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
92,214
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
60,577
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
46,356
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 Business School - Department of Economics and Columbia University, School of International and Public Affairs
Downloads
41,020
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
40,332
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
38,108
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: 14 Dec 2017
Accepted Paper Series
Microsoft Research New York City and New York University (NYU) - NYU Tandon School of Engineering
Downloads
38,013
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
37,262
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
37,262
9.
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
31,640
10.
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
29,214
Corporate Governance and Equity Prices
NBER Working Paper No. w8449
Number of pages: 70
Posted: 26 Aug 2001
Last Revised: 01 Feb 2021
Downloads
475
Downloads
29,214
11.
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
There are 2 versions of this paper
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
Downloads
27,980
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
27,980
12.
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
There are 3 versions of this paper
Facts and Fantasies About Commodity Futures
Number of pages: 41
Posted: 29 Jun 2004
Downloads
27,609
Facts and Fantasies About Commodity Futures
NBER Working Paper No. w10595
Number of pages: 41
Posted: 25 May 2006
Downloads
796
Facts and Fantasies About Commodity Futures
Financial Analysts Journal, Vol. 62, No. 2, pp. 47-68, April 2006
Posted: 23 May 2006
Downloads
27,609
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
27,264
14.
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
26,964
Downloads
26,964
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
26,745
16.
Understanding Modern Portfolio Construction
Number of pages: 46
Posted: 03 Mar 2016
Last Revised: 22 Sep 2016
Working Paper Series
Orcam Financial Group
Downloads
24,731
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
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
24,141
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
ARPM - Advanced Risk and Portfolio Management
Downloads
23,140
19.
A Sober Look at SPACs
Yale Journal on Regulation, Forthcoming, 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: 63
Posted: 16 Nov 2020
Last Revised: 02 Apr 2021
Accepted Paper Series
Stanford Law School, New York University School of Law and affiliation not provided to SSRN
Downloads
21,796
20.
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
20,405
21.
Executive Compensation
Number of pages: 91
Posted: 19 May 1999
Working Paper Series
University of Southern California - Marshall School of Business
Downloads
20,366
22.
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 Engineering
Downloads
20,347
23.
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
There are 2 versions of this paper
Downloads
19,544
24.
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
19,072
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
19,000
26.
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
18,462
27.
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
18,104
28.
Factor Investing
Columbia Business School Research Paper No. 13-42
Number of pages: 72
Posted: 11 Jun 2013
Working Paper Series
BlackRock, Inc
Downloads
17,646
29.
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 Engineering
Downloads
17,429
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 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
16,765
Size Matters, If You Control Your Junk
CEPR Discussion Paper No. DP12684
Number of pages: 62
Posted: 14 Feb 2018
Downloads
8
Downloads
16,765
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 Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
16,747
32.
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
16,186
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
9
Downloads
16,186
33.
Easy Volatility Investing
Number of pages: 34
Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads
15,831
34.
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
15,796
Investor Protection and Corporate Valuation
NBER Working Paper No. w7403
Number of pages: 44
Posted: 26 Jul 2000
Last Revised: 26 Mar 2021
Downloads
809
Downloads
15,796
35.
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)
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
15,663
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
240
Downloads
15,663
36.
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
15,172
37.
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
15,118
38.
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
14,869
39.
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
14,763
40.
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
14,464
The Fundamentals of Commodity Futures Returns
NBER Working Paper No. w13249
Number of pages: 63
Posted: 13 Jul 2007
Last Revised: 15 Mar 2021
Downloads
303
Downloads
14,464
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
14,384
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
14,168
43.
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
13,908
Offshore Hedge Funds: Survival & Performance 1989-1995
NYU Working Paper No. FIN-98-011
Number of pages: 41
Posted: 07 Nov 2008
Downloads
235
Downloads
13,908
44.
‘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
13,750
45.
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 - Miami Herbert Business School 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
13,649
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
827
Downloads
13,649
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
13,454
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
13,373
48.
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
13,277
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
13,277
49.
'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
13,263
50.
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
There are 2 versions of this paper
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
Downloads
13,109
Empirical Asset Pricing Via Machine Learning
NBER Working Paper No. w25398
Number of pages: 80
Posted: 26 Dec 2018
Last Revised: 26 Mar 2021
Downloads
38
Downloads
13,109
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