1.
Is Bitcoin Really Un-Tethered?
Number of pages: 119
Posted: 25 Jun 2018
Last Revised: 05 Nov 2019
Working Paper Series
University of Texas at Austin - Department of Finance and Ohio State University, Fisher College of Business
Downloads
35,845
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
Quantigic Solutions LLC
Downloads
34,002
3.
Tesla: Anatomy of a Run-Up Value Creation or Investor Sentiment?
Number of pages: 46
Posted: 28 Apr 2014
Working Paper Series
Anderson Graduate School of Management, UCLA and New York University - Stern School of Business
Downloads
33,649
4.
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
Cambria Investment Management
Downloads
30,675
5.
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
28,326
6.
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
Portfolio Management Consultants
Downloads
26,891
7.
…and the Cross-Section of Expected Returns
Number of pages: 101
Posted: 17 Apr 2013
Last Revised: 21 Apr 2015
Working Paper Series
Duke University - Fuqua School of Business, Purdue University and University of Oklahoma
Downloads
18,224
8.
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 California, Los Angeles (UCLA) and University of Florida - Department of Finance, Insurance and Real Estate
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
15,151
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
218
A Review of IPO Activity, Pricing, and Allocations
Journal of Finance, Vol. 57, pp. 1795-1828, 2002
Posted: 30 Dec 2003
Downloads
15,151
9.
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
Quantigic Solutions LLC
Downloads
14,245
10.
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
Digital Gold Institute and Intesa Sanpaolo - Financial and Market Risk Management
Downloads
11,987
11.
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
Quantigic Solutions LLC
Downloads
11,968
12.
Manipulation in the VIX?
Number of pages: 58
Posted: 24 May 2017
Working Paper Series
University of Texas at Austin - Department of Finance and Ohio State University, Fisher College of Business
Downloads
9,498
13.
Advances in Financial Machine Learning (Chapter 1)
Advances in Financial Machine Learning, Wiley, 1st Edition (2018); ISBN: 978-1-119-48208-6
Number of pages: 61
Posted: 19 Jan 2018
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
9,484
14.
Global Factor Premiums
Number of pages: 63
Posted: 06 Feb 2019
Working Paper Series
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads
8,055
15.
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
7,874
16.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2019 Edition
Number of pages: 135
Posted: 29 May 2019
Working Paper Series
New York University - Stern School of Business
Downloads
7,783
17.
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
AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
There are 2 versions of this paper
Value and Momentum Everywhere
AFA 2010 Atlanta Meetings Paper
Number of pages: 54
Posted: 20 Mar 2009
Downloads
11,747
Value and Momentum Everywhere
Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72
Posted: 14 Nov 2012
Downloads
7,666
Downloads
7,666
18.
Deep Learning for Finance: Deep Portfolios
Applied Stochastic Models in Business and Industry 33 (1), 3-12.
Number of pages: 15
Posted: 14 Sep 2016
Last Revised: 29 Apr 2019
Accepted Paper Series
One Hat Research LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads
7,555
19.
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
Quantigic Solutions LLC and WorldQuant LLC
Downloads
7,523
20.
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
Flov technologies, Department of Banking and Finance, UZH and Lykke Corp
Downloads
7,499
21.
Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks
2016 Charles H. Dow Award
Number of pages: 18
Posted: 07 Mar 2016
Last Revised: 01 Dec 2019
Working Paper Series
Lead-Lag Publishing, LLC and affiliation not provided to SSRN
Downloads
7,461
22.
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
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
7,434
23.
Private Benefits in Public Offerings: Tax Receivable Agreements in IPOs
Vanderbilt Law Review, 2018, BYU Law Research Paper No. 17-24
Number of pages: 47
Posted: 06 Sep 2017
Last Revised: 03 May 2018
Working Paper Series
Brigham Young University - J. Reuben Clark Law School
Downloads
7,311
24.
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
6,956
25.
Digital Tulips? Returns to Investors in Initial Coin Offerings
Number of pages: 54
Posted: 05 Jun 2018
Working Paper Series
ESE Business School - Universidad de los Andes and Carroll School of Management, Boston College
Downloads
6,499
26.
Supercharged IPOs and the Up-C
University of Colorado Law Review, Forthcoming, BYU Law Research Paper No. 17-03
Number of pages: 48
Posted: 26 Mar 2016
Last Revised: 22 Jun 2017
Accepted Paper Series
Brigham Young University - J. Reuben Clark Law School
Downloads
6,242
27.
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
University of Pennsylvania - The Wharton School, Finance Department and Two Centuries Investments
Downloads
5,727
28.
Bitcoin Spreads Like a Virus
Number of pages: 20
Posted: 23 Apr 2019
Last Revised: 23 Dec 2019
Working Paper Series
Cane Island Alternative Advisors
Downloads
5,707
29.
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
John Moores University - Business School, University of Liverpool - Accounting and Finance Division and Harvest Alpha Capital
Downloads
5,689
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
Robeco Investment Research and BlueCove Limited
Downloads
5,649
31.
Lucky Factors
Number of pages: 90
Posted: 22 Nov 2014
Last Revised: 17 Oct 2019
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads
5,585
32.
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
5,502
33.
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
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads
5,477
34.
Fact, Fiction, and the Size Effect
Number of pages: 54
Posted: 24 May 2018
Last Revised: 10 Aug 2018
Working Paper Series
AQR Capital Management LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads
5,441
35.
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
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
4,962
36.
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
4,955
37.
A Century of Evidence on Trend-Following Investing
Number of pages: 26
Posted: 28 Jun 2017
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads
4,948
38.
Price to Earnings Ratio, Value to Book Ratio and Growth
Number of pages: 19
Posted: 12 Feb 2013
Last Revised: 26 May 2019
Working Paper Series
University of Navarra - IESE Business School
Downloads
4,934
39.
What is the Optimal Method to Value a Football Club?
Number of pages: 32
Posted: 24 Mar 2013
Working Paper Series
University of Reading - ICMA Centre
Downloads
4,829
40.
CDS Rate Construction Methods by Machine Learning Techniques
Number of pages: 51
Posted: 15 May 2017
Last Revised: 31 Oct 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads
4,782
41.
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
Robeco Asset Management - Quantitative Strategies, Technische Universität München (TUM) and University of Marburg - School of Business & Economics
Downloads
4,720
42.
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
Quantigic Solutions LLC
Downloads
4,689
43.
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
IDC Herzliya - Arison School of Business, Stanford University - Graduate School of Business and Emory University - Goizueta Business School
Downloads
4,557
44.
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
VU University Amsterdam and ReSolve Asset Management
Downloads
4,539
45.
Metcalfe's Law as a Model for Bitcoin's Value
Alternative Investment Analyst Review, Q2 2018, Vol. 7, No. 2, 9-18.
Number of pages: 21
Posted: 02 Dec 2017
Last Revised: 03 Oct 2019
Accepted Paper Series
Cane Island Alternative Advisors
Downloads
4,527
46.
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
Independent
Downloads
4,512
47.
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
Quantigic Solutions LLC
Downloads
4,411
48.
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
Quantigic Solutions LLC
Downloads
4,344
49.
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
4,244
50.
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
Saint Louis University, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads
4,119
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