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Finance Research Centers Papers

9,106,691 Total downloads

Viewing: 1 - 50 of 14,090 papers

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 93,398
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 68,296
3.

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 47,967
4.

Corporate Governance and Control

Number of pages: 128 Posted: 31 Oct 2002
Working Paper Series
Solvay Brussels School of Economics and Management (ULB), Columbia University - Columbia Business School, Economics and Columbia University, School of International and Public Affairs
Downloads 41,501
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 41,241
6.

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 39,904
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

Multiple version iconThere are 2 versions of this paper

Downloads 39,502
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 38,792
9.

A Sober Look at SPACs

Yale Journal on Regulation, 2022, Volume 39, Issue 1., Stanford Law and Economics Olin Working Paper No. 559, NYU Law and Economics Research Paper No. 20-48, European Corporate Governance Institute – Finance Working Paper No. 746/2021
Number of pages: 96 Posted: 16 Nov 2020 Last Revised: 25 Jan 2022
Accepted Paper Series
Stanford Law School, New York University School of Law and affiliation not provided to SSRN
Downloads 37,890
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 SOMAQR Capital
Downloads 33,406
11.

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

Multiple version iconThere are 3 versions of this paper

Downloads 31,183
12.

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

Multiple version iconThere are 2 versions of this paper

Downloads 29,343
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 28,253
14.

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

Multiple version iconThere are 3 versions of this paper

Downloads 28,041
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 27,572
16.

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

Multiple version iconThere are 2 versions of this paper

Downloads 27,178
17.

Understanding Modern Portfolio Construction

Number of pages: 46 Posted: 03 Mar 2016 Last Revised: 22 Sep 2016
Working Paper Series
Orcam Financial Group
Downloads 26,748
18.

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 24,808
19.

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 24,319
20.

Building Diversified Portfolios that Outperform Out-of-Sample

Journal of Portfolio Management, 2016; https://doi.org/10.3905/jpm.2016.42.4.059.
Number of pages: 31 Posted: 17 Jul 2019 Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 22,300
21.

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
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 21,998
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
Cambria Investment Management
Downloads 20,868
23.

Executive Compensation

Number of pages: 91 Posted: 19 May 1999
Working Paper Series
University of Southern California - Marshall School of Business
Downloads 20,794
24.

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

Multiple version iconThere are 2 versions of this paper

Downloads 19,797
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
ARPM - Advanced Risk and Portfolio Management
Downloads 19,554
26.

International Corporate Governance

Number of pages: 62 Posted: 30 Jul 2002
Working Paper Series
University of Pittsburgh - Katz School of Business and Purdue University
Downloads 19,384
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 18,793
28.

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 18,648
29.

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 18,612
30.

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

Multiple version iconThere are 2 versions of this paper

Downloads 17,488
31.

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 16,975
32.

Easy Volatility Investing

Number of pages: 34 Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads 16,907
33.

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 16,859
34.

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

Multiple version iconThere are 2 versions of this paper

Downloads 16,754
35.

How Do Venture Capitalists Make Decisions?

Stanford University Graduate School of Business Research Paper No. 16-33, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 477/2016
Number of pages: 95 Posted: 29 Jun 2016 Last Revised: 10 May 2017
Working Paper Series
Harvard Business School - Finance Unit, University of British Columbia (UBC) - Sauder School of Business, University of Chicago - Booth School of Business and Stanford University - Graduate School of Business
Downloads 16,449
36.

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

Multiple version iconThere are 3 versions of this paper

Downloads 16,184
37.

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

Multiple version iconThere are 4 versions of this paper

Downloads 16,069
38.

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 16,042
39.

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79 Posted: 09 Apr 2018 Last Revised: 15 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 15,698
40.

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 15,490
41.

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 15,381
42.

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 15,326
43.

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 15,036
44.

Non-Life Insurance: Mathematics & Statistics

Number of pages: 319 Posted: 03 Sep 2013 Last Revised: 07 Feb 2022
Working Paper Series
RiskLab, ETH Zurich
Downloads 14,989
45.

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

Multiple version iconThere are 2 versions of this paper

Downloads 14,773
46.

'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance

GARP Risk Professional, pp. 47-50, February 2011
Number of pages: 8 Posted: 23 Jan 2011
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 14,440
47.

The End of History for Corporate Law

Number of pages: 36 Posted: 10 Mar 2000
Working Paper Series
Yale University - Law School and Harvard Law School
Downloads 14,381
48.

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 14,276
49.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) , Johnson School Research Paper Series No. 9-2012
Number of pages: 23 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 14,155
50.

Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 14,140