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
Cambria Investment Management
Downloads
29,642
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
28,553
3.
Tesla: Anatomy of a Run-Up Value Creation or Investor Sentiment?
Number of pages: 46
Posted: 28 Apr 2014
Working Paper Series
California Institute of Technology and New York University - Stern School of Business
Downloads
26,925
4.
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
23,927
5.
Is Bitcoin Really Un-Tethered?
Number of pages: 66
Posted: 25 Jun 2018
Working Paper Series
University of Texas at Austin - Department of Finance and University of Texas at Austin - Department of Finance
Downloads
23,742
6.
…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, Texas A&M University, Department of Finance and University of Oklahoma
Downloads
16,731
7.
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
14,742
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
202
A Review of IPO Activity, Pricing, and Allocations
Journal of Finance, Vol. 57, pp. 1795-1828, 2002
Posted: 30 Dec 2003
Downloads
14,742
8.
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
12,239
9.
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
Università Milano-Bicocca - Department of Statistics and Quantitative Methods and Intesa Sanpaolo - Financial and Market Risk Management
Downloads
9,947
10.
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
8,123
11.
Manipulation in the VIX?
Number of pages: 58
Posted: 24 May 2017
Working Paper Series
University of Texas at Austin - Department of Finance and University of Texas at Austin - Department of Finance
Downloads
8,007
12.
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
7,249
13.
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
11,167
Value and Momentum Everywhere
Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72
Posted: 14 Nov 2012
Downloads
6,759
Downloads
6,759
14.
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
6,467
15.
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
6,429
16.
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
6,349
17.
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
6,198
18.
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
AQR Capital Management, LLC
Downloads
6,028
19.
Deep Learning for Finance: Deep Portfolios
Number of pages: 15
Posted: 14 Sep 2016
Last Revised: 15 Mar 2018
Working Paper Series
University of Chicago Law School, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads
5,832
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
5,653
21.
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
5,621
22.
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
4,957
23.
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
4,952
24.
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
4,852
25.
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 Forefront Analytics
Downloads
4,814
26.
Digital Tulips? Returns to Investors in Initial Coin Offerings
Number of pages: 54
Posted: 05 Jun 2018
Working Paper Series
Boston College - Carroll School of Management and Carroll School of Management, Boston College
Downloads
4,703
27.
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
4,459
28.
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
4,404
29.
Price to Earnings Ratio, Value to Book Ratio and Growth
Number of pages: 19
Posted: 12 Feb 2013
Last Revised: 12 Oct 2017
Working Paper Series
University of Navarra - IESE Business School
Downloads
4,380
30.
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
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads
4,268
31.
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
4,202
32.
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
4,147
33.
Lucky Factors
Number of pages: 98
Posted: 22 Nov 2014
Last Revised: 17 Jan 2018
Working Paper Series
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads
4,147
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
4,099
35.
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 Robeco Asset Management
Downloads
4,095
36.
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
4,065
37.
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
4,048
38.
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
3,982
39.
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
3,953
40.
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
3,759
41.
CDS Rate Construction Methods by Machine Learning Techniques
Number of pages: 51
Posted: 15 May 2017
Last Revised: 23 Mar 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads
3,699
42.
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
3,661
43.
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
3,580
44.
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 - Richard A. Chaifetz School of Business, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads
3,413
45.
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: 24 Aug 2017
Working Paper Series
New York University - Leonard N. Stern School of Business, Bangkok Bank, Manchester Business School and Lancaster University - Management School
Downloads
3,256
46.
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: 26 Jul 2018
Accepted Paper Series
Cane Island Alternative Advisors
Downloads
3,211
47.
The Recovery Theorem
Journal of Finance, Forthcoming
Number of pages: 59
Posted: 11 Jan 2013
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Downloads
3,133
Downloads
172
Downloads
3,133
48.
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
Columbia Business School - Finance and Economics, Stanford University and Columbia University - Columbia Business School
There are 2 versions of this paper
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
Downloads
3,093
Asset Quality Misrepresentation by Financial Intermediaries: Evidence from Rmbs Market
NBER Working Paper No. w18843
Number of pages: 80
Posted: 12 Mar 2013
Last Revised: 21 Mar 2013
Downloads
18
Downloads
3,093
49.
Facts and Fantasies About Factor Investing
Number of pages: 112
Posted: 16 Nov 2014
Last Revised: 28 Nov 2014
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads
2,946
50.
Trading Costs of Asset Pricing Anomalies
Fama-Miller Working Paper, Chicago Booth Research Paper No. 14-05
Number of pages: 68
Posted: 19 Feb 2014
Last Revised: 28 Mar 2014
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads
2,860
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