1.
Market Efficiency, Long-Term Returns, and Behavioral Finance
Number of pages: 31
Posted: 30 Apr 1997
Working Paper Series
University of Chicago - Finance
Downloads
88,949
2.
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
46,265
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
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
42,152
4.
Corporate Governance and Control
ECGI - Finance Working Paper No. 02/2002
Number of pages: 128
Posted: 31 Oct 2002
Working Paper Series
Solvay Brussels School of Economics and Management (ULB), Columbia Business School - Department of Economics and Columbia University, School of International and Public Affairs
Downloads
39,697
5.
Value Versus Growth: The International Evidence
Number of pages: 30
Posted: 01 May 1997
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
38,572
6.
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) - Tandon School of Engineering
Downloads
36,041
7.
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
University of Chicago - Finance and Harvard Business School
Downloads
35,562
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
32,336
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
32,336
9.
Facts and Fantasies About Commodity Futures
Yale ICF Working Paper No. 04-20
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
Yale ICF Working Paper No. 04-20
Number of pages: 41
Posted: 29 Jun 2004
Downloads
27,052
Facts and Fantasies About Commodity Futures
NBER Working Paper No. w10595
Number of pages: 41
Posted: 25 May 2006
Downloads
730
Facts and Fantasies About Commodity Futures
Financial Analysts Journal, Vol. 62, No. 2, pp. 47-68, April 2006
Posted: 23 May 2006
Downloads
27,052
10.
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
26,869
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
University of Chicago - Finance and Dartmouth College - Tuck School of Business
There are 2 versions of this paper
Taxes, Financing Decisions, and Firm Value
Center for Research in Security Prices (CRSP) Working Paper No.
Number of pages: 34
Posted: 01 Feb 1997
Downloads
26,450
Taxes, Financing Decisions, and Firm Value
Journal of Finance, Vol. 53 No. 3, June 1998
Posted: 28 Jul 1998
Downloads
26,450
12.
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
Harvard Business School - Finance Unit, Stanford Graduate School of Business and Yale School of Management
There are 3 versions of this paper
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
Downloads
26,040
Corporate Governance and Equity Prices
NBER Working Paper No. w8449
Number of pages: 70
Posted: 26 Aug 2001
Last Revised: 23 Oct 2010
Downloads
432
Corporate Governance and Equity Prices
Quarterly Journal of Economics, Vol. 118, No. 1, February 2003
Posted: 13 Feb 2003
Downloads
26,040
13.
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
Harvard Business School, University of Southern California - Marshall School of Business and Ohio State University (OSU) - Fisher College of Business
Downloads
25,593
14.
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
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, 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
Downloads
25,406
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
25,406
15.
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
ARPM - Advanced Risk and Portfolio Management
Downloads
25,113
16.
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
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
22,652
17.
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
ARPM - Advanced Risk and Portfolio Management
Downloads
20,929
18.
Understanding Modern Portfolio Construction
Number of pages: 46
Posted: 03 Mar 2016
Last Revised: 22 Sep 2016
Working Paper Series
Orcam Financial Group
Downloads
20,786
19.
Executive Compensation
Number of pages: 91
Posted: 19 May 1999
Working Paper Series
University of Southern California - Marshall School of Business
Downloads
19,371
20.
The Equity Premium
EFMA 2001 Lugano Meetings; CRSP Working Paper No. 522
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
The Equity Premium
EFMA 2001 Lugano Meetings; CRSP Working Paper No. 522
Number of pages: 29
Posted: 20 Jul 2000
Downloads
18,978
Downloads
18,978
21.
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
18,740
22.
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
University of Pittsburgh - Katz School of Business and Purdue University
Downloads
18,421
23.
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
ARPM - Advanced Risk and Portfolio Management
Downloads
17,743
24.
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
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
17,623
25.
Venture Capital and Private Equity: A Course Overview
Number of pages: 48
Posted: 23 Apr 1998
Working Paper Series
Harvard Business School - Finance Unit
Downloads
16,501
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
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
15,773
27.
Factor Investing
Columbia Business School Research Paper No. 13-42
Number of pages: 72
Posted: 11 Jun 2013
Working Paper Series
BlackRock, Inc
Downloads
15,174
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
Harvard Business School and University of Southern California - Marshall School of Business
There are 2 versions of this paper
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
Downloads
15,078
CEO Incentives - It's Not How Much You Pay, But How
Journal of Applied Corporate Finance, Vol. 22, No. 1, pp. 64-76, Winter 2010
Number of pages: 15
Posted: 31 Mar 2010
Downloads
7
Downloads
15,078
29.
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
15,053
Size Matters, If You Control Your Junk
CEPR Discussion Paper No. DP12684
Number of pages: 62
Posted: 14 Feb 2018
Downloads
4
Downloads
15,053
30.
Investor Protection and Corporate Governance
Number of pages: 40
Posted: 27 Jul 2000
Working Paper Series
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
Investor Protection and Corporate Governance
Number of pages: 40
Posted: 27 Jul 2000
Downloads
14,918
Investor Protection and Corporate Valuation
Harvard Institute of Economics Research Paper No. 1882
Number of pages: 45
Posted: 13 Dec 1999
Downloads
3,600
Investor Protection and Corporate Valuation
NBER Working Paper No. w7403
Number of pages: 44
Posted: 26 Jul 2000
Last Revised: 14 Oct 2010
Downloads
742
Investor Protection and Corporate Valuation
Journal of Finance, Vol. 57, pp. 1147-1170, 2002
Posted: 29 Nov 2003
Downloads
14,918
31.
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
University of California, Los Angeles (UCLA) and University of Florida - Department of Finance, Insurance and Real Estate
There are 3 versions of this paper
A Review of IPO Activity, Pricing and Allocations
Yale ICF Working Paper No. 02-01
Number of pages: 45
Posted: 09 Jan 2002
Downloads
14,851
A Review of IPO Activity, Pricing, and Allocations
NBER Working Paper No. w8805
Number of pages: 45
Posted: 21 Feb 2002
Last Revised: 26 Oct 2010
Downloads
203
A Review of IPO Activity, Pricing, and Allocations
Journal of Finance, Vol. 57, pp. 1795-1828, 2002
Posted: 30 Dec 2003
Downloads
14,851
32.
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
14,571
33.
The 7 Reasons Most Machine Learning Funds Fail (Presentation Slides)
Number of pages: 44
Posted: 06 Sep 2017
Last Revised: 04 Oct 2018
Working Paper Series
AQR Capital Management, LLC
Downloads
14,357
34.
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
University of Chicago - Finance and Harvard Business School
Downloads
14,265
35.
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
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
Offshore Hedge Funds: Survival & Performance 1989-1995
Yale School of Management Working Paper No. F-52B
Number of pages: 38
Posted: 27 Feb 1997
Downloads
13,791
Offshore Hedge Funds: Survival & Performance 1989-1995
NYU Working Paper No. FIN-98-011
Number of pages: 41
Posted: 07 Nov 2008
Downloads
220
Downloads
13,791
36.
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
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
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
Downloads
13,773
The Fundamentals of Commodity Futures Returns
NBER Working Paper No. w13249
Number of pages: 63
Posted: 13 Jul 2007
Last Revised: 15 Sep 2010
Downloads
255
Downloads
13,773
37.
Easy Volatility Investing
Number of pages: 34
Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads
13,248
38.
‘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
ARPM - Advanced Risk and Portfolio Management
Downloads
12,862
39.
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
Princeton University - Department of Economics and University of Chicago - Booth School of Business
There are 2 versions of this paper
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
Downloads
12,778
The Consequences of Mortgage Credit Expansion: Evidence from the 2007 Mortgage Default Crisis
NBER Working Paper No. w13936
Number of pages: 54
Posted: 17 Apr 2008
Last Revised: 01 Aug 2010
Downloads
378
Downloads
12,778
40.
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
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
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
Downloads
12,704
Mandatory IFRS Reporting Around the World: Early Evidence on the Economic Consequences
Journal of Accounting Research, Vol. 46, No. 5, pp. 1085-1142, 2008
Posted: 08 Sep 2008
Last Revised: 20 Nov 2011
Downloads
12,704
41.
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
Harvard Business School - Finance Unit, AQR Capital Management, LLC and Harvard Business School - Finance Unit
Downloads
12,624
42.
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
ARPM - Advanced Risk and Portfolio Management
Downloads
12,555
43.
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
12,543
44.
The Dow Theory: William Peter Hamilton's Track Record Re-Considered
Number of pages: 46
Posted: 11 Feb 1998
Working Paper Series
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
The Dow Theory: William Peter Hamilton's Track Record Re-Considered
Number of pages: 46
Posted: 11 Feb 1998
Downloads
12,528
The Dow Theory: William Peter Hamilton's Track Record Re-Considered
NYU Working Paper No. FIN-98-013
Number of pages: 45
Posted: 07 Nov 2008
Downloads
754
Downloads
12,528
45.
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
12,471
46.
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
ARPM - Advanced Risk and Portfolio Management
Downloads
12,244
47.
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
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
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
Downloads
12,139
Hedge Funds and the Asian Currency Crisis of 1997
NYU Working Paper No. FIN-98-014
Number of pages: 34
Posted: 07 Nov 2008
Downloads
137
Hedge Funds and the Asian Currency Crisis of 1997
NBER Working Paper No. w6427
Number of pages: 32
Posted: 05 Sep 2000
Last Revised: 08 Oct 2010
Downloads
132
Downloads
12,139
48.
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
U.S. Securities and Exchange Commission and Tilburg University - Department of Finance
Downloads
11,825
49.
The End of History for Corporate Law
Yale Law School Working Paper No. 235; NYU Working Paper No. 013; Harvard Law School Discussion Paper No. 280; Yale SOM Working Paper No. ICF - 00-09
Number of pages: 36
Posted: 10 Mar 2000
Working Paper Series
Yale University - Law School and Harvard Law School
Downloads
11,599
50.
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
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
11,332
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