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Wealth Management eJournal

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Viewing: 1 - 50 of 996 papers

1.

Aggregate Confusion: The Divergence of ESG Ratings

Number of pages: 64 Posted: 20 Aug 2019 Last Revised: 18 May 2020
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Zurich, Department of Banking and Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 24,434
2.

In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis

Swiss Finance Institute Research Paper No. 20-91
Number of pages: 120 Posted: 23 Oct 2020 Last Revised: 12 Jun 2021
Working Paper Series
Harvard University - Department of Economics and University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 13,867
3.

Explaining the Recent Failure of Value Investing

NYU Stern School of Business
Number of pages: 29 Posted: 28 Aug 2019 Last Revised: 31 Mar 2020
Working Paper Series
New York University - Stern School of Business and University of Calgary - Haskayne School of Business
Downloads 10,168
4.

Is (Systematic) Value Investing Dead?

Journal of Portfolio Management, Forthcoming
Number of pages: 57 Posted: 09 Apr 2020 Last Revised: 12 Oct 2020
Accepted Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 8,840
5.

Machine Learning in Asset Management

JFDS: https://jfds.pm-research.com/content/2/1/10
Number of pages: 65 Posted: 18 Jul 2019 Last Revised: 23 Jun 2020
Working Paper Series
The Alan Turing Institute
Downloads 8,664
6.

Do Global Stocks Outperform US Treasury Bills?

Number of pages: 85 Posted: 09 Jul 2019
Working Paper Series
W.P. Carey School of Business, Hong Kong Polytechnic University, Tulane University - A.B. Freeman School of Business and Hong Kong Polytechnic University

Multiple version iconThere are 2 versions of this paper

Downloads 8,318
7.

Reports of Value’s Death May Be Greatly Exaggerated

Number of pages: 38 Posted: 02 Dec 2019 Last Revised: 04 Feb 2021
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 8,235
8.

Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing

Number of pages: 35 Posted: 17 Feb 2019 Last Revised: 11 Apr 2019
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 7,093
9.

The Value Premium

Fama-Miller Working Paper No. 20-01
Number of pages: 20 Posted: 27 Jan 2020 Last Revised: 30 Jan 2020
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 6,498
10.

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 6,135
11.

Deep Learning in Asset Pricing

Number of pages: 75 Posted: 04 Apr 2019 Last Revised: 05 Aug 2021
Working Paper Series
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 5,282
12.

Tracking Retail Investor Activity

Journal of Finance, Forthcoming
Number of pages: 86 Posted: 13 Aug 2016 Last Revised: 03 Nov 2020
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business, Columbia University, Tsinghua University - PBC School of Finance and Central University of Finance and Economics (CUFE) - School of Finance
Downloads 4,429
13.

Gold, the Golden Constant, COVID-19, 'Massive Passives' and Déjà Vu

Number of pages: 18 Posted: 07 Aug 2020 Last Revised: 22 Aug 2021
Working Paper Series
TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
Downloads 4,412
14.

Machine Learning Asset Allocation (Presentation Slides)

Number of pages: 35 Posted: 18 Oct 2019 Last Revised: 01 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,327
15.

A Robust Estimator of the Efficient Frontier

Number of pages: 16 Posted: 18 Oct 2019 Last Revised: 04 Mar 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,180
16.

Sustainable Investing in Equilibrium

Chicago Booth Research Paper No. 20-12, Fama-Miller Working Paper, Journal of Financial Economics (JFE), Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 54 Posted: 19 Dec 2019 Last Revised: 12 Aug 2020
Accepted Paper Series
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School

Multiple version iconThere are 4 versions of this paper

Downloads 3,712
17.

The Equity Market Implications of the Retail Investment Boom

Swiss Finance Institute Research Paper No. 21-12, Winner of the Swiss Finance Institute Best Paper Doctoral Award 2021
Number of pages: 55 Posted: 02 Feb 2021 Last Revised: 29 Jun 2021
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 3,643
18.

Advances in Financial Machine Learning: Lecture 10/10 (seminar slides)

Number of pages: 44 Posted: 14 Nov 2019 Last Revised: 29 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,018
19.

ESG: Hyperboles and Reality

Harvard Business School Research Paper Series Working Paper 22-031
Number of pages: 22 Posted: 22 Nov 2021 Last Revised: 24 Nov 2021
Working Paper Series
Harvard Business School
Downloads 2,977
20.

Enhanced Portfolio Optimization

Lasse Heje Pedersen, Abhilash Babu, and Ari Levine (2021), Enhanced Portfolio Optimization, Financial Analysts Journal, 77:2, 124-151, DOI: 10.1080/0015198X.2020.1854543
Number of pages: 49 Posted: 02 Mar 2020 Last Revised: 30 Apr 2021
Accepted Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management
Downloads 2,934
21.

Which Investors Matter for Equity Valuations and Expected Returns?

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-92, NYU Stern School of Business
Number of pages: 68 Posted: 28 Jun 2019 Last Revised: 31 Aug 2021
Working Paper Series
University of Chicago - Booth School of Business, New York University (NYU) - Department of Finance and Princeton University - Department of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 2,846
22.

Market Return Around the Clock: A Puzzle

Number of pages: 70 Posted: 27 May 2020 Last Revised: 25 Aug 2021
Working Paper Series
University of Illinois at Chicago - Department of Finance and Michigan State University - Department of Finance
Downloads 2,835
23.

Factor Momentum and the Momentum Factor

Journal of Finance, Forthcoming
Number of pages: 84 Posted: 07 Aug 2017 Last Revised: 20 Mar 2021
Accepted Paper Series
Northern Illinois University and Dartmouth College - Tuck School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,725
24.

AlphaPortfolio: Direct Construction Through Deep Reinforcement Learning and Interpretable AI

Number of pages: 70 Posted: 20 Apr 2020 Last Revised: 18 Nov 2021
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, Institute of Economics, School of Social Sciences, Tsinghua University, Beihang University (BUAA) and Beihang University (BUAA)
Downloads 2,617
25.

Can Machines 'Learn' Finance?

Journal of Investment Management
Number of pages: 21 Posted: 02 Jul 2020 Last Revised: 05 Mar 2021
Accepted Paper Series
AQR Capital Management, LLC, Yale SOM and Yale University, Yale SOMAQR Capital
Downloads 2,441
26.

Corporate Social Responsibility and Sustainable Finance: A Review of the Literature

European Corporate Governance Institute – Finance Working Paper No. 701/2020, This paper will appear in the Oxford Research Encyclopedia of Economics and Finance.
Number of pages: 43 Posted: 24 Sep 2020 Last Revised: 28 Sep 2020
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business and Tilburg University - Department of Finance
Downloads 2,388
27.

Escaping The Sisyphean Trap: How Quants Can Achieve Their Full Potential (Seminar Slides)

Number of pages: 23 Posted: 21 Sep 2021
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,280
28.

A Model Approach to Selecting a Personalized Retirement Income Strategy

Number of pages: 31 Posted: 24 Mar 2021
Working Paper Series
Retirement Researcher and The American College for Financial Services
Downloads 2,275
29.

Don’t Take Their Word For It: The Misclassification of Bond Mutual Funds

Number of pages: 65 Posted: 01 Nov 2019 Last Revised: 11 Aug 2020
Working Paper Series
University of Notre Dame - Department of Finance, Harvard University - Business School (HBS) and University of Texas at Dallas
Downloads 2,224
30.

A COVID Diary: Searching for Investment Serenity

NYU Stern School of Business Forthcoming
Number of pages: 89 Posted: 08 Mar 2021 Last Revised: 28 Aug 2021
Working Paper Series
New York University - Stern School of Business
Downloads 2,219
31.

Machine Learning-Based Financial Statement Analysis

Number of pages: 69 Posted: 27 Jan 2020 Last Revised: 03 Dec 2020
Working Paper Series
University of Oxford - Said Business School, Oxford-Man Institute of Quantitative Finance, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 2,196
32.

The Performance of Hedge Fund Performance Fees

Fisher College of Business Working Paper No. 2020-03-014, Charles A. Dice Working Paper No. 2020-14
Number of pages: 63 Posted: 19 Jun 2020 Last Revised: 02 Jul 2020
Working Paper Series
Ohio State University (OSU) - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Arizona - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,096
33.

Forest Through the Trees: Building Cross-Sections of Stock Returns

Number of pages: 59 Posted: 19 Dec 2019 Last Revised: 20 Sep 2021
Working Paper Series
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 2,021
34.

Actively Using Passive Sectors to Generate Alpha Using the VIX

2020 NAAIM Founders Award & 2020 Dow Award Finalist
Number of pages: 19 Posted: 01 Dec 2020
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 1,936
35.

Resurrecting the Value Premium

Number of pages: 27 Posted: 05 Oct 2020 Last Revised: 23 Oct 2020
Working Paper Series
Robeco Quantitative Investments and Technische Universität München (TUM)
Downloads 1,873
36.

Stocks for the Long Run? Evidence from a Broad Sample of Developed Markets

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 81 Posted: 03 Jun 2020 Last Revised: 19 Jan 2021
Accepted Paper Series
University of Arizona, Eller College of Management, Department of Finance, Students, University of Arizona - Department of Finance and University of Missouri at Columbia - Department of Finance
Downloads 1,865
37.

Factor Performance 2010-2019: A Lost Decade?

Number of pages: 14 Posted: 20 Apr 2020
Working Paper Series
Robeco Quantitative Investments
Downloads 1,858
38.

Drawdowns

Number of pages: 19 Posted: 24 Apr 2020 Last Revised: 05 May 2020
Working Paper Series
Man AHL, University of Cambridge - Downing College, Duke University - Fuqua School of Business, Man Group plc, Man AHL and Man Group plc
Downloads 1,816
39.

Perspectives in ESG equity investing

Number of pages: 81 Posted: 13 Nov 2020 Last Revised: 10 Mar 2021
Working Paper Series
EMLYON Business School
Downloads 1,803
40.

Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility

Number of pages: 45 Posted: 27 May 2020 Last Revised: 08 May 2021
Working Paper Series
University of Pennsylvania - The Wharton School

Multiple version iconThere are 3 versions of this paper

Downloads 1,801
41.

Growth-Trend Timing and 60-40 Variations: Lethargic Asset Allocation (LAA)

Number of pages: 15 Posted: 15 Dec 2019 Last Revised: 22 Jan 2020
Working Paper Series
VU University Amsterdam
Downloads 1,759
42.

The Smart Beta Mirage

Number of pages: 53 Posted: 01 Jul 2020 Last Revised: 28 Apr 2021
Working Paper Series
The University of Hong Kong - Faculty of Business and Economics, University of Washington - Michael G. Foster School of Business and The University of Hong Kong
Downloads 1,759
43.

The Sustainability of (Global) Withdrawal Strategies

IESE Business School Working Paper
Number of pages: 18 Posted: 26 Feb 2021
Working Paper Series
IESE Business School
Downloads 1,752
44.

Long-Term Shareholder Returns: Evidence from 64,000 Global Stocks

Number of pages: 84 Posted: 14 Oct 2020 Last Revised: 27 Aug 2021
Working Paper Series
W.P. Carey School of Business, Hong Kong Polytechnic University, Tulane University - A.B. Freeman School of Business and Hong Kong Polytechnic University

Multiple version iconThere are 2 versions of this paper

Downloads 1,741
45.

The Psychology of Financial Professionals and Their Clients

Investments & Wealth Monitor, September-October 2019, pp. 15-20
Number of pages: 8 Posted: 18 Oct 2019
Accepted Paper Series
American University - Kogod School of Business, Pennsylvania State University and Washington and Lee University
Downloads 1,698
46.

Deep Learning in Characteristics-Sorted Factor Models

Number of pages: 40 Posted: 23 Sep 2018 Last Revised: 22 Feb 2021
Working Paper Series
City University of Hong Kong (CityU), University of Chicago - Booth School of Business and University of Chicago, Students
Downloads 1,652
47.

Fact and Fiction about Low-Risk Investing

NYU Stern School of Business
Number of pages: 26 Posted: 25 Mar 2020
Working Paper Series
Office of Financial Research, AQR Capital Management, LLC, AQR Capital Management and AQR Capital Management, LLC
Downloads 1,632
48.

The Rate of Return on Real Estate: Long-Run Micro-Level Evidence

HEC Paris Research Paper No. FIN-2019-1342
Number of pages: 59 Posted: 25 Jun 2019 Last Revised: 06 Jan 2021
Working Paper Series
University of Cambridge - Judge Business School, HEC Paris - Finance Department and Penn State Smeal College of Business
Downloads 1,538
49.

The Cross-Section of Stock Returns before 1926 (And Beyond)

Number of pages: 84 Posted: 24 Nov 2021
Working Paper Series
Erasmus University Rotterdam (EUR), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,469
50.

Anomalies and the Expected Market Return

Journal of Finance, Forthcoming
Number of pages: 60 Posted: 07 Apr 2020 Last Revised: 16 Nov 2021
Accepted Paper Series
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Southwestern University of Finance and Economics (SWUFE) - School of Accounting, Washington University in St. LouisSaint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,408