1.
151 Trading Strategies
Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 361
Posted: 13 Sep 2018
Last Revised: 16 Sep 2019
Accepted Paper Series
Quantigic Solutions LLC and University of CEMA
Downloads
50,571
2.
A Practitioner's Defense of Return Predictability
Number of pages: 37
Posted: 22 May 2019
Last Revised: 22 May 2019
Working Paper Series
Hull Investments LLC and Paraconic Technologies US Inc.
Downloads
13,616
3.
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
12,045
Carry
NBER Working Paper No. w19325
Number of pages: 65
Posted: 17 Aug 2013
Last Revised: 07 Sep 2013
Downloads
169
Downloads
12,045
4.
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
10,119
5.
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
9,438
6.
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
8,691
7.
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 Group plc
Downloads
8,020
8.
Forecasting a Volatility Tsunami
Number of pages: 18
Posted: 11 Apr 2017
Working Paper Series
Independent
Downloads
7,906
9.
A Backtesting Protocol in the Era of Machine Learning
Number of pages: 18
Posted: 13 Nov 2018
Last Revised: 24 Nov 2018
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business and University of California at San Diego
Downloads
6,633
10.
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
6,200
11.
Backtesting
Number of pages: 32
Posted: 27 Oct 2013
Last Revised: 30 Jul 2015
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads
5,991
12.
Quant Bust 2020
World Economics 21(2) (2020) 183-217
Number of pages: 29
Posted: 07 Apr 2020
Last Revised: 24 Jul 2020
Accepted Paper Series
Quantigic Solutions LLC
Downloads
5,316
13.
Ten Financial Applications of Machine Learning (Seminar Slides)
Number of pages: 27
Posted: 18 Jun 2018
Last Revised: 27 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
5,268
14.
Return Predictability and Market-Timing: A One-Month Model
Journal Of Investment Management, 17.3 (2019):47-64.
Number of pages: 30
Posted: 10 Oct 2017
Last Revised: 07 Oct 2019
Working Paper Series
Hull Investments LLC, Paraconic Technologies US Inc. and Hull Tactical
Downloads
5,021
15.
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
4,868
16.
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
4,734
17.
Kinetic Component Analysis
Journal of Investing, Vol. 25, No. 3, 2016
Number of pages: 24
Posted: 21 May 2019
Last Revised: 30 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and University of Oxford - Mathematical Institute
Downloads
4,696
18.
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
Review of Financial Studies 28, 791-837, 2015
Number of pages: 67
Posted: 19 Aug 2013
Last Revised: 30 Jan 2019
Accepted 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
4,641
19.
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
4,342
20.
Managerial Miscalibration
Quarterly Journal of Economics, Forthcoming
Number of pages: 38
Posted: 16 Jul 2010
Last Revised: 30 Oct 2019
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: 30 Oct 2019
Downloads
4,316
Managerial Miscalibration
NBER Working Paper No. w16215
Number of pages: 39
Posted: 26 Jul 2010
Last Revised: 03 Aug 2010
Downloads
60
Downloads
4,316
21.
Macro vs. Micro Earnings, 'Macro-Earnings Negativity', and an Introduction to a Composite Valuation Model
Number of pages: 50
Posted: 22 Feb 2013
Last Revised: 26 May 2019
Working Paper Series
Independent
Downloads
3,969
22.
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
3,884
23.
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
Texas A&M University - Department of Accounting, University of North Carolina Kenan-Flagler Business School and Yale School of Management
Downloads
3,636
24.
Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)
Number of pages: 29
Posted: 01 Aug 2018
Last Revised: 02 Jan 2019
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads
3,460
25.
Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles
Quantitative Finance and Economics, 2 (1), 486-594 (2018), 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
3,450
26.
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 (UTS) and Cornell University - Operations Research & Industrial Engineering
Downloads
3,272
27.
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
3,128
28.
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, Parametric Portfolio Associates, 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
3,075
Risk Everywhere: Modeling and Managing Volatility
CEPR Discussion Paper No. DP12687
Number of pages: 57
Posted: 14 Feb 2018
Downloads
3
Downloads
3,075
29.
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 and Columbia University, Barnard College - Department of Economics
Downloads
3,050
30.
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
2,954
31.
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
2,791
32.
A Census of the Factor Zoo
Number of pages: 7
Posted: 18 Mar 2019
Last Revised: 16 Oct 2020
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads
2,725
33.
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
affiliation not provided to SSRN
Downloads
2,509
34.
Automated Earnings Forecasts: Beat Analysts or Combine and Conquer?
Management Science, Forthcoming
Number of pages: 52
Posted: 23 May 2017
Accepted Paper Series
The Stephen M. Ross School of Business at the University of Michigan and University of North Carolina Kenan-Flagler Business School
There are 2 versions of this paper
Automated Earnings Forecasts: Beat Analysts or Combine and Conquer?
Management Science, Forthcoming
Number of pages: 52
Posted: 23 May 2017
Downloads
2,508
Automated Earnings Forecasts:- Beat Analysts or Combine and Conquer?
CEPR Discussion Paper No. DP12179
Number of pages: 55
Posted: 04 Aug 2017
Downloads
1
Downloads
2,508
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
2,376
36.
Bond Risk Premia with Machine Learning
WBS Finance Group Research Paper No. 252
Number of pages: 86
Posted: 26 Aug 2018
Last Revised: 08 Apr 2020
Working Paper Series
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads
2,279
37.
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
2,276
38.
Option Return Predictability
27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267
Number of pages: 66
Posted: 06 Dec 2015
Last Revised: 08 Jun 2020
Working Paper Series
The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Toronto, Rotman School of Management, School of Business, Renmin University of China and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads
2,270
39.
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 Square Macro
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
2,250
Economic Cycles and Expected Stock Returns
CEPR Discussion Paper No. DP9528
Number of pages: 50
Posted: 02 Jul 2013
Downloads
11
Downloads
2,250
40.
Which Variables Predict and Forecast Stock Market Returns?
Number of pages: 29
Posted: 29 Jun 2016
Working Paper Series
University of Stirling
Downloads
2,200
41.
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), Brigham Young University, Washington University in Saint Louis - Olin School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads
2,116
42.
Using Natural Language Processing Techniques for Stock Return Predictions
Number of pages: 54
Posted: 15 Feb 2020
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
1,996
43.
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
1,852
44.
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
1,672
45.
Factor Timing
Number of pages: 79
Posted: 05 Apr 2017
Last Revised: 31 Dec 2019
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Maryland - Robert H. Smith School of Business and University of Colorado at Boulder - Department of Finance
There are 3 versions of this paper
Downloads
50
Downloads
1,649
46.
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
1,648
Downloads
1,648
47.
Exchange Rates and Sovereign Risk
Number of pages: 85
Posted: 15 Nov 2013
Last Revised: 10 Aug 2018
Working Paper Series
Imperial College Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads
1,588
48.
Generalized Autoregressive Score Models in R: The GAS Package
Journal of Statistical Software, Vol. 88, Issue 6, pp. 1-28, 2019
Number of pages: 28
Posted: 21 Aug 2016
Last Revised: 04 Feb 2019
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads
1,586
49.
Robust Measures of Earnings Surprises
Journal of Finance, Forthcoming
Number of pages: 52
Posted: 29 Jul 2014
Last Revised: 06 May 2018
Accepted Paper Series
Independent, Princeton University - Department of Operations Research & Financial Engineering (ORFE), Princeton University - Bendheim Center for Finance, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Singapore Management University
Downloads
1,552
50.
Betas, Benchmarks and Beating the Market
The Journal of Trading 13(3) (2018) 44-66
Number of pages: 36
Posted: 05 Jun 2018
Last Revised: 14 Jun 2019
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads
1,544
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