1.
A Practitioner's Defense of Return Predictability
Number of pages: 37
Posted: 26 May 2015
Last Revised: 05 Aug 2015
Working Paper Series
Hull Investments LLC and SummerHaven Investment Management
Downloads
11,304
2.
Carry
Fama-Miller Working Paper
Number of pages: 67
Posted: 26 Jul 2013
Last Revised: 01 Nov 2016
Working Paper Series
University of Chicago - Booth School of Business, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
There are 3 versions of this paper
Downloads
9,456
Carry
NBER Working Paper No. w19325
Number of pages: 65
Posted: 17 Aug 2013
Last Revised: 07 Sep 2013
Downloads
115
Downloads
9,456
3.
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
Georgetown University - Department of Finance and Boston College - Department of Finance
Downloads
8,754
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
Illinois Institute of Technology, Northwestern University and Northwestern University
Downloads
7,571
5.
Volatility-Managed Portfolios
Journal of Finance, Forthcoming
Number of pages: 76
Posted: 12 Sep 2015
Last Revised: 08 Mar 2017
Accepted Paper Series
University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads
6,400
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
Man Group, Man AHL, Duke University - Fuqua School of Business, Pimco Europe and Man AHL
Downloads
5,567
7.
Forecasting a Volatility Tsunami
Number of pages: 18
Posted: 11 Apr 2017
Working Paper Series
Independent
Downloads
5,205
8.
Backtesting
Number of pages: 32
Posted: 27 Oct 2013
Last Revised: 30 Jul 2015
Working Paper Series
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads
4,793
9.
On the Performance of Cyclically Adjusted Valuation Measures
Number of pages: 18
Posted: 24 Sep 2013
Last Revised: 22 Oct 2013
Working Paper Series
Alpha Architect and Alpha Architect
Downloads
4,485
10.
Managerial Miscalibration
Quarterly Journal of Economics, Forthcoming
Number of pages: 38
Posted: 16 Jul 2010
Last Revised: 18 Sep 2013
Accepted Paper Series
Ohio State University (OSU) - Department of Finance, Duke University and Duke University - Fuqua School of Business
There are 2 versions of this paper
Managerial Miscalibration
Quarterly Journal of Economics, Forthcoming
Number of pages: 38
Posted: 16 Jul 2010
Last Revised: 18 Sep 2013
Downloads
4,103
Downloads
49
Downloads
4,103
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
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads
3,723
12.
Kinetic Component Analysis
Number of pages: 24
Posted: 08 Apr 2014
Last Revised: 08 Aug 2016
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and University of Oxford - Mathematical Institute
Downloads
3,177
13.
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
Cornell University - Operations Research & Industrial Engineering
Downloads
3,167
14.
Return Predictability and Market-Timing: A One-Month Model
Forthcoming in the Journal Of Investment Management
Number of pages: 30
Posted: 10 Oct 2017
Last Revised: 30 Jun 2018
Working Paper Series
Hull Investments LLC, SummerHaven Investment Management and Hull Tactical
Downloads
3,053
15.
Forecasting ETFs with Machine Learning Algorithms
Number of pages: 26
Posted: 17 Jan 2017
Last Revised: 30 Jan 2017
Working Paper Series
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School (JHU), Students
Downloads
3,013
16.
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
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich and ETH Zurich
Downloads
2,957
17.
Quantitative Meta-Strategies
Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming
Number of pages: 6
Posted: 10 Jan 2015
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
2,867
18.
Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less
Number of pages: 37
Posted: 19 Jul 2017
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads
2,674
19.
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
Microsoft Research - NYC and Columbia University, Barnard College - Department of Economics
Downloads
2,619
20.
Risk Everywhere: Modeling and Managing Volatility
Number of pages: 54
Posted: 28 Jan 2016
Last Revised: 22 Mar 2017
Working Paper Series
Duke University - Finance, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
There are 2 versions of this paper
Risk Everywhere: Modeling and Managing Volatility
Number of pages: 54
Posted: 28 Jan 2016
Last Revised: 22 Mar 2017
Downloads
2,608
Risk Everywhere: Modeling and Managing Volatility
CEPR Discussion Paper No. DP12687
Number of pages: 57
Posted: 14 Feb 2018
Downloads
3
Downloads
2,608
21.
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
String Advisors, Inc
Downloads
2,606
22.
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
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads
2,522
23.
Decoding Stock Market with Quant Alphas
Journal of Asset Management 19(1) (2018) 38-48
Number of pages: 20
Posted: 10 May 2017
Last Revised: 09 Feb 2018
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads
2,301
24.
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
Pennsylvania State University, University of North Carolina Kenan-Flagler Business School and Yale School of Management
Downloads
2,279
25.
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
Massachusetts Institute of Technology, Sloan School of Management, Students and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads
2,265
26.
Long Horizon Predictability: A Cautionary Tale
Number of pages: 21
Posted: 18 Mar 2018
Last Revised: 02 Aug 2018
Working Paper Series
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads
2,142
27.
Evaluation and Ranking of Market Forecasters
Number of pages: 26
Posted: 03 Apr 2017
Last Revised: 22 Jul 2017
Working Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Technology Sydney, Australia and Cornell University - Operations Research & Industrial Engineering
Downloads
1,914
28.
Realized and Anticipated Macroeconomic Conditions Forecast Stock Returns
Number of pages: 48
Posted: 05 Mar 2013
Last Revised: 21 Nov 2014
Working Paper Series
Cass Business School, Duke University - Fuqua School of Business and Unigestion SA
There are 2 versions of this paper
Realized and Anticipated Macroeconomic Conditions Forecast Stock Returns
Number of pages: 48
Posted: 05 Mar 2013
Last Revised: 21 Nov 2014
Downloads
1,905
Economic Cycles and Expected Stock Returns
CEPR Discussion Paper No. DP9528
Number of pages: 50
Posted: 02 Jul 2013
Downloads
11
Downloads
1,905
29.
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
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
1,855
30.
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
Dartmouth College - Tuck School of Business
Downloads
1,701
31.
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
StarCapital AG
Downloads
1,687
32.
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: 14 Jan 2018
Working Paper Series
Chinese University of Hong Kong - Department of Finance, University of Toronto, Rotman School of Management, School of Business, Renmin University of China and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads
1,570
33.
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
Yale SOM and Erasmus University Rotterdam (EUR)
There are 2 versions of this paper
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
Downloads
1,542
Downloads
65
Downloads
1,542
34.
Deep Learning and the Cross-Section of Expected Returns
Number of pages: 56
Posted: 06 Dec 2017
Last Revised: 11 Dec 2017
Working Paper Series
University of St. Gallen
Downloads
1,536
35.
Long-Horizon Returns
Chicago Booth Research Paper No. 17-17, Fama-Miller Working Paper
Number of pages: 28
Posted: 24 May 2017
Last Revised: 21 Nov 2017
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
1,461
36.
Tactical MPT and Momentum: The Modern Asset Allocation (MAA)
Number of pages: 47
Posted: 31 Dec 2013
Working Paper Series
VU University Amsterdam and Flex Capital BV
Downloads
1,431
37.
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
University of British Columbia (UBC) - Sauder School of Business and York University - Schulich School of Business
Downloads
1,430
38.
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
University of Lausanne and Emory University - Department of Finance
Downloads
1,378
39.
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
University of Toronto - Rotman School of Management, Northwestern University - Kellogg School of Management and Harvard Business School
Downloads
1,257
40.
Using Natural Language Processing Techniques for Stock Return Predictions
Number of pages: 54
Posted: 28 Mar 2017
Working Paper Series
University of California, Berkeley, Haas School of Business, Financial Engineering, Students, University Of California, Berkeley, Haas School of Business, Financial Engineering, University of California, Berkeley, Haas School of Business, Financial Engineering, Students and University of California, Berkeley, Haas School of Business, Financial Engineering, Students
Downloads
1,236
41.
Why Do Enterprise Multiples Predict Expected Stock Returns?
Number of pages: 30
Posted: 05 Oct 2016
Last Revised: 19 May 2018
Working Paper Series
University of Houston, Alpha Architect, Alpha Architect and affiliation not provided to SSRN
Downloads
1,207
42.
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
University of Arizona - Department of Finance and University of Missouri at Columbia - Department of Finance
Downloads
1,204
43.
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
Stanford University - Graduate School of Business, The University of Melbourne - Melbourne Business School and IDC Herzliya - Arison School of Business
Downloads
1,178
44.
Manager Sentiment and Stock Returns
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67
Posted: 21 Sep 2015
Last Revised: 13 Sep 2017
Working Paper Series
Central University of Finance and Economics (CUFE), University of Georgia, Washington University in Saint Louis - Olin School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads
1,175
45.
PnL Prediction under Extreme Scenarios
Number of pages: 8
Posted: 20 Jun 2013
Working Paper Series
Bank of America Merrill Lynch
Downloads
1,151
46.
Exchange Rates and Sovereign Risk
Number of pages: 85
Posted: 15 Nov 2013
Last Revised: 16 Oct 2016
Working Paper Series
Imperial College London, City University London - Sir John Cass Business School, Goethe University Frankfurt - Department of Finance and Copenhagen Business School
Downloads
1,122
47.
Which Variables Predict and Forecast Stock Market Returns?
Number of pages: 29
Posted: 29 Jun 2016
Working Paper Series
University of Stirling
Downloads
1,111
48.
Regime Shifts and Stock Return Predictability
International Review of Economics and Finance, Forthcoming
Number of pages: 50
Posted: 04 Jun 2014
Last Revised: 17 Nov 2017
Accepted Paper Series
University of Zurich and Invesco
Downloads
1,096
49.
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
University of Agder - School of Business and Law
Downloads
1,085
50.
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
Lawrence Berkeley National Laboratory, Northwestern University - Department of Engineering Sciences and Applied Mathematics, Cornell University - Operations Research & Industrial Engineering, Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads
1,083
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