SSRN Econometric Modeling: Capital Markets

1.

A Practitioner's Defense of Return Predictability

Number of pages: 37 Posted: 26 May 2015 Last Revised: 05 Aug 2015

Working Paper Series

Blair Hull and Xiao Qiao

Hull Investments LLC and SummerHaven Investment Management

Downloads 8,756

2.

Does Academic Research Destroy Stock Return Predictability?

Journal of Finance, Forthcoming

Number of pages: 48 Posted: 04 Oct 2012 Last Revised: 24 Feb 2016

Accepted Paper Series

R. David McLean and Jeffrey Pontiff

Georgetown University - Department of Finance and Boston College - Department of Finance

Downloads 8,269

3.

Carry

Fama-Miller Working Paper

Number of pages: 67 Posted: 26 Jul 2013 Last Revised: 01 Nov 2016

Working Paper Series

Ralph S. J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen and Evert B. Vrugt

New York University (NYU) - Department of Finance, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM

There are 4 versions of this paper

Downloads 7,816

4.

Classification-Based Financial Markets Prediction Using Deep Neural Networks

Algorithmic Finance, 2016.

Number of pages: 20 Posted: 30 Mar 2016 Last Revised: 09 Dec 2016

Accepted Paper Series

Matthew Francis Dixon, Diego Klabjan and Jin Hoon Bang

Illinois Institute of Technology - Stuart School of Business, IIT, Northwestern University and Northwestern University

Downloads 5,342

5.

Volatility-Managed Portfolios

Journal of Finance, Forthcoming

Number of pages: 76 Posted: 12 Sep 2015 Last Revised: 08 Mar 2017

Accepted Paper Series

Alan Moreira and Tyler Muir

Yale University and University of California, Los Angeles (UCLA) - Anderson School of Management

There are 2 versions of this paper

Downloads 4,995

6.

Dissecting Investment Strategies in the Cross Section and Time Series

Number of pages: 31 Posted: 24 Nov 2015 Last Revised: 07 Dec 2015

Working Paper Series

Jamil Baz, Nicolas M. Granger, Campbell R. Harvey, Nicolas Le Roux and Sandy Rattray

Man Group, Man AHL, Duke University - Fuqua School of Business, Pimco Europe and Man AHL

Downloads 4,834

7.

Backtesting

Number of pages: 32 Posted: 27 Oct 2013 Last Revised: 30 Jul 2015

Working Paper Series

Campbell R. Harvey and Yan Liu

Duke University - Fuqua School of Business and Texas A&M University, Department of Finance

Downloads 4,336

8.

On the Performance of Cyclically Adjusted Valuation Measures

Number of pages: 18 Posted: 24 Sep 2013 Last Revised: 22 Oct 2013

Working Paper Series

Wesley R. Gray and Jack Vogel

Alpha Architect and Alpha Architect

Downloads 4,319

9.

Managerial Miscalibration

Quarterly Journal of Economics, Forthcoming

Number of pages: 38 Posted: 16 Jul 2010 Last Revised: 18 Sep 2013

Accepted Paper Series

Itzhak Ben-David, John R. Graham and Campbell R. Harvey

Ohio State University - Fisher College of Business, Finance Department, Duke University and Duke University - Fuqua School of Business

There are 2 versions of this paper

Downloads 4,013

10.

Forecasting a Volatility Tsunami

Number of pages: 18 Posted: 11 Apr 2017

Working Paper Series

Andrew Thrasher, CMT

Independent

Downloads 3,791

11.

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Number of pages: 67 Posted: 19 Aug 2013 Last Revised: 10 Jul 2017

Working Paper Series

Dashan Huang, Fuwei Jiang, Jun Tu and Guofu Zhou

Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business

Downloads 3,336

12.

Low-Frequency Traders in a High-Frequency World: A Survival Guide

Number of pages: 41 Posted: 23 Sep 2012 Last Revised: 26 May 2014

Working Paper Series

Marcos Lopez de Prado

Guggenheim Partners, LLC

Downloads 2,884

13.

Forecasting Equity Returns: An Analysis of Macro vs. Micro Earnings and an Introduction of a Composite Valuation Model

Number of pages: 55 Posted: 22 Feb 2013 Last Revised: 10 Feb 2015

Working Paper Series

Stephen Jones

String Advisors, Inc

Downloads 2,562

14.

Kinetic Component Analysis

Number of pages: 24 Posted: 08 Apr 2014 Last Revised: 08 Aug 2016

Working Paper Series

Marcos Lopez de Prado and Riccardo Rebonato

Guggenheim Partners, LLC and University of Oxford - Mathematical Institute

Downloads 2,540

15.

Trading Strategies and Market Microstructure: Evidence from a Prediction Market

The Journal of Prediction Markets 10 (1), 1-29, 2016

Number of pages: 29 Posted: 09 Sep 2013 Last Revised: 04 Oct 2016

Accepted Paper Series

David M. Rothschild and Rajiv Sethi

Microsoft Research - NYC and Columbia University, Barnard College - Department of Economics

Downloads 2,448

16.

Forecasting Stock Returns in Good and Bad Times: The Role of Market States

27th Australasian Finance and Banking Conference 2014 Paper, Asian Finance Association (AsianFA) 2016 Conference

Number of pages: 41 Posted: 14 Dec 2012 Last Revised: 01 Aug 2017

Working Paper Series

Dashan Huang, Fuwei Jiang, Jun Tu and Guofu Zhou

Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business

Downloads 2,203

17.

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017

Working Paper Series

Tim Bollerslev, Benjamin Hood, John Huss and Lasse Heje Pedersen

Duke University - Finance, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Downloads 2,058

18.

The Wisdom of Twitter Crowds: Predicting Stock Market Reactions to FOMC Meetings via Twitter Feeds

Number of pages: 21 Posted: 31 Mar 2016

Working Paper Series

Pablo Azar and Andrew W. Lo

Massachusetts Institute of Technology, Sloan School of Management, Students and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 1,996

19.

Realized and Anticipated Macroeconomic Conditions Forecast Stock Returns

Number of pages: 48 Posted: 05 Mar 2013 Last Revised: 21 Nov 2014

Working Paper Series

Alessandro Beber, Michael W. Brandt and Maurizio Luisi

Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN

There are 2 versions of this paper

Downloads 1,868

20.

The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns

Number of pages: 80 Posted: 09 May 2013 Last Revised: 16 Oct 2016

Working Paper Series

Jeremiah Green, John R. M. Hand and Frank Zhang

Pennsylvania State University, University of North Carolina Kenan-Flagler Business School and Yale School of Management

Downloads 1,857

21.

Option-Implied Volatility Measures and Stock Return Predictability

Journal of Derivatives, Forthcoming

Number of pages: 44 Posted: 14 Feb 2014 Last Revised: 24 Aug 2016

Accepted Paper Series

Xi Fu, Yakup Eser Arısoy, Mark B. Shackleton and Mehmet Umutlu

University of Liverpool, Université Paris Dauphine - DRM Finance, Lancaster University - Department of Accounting and Finance and Yasar University - Department of International Trade and Finance

Downloads 1,830

22.

Quantitative Meta-Strategies

Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming

Number of pages: 6 Posted: 10 Jan 2015

Accepted Paper Series

Marcos Lopez de Prado

Guggenheim Partners, LLC

Downloads 1,760

23.

Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles

Swiss Finance Institute Research Paper No. 17-27

Number of pages: 127 Posted: 24 Jul 2017

Working Paper Series

Didier Sornette, Peter Cauwels and Georgi Smilyanov

ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich and ETH Zurich

Downloads 1,598

24.

Tail Risk and Asset Prices

Chicago Booth Research Paper No. 13-67

Number of pages: 55 Posted: 05 Sep 2013 Last Revised: 11 Jan 2014

Working Paper Series

Bryan T. Kelly and Hao Jiang

University of Chicago - Finance and Erasmus University Rotterdam (EUR)

There are 2 versions of this paper

Downloads 1,451

25.

Decoding Stock Market with Quant Alphas

Journal of Asset Management (Forthcoming)

Number of pages: 20 Posted: 10 May 2017 Last Revised: 10 Aug 2017

Accepted Paper Series

Zura Kakushadze and Willie Yu

Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology

Downloads 1,446

26.

Volatility Forecasts, Trading Volume and the ARCH vs Option-Implied Volatility Tradeoff

SFU Economics Discussion Paper No. 01-1, Sauder School of Business Working Paper

Number of pages: 25 Posted: 21 Feb 2001

Working Paper Series

R. Glen Donaldson and Mark J. Kamstra

University of British Columbia (UBC) - Sauder School of Business and York University - Schulich School of Business

Downloads 1,424

27.

The Cross Section of Expected Stock Returns

Forthcoming in Critical Finance Review, Tuck School of Business Working Paper No. 2511246

Number of pages: 41 Posted: 18 Oct 2014

Working Paper Series

Jonathan Lewellen

Dartmouth College - Tuck School of Business

Downloads 1,381

28.

Predicting Stock Market Returns Using the Shiller CAPE — An Improvement Towards Traditional Value Indicators?

Number of pages: 39 Posted: 24 Feb 2016

Working Paper Series

Norbert Keimling

StarCapital AG

Downloads 1,373

29.

Forecasting ETFs with Machine Learning Algorithms

Number of pages: 26 Posted: 17 Jan 2017 Last Revised: 30 Jan 2017

Working Paper Series

Jim Kyung-Soo Liew and Boris Mayster

Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School (JHU), Students

Downloads 1,350

30.

Tactical MPT and Momentum: The Modern Asset Allocation (MAA)

Number of pages: 47 Posted: 31 Dec 2013

Working Paper Series

Wouter J. Keller and Hugo S. van Putten

VU University Amsterdam and Flex Capital BV

Downloads 1,308

31.

Option Return Predictability

27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267

Number of pages: 60 Posted: 06 Dec 2015 Last Revised: 06 Apr 2017

Working Paper Series

Jie Cao, Bing Han, Qing Tong and Xintong Zhan

Chinese University of Hong Kong - Department of Finance, University of Toronto, Rotman School of Management, Singapore Management University - Lee Kong Chian School of Business and Erasmus University Rotterdam

Downloads 1,284

32.

Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less

Number of pages: 37 Posted: 19 Jul 2017

Working Paper Series

Wouter J. Keller and Jan Willem Keuning

VU University Amsterdam and TrendXplorer

Downloads 1,188

33.

Accounting Data, Market Values, and the Cross Section of Expected Returns Worldwide

Harvard Business School Accounting & Management Unit Working Paper No. 15-092

Number of pages: 60 Posted: 02 Jun 2015 Last Revised: 19 Jan 2016

Working Paper Series

Akash Chattopadhyay, Matthew R. Lyle and Charles C. Y. Wang

University of Toronto - Rotman School of Management, Northwestern University - Kellogg School of Management and Harvard Business School

Downloads 1,128

34.

Evaluation and Ranking of Market Forecasters

Number of pages: 26 Posted: 03 Apr 2017 Last Revised: 22 Jul 2017

Working Paper Series

David H. Bailey, Jonathan M. Borwein, Amir Salehipour and Marcos Lopez de Prado

Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Newcastle, Australia and Guggenheim Partners, LLC

Downloads 1,123

35.

What Do Accruals Tell Us About Future Cash Flows?

Review of Accounting Studies, Vol. 21, Pages 768-807, 2016

Number of pages: 64 Posted: 14 Mar 2016 Last Revised: 15 Aug 2016

Accepted Paper Series

Mary E. Barth, Greg Clinch and Doron Israeli

Stanford University - Graduate School of Business, University of Melbourne - Department of Accounting and IDC Herzliya - Arison School of Business

Downloads 1,116

36.

Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly

Journal of Finance, Forthcoming

Number of pages: 92 Posted: 23 Apr 2013 Last Revised: 24 Jun 2015

Accepted Paper Series

Scott Cederburg and Michael S. O'Doherty

University of Arizona - Department of Finance and University of Missouri at Columbia - Department of Finance

Downloads 1,072

37.

Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?

Swiss Finance Institute Research Paper No. 15-13

Number of pages: 72 Posted: 25 May 2015 Last Revised: 18 Oct 2017

Working Paper Series

Amit Goyal and Narasimhan Jegadeesh

University of Lausanne and Emory University - Department of Finance

Downloads 1,009

38.

Regime Shifts and Stock Return Predictability

Number of pages: 48 Posted: 04 Jun 2014 Last Revised: 31 Jan 2017

Working Paper Series

Regina Hammerschmid and Harald Lohre

University of Zurich and Invesco

Downloads 1,006

39.

Can Warren Buffett Forecast Equity Market Corrections?

Number of pages: 39 Posted: 14 Jul 2015 Last Revised: 14 Jul 2017

Working Paper Series

Sebastien Lleo and William T. Ziemba

NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business

Downloads 1,003

40.

Dynamic Asset Allocation Strategies Based on Unexpected Volatility

Journal of Alternative Investments, Vol. 16, No. 4, 2014

Number of pages: 6 Posted: 21 Nov 2013 Last Revised: 21 Jun 2014

Accepted Paper Series

Valeriy Zakamulin

University of Agder - School of Business and Law

Downloads 1,001

41.

PnL Prediction under Extreme Scenarios

Number of pages: 8 Posted: 20 Jun 2013

Working Paper Series

Julien Pantz

Bank of America Merrill Lynch

Downloads 999

42.

Why Do Enterprise Multiples Predict Expected Stock Returns?

Number of pages: 30 Posted: 05 Oct 2016 Last Revised: 04 May 2017

Working Paper Series

Steve Crawford, Wesley R. Gray, Jack Vogel and Yang Xu

University of Houston, Alpha Architect, Alpha Architect and Alpha Architect

Downloads 978

43.

Exchange Rates and Sovereign Risk

Number of pages: 82 Posted: 15 Nov 2013 Last Revised: 16 Oct 2016

Working Paper Series

Pasquale Della Corte, Lucio Sarno, Maik Schmeling and Christian Wagner

Imperial College London, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Copenhagen Business School

Downloads 971

44.

Statistical Overfitting and Backtest Performance

"Risk-Based and Factor Investing", Quantitative Finance Elsevier, 2015 (Forthcoming).

Number of pages: 10 Posted: 09 Oct 2014 Last Revised: 05 Jul 2015

Accepted Paper Series

David H. Bailey, Stephanie Ger, Marcos Lopez de Prado, Alexander Sim and Kesheng Wu

Lawrence Berkeley National Laboratory, Northwestern University - Department of Engineering Sciences and Applied Mathematics, Guggenheim Partners, LLC, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory

Downloads 929

45.

Variance Risk Premia in Commodity Markets

Number of pages: 59 Posted: 04 Jan 2013 Last Revised: 07 Apr 2014

Working Paper Series

Marcel Prokopczuk and Chardin Wese Simen

Leibniz Universität Hannover - Faculty of Economics and Management and ICMA Centre

Downloads 922

46.

Using Natural Language Processing Techniques for Stock Return Predictions

Number of pages: 54 Posted: 28 Mar 2017

Working Paper Series

Ming Li Chew, Sahil Puri, Arsh Sood and Adam Wearne

University of California, Berkeley, Haas School of Business, Financial Engineering, Students, University of California, Berkeley, Haas School of Business, Financial Engineering, Students, University of California, Berkeley, Haas School of Business, Financial Engineering, Students and University of California, Berkeley, Haas School of Business, Financial Engineering, Students

Downloads 887

47.

A Test of Covariance Matrix Forecasting Methods

Journal of Portfolio Management, 215

Number of pages: 7 Posted: 20 Mar 2014 Last Revised: 26 Mar 2015

Accepted Paper Series

Valeriy Zakamulin

University of Agder - School of Business and Law

Downloads 877

48.

Disagreement in Economic Forecasts and Expected Stock Returns

Georgetown McDonough School of Business Research Paper No. 2407279

Number of pages: 61 Posted: 12 Mar 2014 Last Revised: 02 Jun 2017

Working Paper Series

Turan G. Bali, Stephen Brown and Yi Tang

Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business and Fordham University - Gabelli School of Business

Downloads 876

49.

Political Sentiment and Predictable Returns

Number of pages: 72 Posted: 02 Nov 2012 Last Revised: 01 Mar 2016

Working Paper Series

Jawad M. Addoum and Alok Kumar

Cornell University and University of Miami - School of Business Administration

Downloads 867

50.

Forecasting Corporate Bond Returns: An Iterated Combination Approach

Number of pages: 33 Posted: 28 Oct 2013 Last Revised: 23 Jun 2016

Working Paper Series

Hai Lin, Chunchi Wu and Guofu Zhou

Victoria University of Wellington - School of Economics & Finance, State University of New York at Buffalo and Washington University in St. Louis - Olin School of Business

Downloads 863

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