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Econometric Modeling: Capital Markets - Asset Pricing eJournal

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Viewing: 1 - 50 of 4,703 papers

1.

Global Value: Building Trading Models with the 10 Year CAPE

Cambria Quantitative Research, No. 5, August 2012
Number of pages: 15 Posted: 21 Aug 2012 Last Revised: 13 Sep 2012
Accepted Paper Series
Meb Faber
Cambria Investment Management
Downloads 28,372
2.

101 Formulaic Alphas

Wilmott Magazine 2016(84) (2016) 72-80
Number of pages: 22 Posted: 10 Dec 2015 Last Revised: 29 Jul 2016
Accepted Paper Series
Zura Kakushadze
Quantigic Solutions LLC
Downloads 22,113
3.

Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay

Number of pages: 33 Posted: 04 Apr 2013 Last Revised: 13 Jun 2015
Working Paper Series
Gary Antonacci
Portfolio Management Consultants
Downloads 20,293
4.

Tesla: Anatomy of a Run-Up Value Creation or Investor Sentiment?

Number of pages: 46 Posted: 28 Apr 2014
Working Paper Series
Bradford Cornell and Aswath Damodaran
California Institute of Technology and New York University - Stern School of Business
Downloads 20,029
5.

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
Ivo Welch and Jay R. Ritter
University of California, Los Angeles (UCLA) and University of Florida - Department of Finance, Insurance and Real Estate

Multiple version iconThere are 3 versions of this paper

Downloads 14,316
6.

…and the Cross-Section of Expected Returns

Number of pages: 101 Posted: 17 Apr 2013 Last Revised: 21 Apr 2015
Working Paper Series
Campbell R. Harvey, Yan Liu and Heqing Zhu
Duke University - Fuqua School of Business, Texas A&M University, Department of Finance and Duke University - Fuqua School of Business
Downloads 14,065
7.

Mean-Reversion and Optimization

Journal of Asset Management 16(1) (2015) 14-40
Number of pages: 41 Posted: 11 Aug 2014 Last Revised: 15 Feb 2016
Accepted Paper Series
Zura Kakushadze
Quantigic Solutions LLC
Downloads 10,193
8.

Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask

Number of pages: 82 Posted: 18 Feb 2013 Last Revised: 03 Apr 2013
Working Paper Series
Ferdinando M. Ametrano and Marco Bianchetti
Milan Bicocca University - Department of Statistics and Quantitative Methods and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 7,650
9.

Phynance

Univ. J. Phys. Appl. 9(2) (2015) 64-133
Number of pages: 111 Posted: 08 May 2014 Last Revised: 12 Apr 2015
Accepted Paper Series
Zura Kakushadze
Quantigic Solutions LLC
Downloads 5,826
10.

Value and Momentum Everywhere

Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72 Posted: 14 Nov 2012
Working Paper Series
Clifford S. Asness, Tobias J. Moskowitz and Lasse Heje Pedersen
AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 5,726
11.

Dissecting Anomalies with a Five-Factor Model

Fama-Miller Working Paper
Number of pages: 49 Posted: 01 Oct 2014 Last Revised: 26 Jun 2015
Working Paper Series
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 5,336
12.

Performance v. Turnover: A Story by 4,000 Alphas

The Journal of Investment Strategies 5(2) (2016) 75-89, Invited Investment Strategy Forum Paper
Number of pages: 17 Posted: 10 Sep 2015 Last Revised: 22 Mar 2016
Accepted Paper Series
Zura Kakushadze and Igor Tulchinsky
Quantigic Solutions LLC and WorldQuant LLC
Downloads 4,900
13.

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

Multiple version iconThere are 2 versions of this paper

Downloads 4,800
14.

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 4,604
15.

Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices

Journal of Asset Management, Vol. 12, 3, 185-202, 2010
Number of pages: 22 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Accepted Paper Series
Christian Dunis, Jason Laws and Jozef Rudy
John Moores University - Business School, University of Liverpool, Management School (ULMS), Students and Harvest Alpha Capital
Downloads 4,422
16.

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 4,190
17.

Multifactor Risk Models and Heterotic CAPM

The Journal of Investment Strategies 5(4) (2016) 1-49
Number of pages: 49 Posted: 26 Jan 2016 Last Revised: 10 Sep 2016
Accepted Paper Series
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 3,955
18.

Price to Earnings Ratio, Value to Book Ratio and Growth

Number of pages: 19 Posted: 12 Feb 2013 Last Revised: 20 Nov 2015
Working Paper Series
Pablo Fernandez
University of Navarra - IESE Business School
Downloads 3,932
19.

Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)

Betriebswirtschaftliche Forschung & Praxis, 65 (5), pp. 469-492, CEFS Working Paper 01-2011
Number of pages: 32 Posted: 17 Nov 2011 Last Revised: 13 Nov 2013
Accepted Paper Series
Matthias X. Hanauer, Christoph Kaserer and Marc Steffen Rapp
Robeco Asset Management - Quantitative Strategies, Technische Universität München (TUM) and University of Marburg - School of Business & Economics
Downloads 3,867
20.

Jack Treynor's 'Toward a Theory of Market Value of Risky Assets'

Number of pages: 20 Posted: 08 Dec 2004 Last Revised: 02 Sep 2015
Working Paper Series
Jack L. Treynor
Independent
Downloads 3,646
21.

International Tests of a Five-Factor Asset Pricing Model

Fama-Miller Working Paper, Tuck School of Business Working Paper No. 2622782
Number of pages: 48 Posted: 26 Jun 2015 Last Revised: 31 Dec 2015
Working Paper Series
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 3,645
22.

What is the Optimal Method to Value a Football Club?

Number of pages: 32 Posted: 24 Mar 2013
Working Paper Series
Tom Markham
University of Reading - ICMA Centre
Downloads 3,616
23.

Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks)

Number of pages: 77 Posted: 20 May 2015 Last Revised: 11 May 2017
Working Paper Series
Christopher Geczy and Mikhail Samonov
University of Pennsylvania - The Wharton School, Finance Department and Forefront Analytics
Downloads 3,501
24.

Is There a Dark Side to Exchange Traded Funds? An Information Perspective

Review of Accounting Studies, Vol. 22, Pages 1048-1083, 2017
Number of pages: 56 Posted: 03 Jul 2015 Last Revised: 09 Aug 2017
Accepted Paper Series
Doron Israeli, Charles M.C. Lee and Suhas A. Sridharan
Interdisciplinary Center (IDC) Herzliya - Arison School of Business, Stanford University - Graduate School of Business and Emory University - Goizueta Business School
Downloads 3,425
25.

A Century of Generalized Momentum; From Flexible Asset Allocations (FAA) to Elastic Asset Allocation (EAA)

Number of pages: 32 Posted: 31 Dec 2014 Last Revised: 21 Jan 2015
Working Paper Series
Wouter J. Keller and Adam Butler
VU University Amsterdam and ReSolve Asset Management
Downloads 3,313
26.

On Origins of Alpha

The Hedge Fund Journal 108 (2015) 47-50
Number of pages: 8 Posted: 08 Mar 2015 Last Revised: 05 Nov 2015
Accepted Paper Series
Zura Kakushadze
Quantigic Solutions LLC
Downloads 3,285
27.

Manipulation in the VIX?

Number of pages: 58 Posted: 24 May 2017
Working Paper Series
John M. Griffin and Amin Shams
University of Texas at Austin - Department of Finance and University of Texas at Austin - Department of Finance
Downloads 3,280
28.

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 3,248
29.

Path Integral and Asset Pricing

Quantitative Finance 15(11) (2015) 1759-1771, Featured Article
Number of pages: 30 Posted: 07 Oct 2014 Last Revised: 11 Aug 2016
Accepted Paper Series
Zura Kakushadze
Quantigic Solutions LLC
Downloads 3,237
30.

Factor Investing in the Corporate Bond Market

Financial Analysts Journal, 2017, Vol. 73, No. 2
Number of pages: 49 Posted: 31 Oct 2014 Last Revised: 13 Feb 2017
Accepted Paper Series
Patrick Houweling and Jeroen van Zundert
Robeco Investment Research and Robeco Asset Management
Downloads 3,230
31.

Lucky Factors

Number of pages: 74 Posted: 22 Nov 2014 Last Revised: 02 Jun 2017
Working Paper Series
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 3,039
32.

Asset Quality Misrepresentation by Financial Intermediaries: Evidence from RMBS Market

Journal of Finance, Forthcoming, Columbia Business School Research Paper No. 13-7 , Fama-Miller Working Paper, Kreisman Working Papers Series in Housing Law and Policy No. 9
Number of pages: 74 Posted: 13 Feb 2013 Last Revised: 08 Jan 2015
Working Paper Series
Tomasz Piskorski, Amit Seru and James Witkin
Columbia Business School - Finance and Economics, Stanford University and Columbia University - Columbia Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,990
33.

The Recovery Theorem

Journal of Finance, Forthcoming
Number of pages: 59 Posted: 11 Jan 2013
Accepted Paper Series
Stephen A. Ross
Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,908
34.

Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks

Number of pages: 18 Posted: 07 Mar 2016
Working Paper Series
Michael A. Gayed and Charles V. Bilello
Pension Partners, LLC and Pension Partners, LLC
Downloads 2,867
35.

4-Factor Model for Overnight Returns

Wilmott Magazine 2015(79) (2015) 56-62
Number of pages: 19 Posted: 20 Oct 2014 Last Revised: 24 Sep 2015
Accepted Paper Series
Zura Kakushadze
Quantigic Solutions LLC
Downloads 2,862
36.

Deep Learning for Finance: Deep Portfolios

Number of pages: 15 Posted: 14 Sep 2016
Working Paper Series
J.B. Heaton, Nick Polson and Jan Hendrik Witte
Bartlit Beck Herman Palenchar & Scott LLP, University of Chicago - Booth School of Business and University of Oxford - Mathematical Institute
Downloads 2,853
37.

The Enduring Effect of Time-Series Momentum on Stock Returns Over Nearly 100-Years

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 53 Posted: 26 Jan 2016 Last Revised: 19 Aug 2016
Working Paper Series
Ian D’Souza, Voraphat Srichanachaichok, George Jiaguo Wang and Yaqiong (Chelsea) Yao
New York University - Leonard N. Stern School of Business, Bangkok Bank, Manchester Business School and Lancaster University - Management School
Downloads 2,753
38.

The Alpha Engine: Designing an Automated Trading Algorithm

High Performance Computing in Finance, Chapman & Hall/CRC Series in Mathematical Finance, 2017
Number of pages: 29 Posted: 12 Apr 2017 Last Revised: 03 May 2017
Working Paper Series
Anton Golub, James Glattfelder and Richard B. Olsen
Lykke Corp, Department of Banking and Finance, UZH and Lykke Corp
Downloads 2,733
39.

Short Interest and Aggregate Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 51 Posted: 02 Aug 2014 Last Revised: 20 Feb 2016
Working Paper Series
David Rapach, Matthew Ringgenberg and Guofu Zhou
Saint Louis University - John Cook School of Business, University of Utah - Department of Finance and Washington University in St. Louis - Olin School of Business
Downloads 2,732
40.

Assessing Asset Pricing Models Using Revealed Preference

Number of pages: 48 Posted: 17 Oct 2013 Last Revised: 19 Mar 2015
Working Paper Series
Jonathan Berk and Jules H. van Binsbergen
Stanford Graduate School of Business and University of Pennsylvania - The Wharton School

Multiple version iconThere are 2 versions of this paper

Downloads 2,647
41.

Facts and Fantasies About Factor Investing

Number of pages: 112 Posted: 16 Nov 2014 Last Revised: 28 Nov 2014
Working Paper Series
Zélia Cazalet and Thierry Roncalli
Lyxor Asset Management and Amundi Asset Management
Downloads 2,489
42.

The Acceleration Effect and Gamma Factor in Asset Pricing

Swiss Finance Institute Research Paper No. 15-30
Number of pages: 25 Posted: 21 Aug 2015
Working Paper Series
Diego Ardila, Zalàn Forrò and Didier Sornette
ETH Zurich, Independent and Swiss Finance Institute
Downloads 2,464
43.

Agnostic Fundamental Analysis Works

Number of pages: 56 Posted: 07 Oct 2015 Last Revised: 29 Jun 2017
Working Paper Series
Söhnke M. Bartram and Mark Grinblatt
Warwick Business School - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area

Multiple version iconThere are 2 versions of this paper

Downloads 2,462
44.

The Price of Political Uncertainty: Theory and Evidence from the Option Market

Fama-Miller Working Paper
Number of pages: 69 Posted: 19 Nov 2013 Last Revised: 26 Jun 2016
Working Paper Series
Bryan T. Kelly, Lubos Pastor and Pietro Veronesi
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 2,362
45.

Asymmetric Information and the Role of the Underwriter, the Prospectus and the Analysts in Underpricing of IPOs: The Italian Case

Number of pages: 46 Posted: 12 Aug 2001
Working Paper Series
Stefano Fabrizio and Massimo de Lorenzo
CONSOB (Commissione Nazionale per le Società e la Borsa) - Department of Markets and Economic Research and Banca Sanpaolo Invest SpA
Downloads 2,347
46.

Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions

Number of pages: 26 Posted: 28 May 2013 Last Revised: 11 Jun 2013
Working Paper Series
David Blitz, Eric G. Falkenstein and Pim van Vliet
Robeco Asset Management - Quantitative Strategies, Pine River Capital Management and Robeco Asset Management - Quantitative Strategies

Multiple version iconThere are 2 versions of this paper

Downloads 2,337
47.

The Term Structure of Returns: Facts and Theory

Number of pages: 48 Posted: 23 Apr 2015 Last Revised: 27 Jun 2016
Working Paper Series
Jules H. van Binsbergen and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School and New York University (NYU) - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 2,304
48.

News versus Sentiment: Predicting Stock Returns from News Stories

Robert H. Smith School Research Paper
Number of pages: 38 Posted: 18 Aug 2013 Last Revised: 04 Aug 2015
Working Paper Series
Steven L. Heston and Nitish Ranjan Sinha
University of Maryland - Department of Finance and Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Downloads 2,268
49.

Are Cash Flows Better Stock Return Predictors than Profits?

Financial Analysts Journal, Forthcoming
Number of pages: 46 Posted: 28 Jul 2014 Last Revised: 25 May 2017
Accepted Paper Series
Stephen R. Foerster, John Tsagarelis and Grant Wang
University of Western Ontario - Richard Ivey School of Business, Primes Corporation and Highstreet Asset Management
Downloads 2,247
50.

Coping with Negative Short-Rates

Wilmott Magazine 2016(81) (2016) 58-68
Number of pages: 30 Posted: 10 Feb 2015 Last Revised: 25 Jan 2016
Accepted Paper Series
Zura Kakushadze
Quantigic Solutions LLC
Downloads 2,244
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