Last Revised: 29 Dec 2008

Working Paper Series

Atif R. Mian and Amir Sufi

Princeton University - Department of Economics and University of Chicago - Booth School of Business

There are 2 versions of this paper

Downloads 12,531

38.

The Sarbanes-Oxley Act and the Making of Quack Corporate Governance

NYU, Law and Econ Research Paper 04-032; Yale Law & Econ Research Paper 297; Yale ICF Working Paper 04-37; ECGI - Finance Working Paper 52/2004

Number of pages: 234 Posted: 27 Sep 2004

Working Paper Series

Roberta Romano

Yale Law School

There are 2 versions of this paper

Downloads 12,338

39.

‘The Prayer’ Ten-Step Checklist for Advanced Risk and Portfolio Management

Number of pages: 29 Posted: 11 May 2011 Last Revised: 14 May 2011

Working Paper Series

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Downloads 12,246

40.

New Evidence and Perspectives on Mergers

Harvard Business School Working Paper No. 01-070, HBS Finance Working Paper No. 01-070

Number of pages: 32 Posted: 23 May 2001

Working Paper Series

Gregor Andrade, Mark L. Mitchell and Erik Stafford

Harvard Business School - Finance Unit, AQR Capital Management, LLC and Harvard Business School - Finance Unit

Downloads 12,114

41.

Hedge Funds and the Asian Currency Crisis of 1997

Yale School of Management Working Paper No. F-58

Number of pages: 30 Posted: 11 Feb 1998

Working Paper Series

William N. Goetzmann, Stephen J. Brown and James M. Park

Yale School of Management - International Center for Finance, New York University - Stern School of Business and PARADIGM Capital Management

There are 3 versions of this paper

Downloads 12,084

42.

Mandatory IFRS Reporting Around the World: Early Evidence on the Economic Consequences

ECGI - Finance Working Paper No. 198/2008, Chicago GSB Research Paper No. 12

Number of pages: 74 Posted: 25 Oct 2007 Last Revised: 20 Nov 2011

Working Paper Series

Holger Daske, Luzi Hail, Christian Leuz and Rodrigo S. Verdi

University of Mannheim - Accounting and Taxation, University of Pennsylvania - The Wharton School, University of Chicago - Booth School of Business and Massachusetts Institute of Technology (MIT)

There are 2 versions of this paper

Downloads 12,079

43.

The Dow Theory: William Peter Hamilton's Track Record Re-Considered

Number of pages: 46 Posted: 11 Feb 1998

Working Paper Series

Stephen J. Brown, Alok Kumar and William N. Goetzmann

New York University - Stern School of Business, University of Miami - School of Business Administration and Yale School of Management - International Center for Finance

There are 2 versions of this paper

Downloads 11,630

44.

Managing Diversification

Risk, pp. 74-79, May 2009, Bloomberg Education & Quantitative Research and Education Paper

Number of pages: 23 Posted: 13 Mar 2009 Last Revised: 11 Oct 2010

Accepted Paper Series

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Downloads 11,443

45.

Fully Flexible Views: Theory and Practice

Fully Flexible Views: Theory and Practice, Risk, Vol. 21, No. 10, pp. 97-102, October 2008

Number of pages: 26 Posted: 10 Aug 2008 Last Revised: 06 Dec 2010

Accepted Paper Series

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Downloads 11,375

46.

Mergers and Acquisitions in Europe

ECGI - Finance Working Paper No. 114/2006, CentER Discussion Paper Series No. 2006-06

Number of pages: 83 Posted: 01 Feb 2006

Working Paper Series

Marina Martynova and Luc Renneboog

Cornerstone Research and Tilburg University - Department of Finance

Downloads 11,172

47.

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

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Tuck School of Business at Dartmouth

Downloads 11,005

48.

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

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Downloads 10,969

49.

Disappearing Dividends: Changing Firm Characteristics Or Lower Propensity To Pay?

AFA 2001 New Orleans; CRSP Working Paper No. 509

Number of pages: 53 Posted: 03 Feb 2000

Working Paper Series

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Tuck School of Business at Dartmouth

Downloads 10,950

50.

Does Corporate Governance Predict Firms' Market Values? Evidence from Korea

post-publication version, published in Journal of Law, Economics, and Organization, Vol. 22, No. 2, Fall 2006, ECGI - Finance Working Paper No. 86/2005, KDI School of Pub Policy & Management Paper No. 02-04, McCombs Research Paper Series No. 02-05, Stanford Law and Economics Olin Working Paper No. 237, U of Texas law, Law and Econ Research Paper No. 26

Number of pages: 66 Posted: 20 Jan 2005 Last Revised: 18 Jun 2013

Accepted Paper Series

Bernard S. Black, Hasung Jang and Woochan Kim

Northwestern University - Pritzker School of Law, Korea University - Department of Finance and Korea University Business School

There are 3 versions of this paper

Downloads 10,934

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