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Wealth Management eJournal

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Viewing: 1 - 50 of 1,210 papers

1.

Aggregate Confusion: The Divergence of ESG Ratings

Forthcoming Review of Finance
Number of pages: 48 Posted: 20 Aug 2019 Last Revised: 26 Apr 2022
Accepted 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 38,501
2.

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

Swiss Finance Institute Research Paper No. 20-91
Number of pages: 123 Posted: 23 Oct 2020 Last Revised: 13 May 2022
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 17,307
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 10,883
4.

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 9,644
5.

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 9,152
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 8,986
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 8,634
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 7,542
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 7,432
10.

An Investor’s Guide to Crypto

Number of pages: 30 Posted: 02 Jun 2022 Last Revised: 12 Jun 2022
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Man Group, Man AHL, Man Group, Man AHL and Man AHL
Downloads 7,090
11.

Equity Risk Premiums (ERP): Determinants, Estimation, and Implications – The 2022 Edition

Number of pages: 146 Posted: 04 Apr 2022 Last Revised: 15 Apr 2022
Working Paper Series
New York University - Stern School of Business
Downloads 6,868
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 6,777
13.

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 6,636
14.

ESG: Hyperboles and Reality

Harvard Business School Research Paper Series Working Paper 22-031
Number of pages: 22 Posted: 22 Nov 2021 Last Revised: 15 Dec 2021
Working Paper Series
Harvard Business School
Downloads 5,147
15.

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 5,029
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 4,957
17.

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 4,844
18.

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 4,760
19.

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 4,652
20.

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 4,296
21.

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 4,172
22.

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 4,066
23.

AlphaPortfolio: Direct Construction Through Deep Reinforcement Learning and Interpretable AI

Number of pages: 76 Posted: 20 Apr 2020 Last Revised: 02 Mar 2022
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 3,693
24.

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 3,668
25.

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 3,491
26.

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

Number of pages: 23 Posted: 21 Sep 2021 Last Revised: 31 May 2022
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,460
27.

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 3,341
28.

Market Return Around the Clock: A Puzzle

Number of pages: 70 Posted: 27 May 2020 Last Revised: 19 May 2022
Working Paper Series
University of Illinois at Chicago - Department of Finance and Michigan State University - Department of Finance
Downloads 3,278
29.

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 3,094
30.

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 2,834
31.

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 2,820
32.

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 2,815
33.

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 2,760
34.

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 2,735
35.

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 2,720
36.

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 2,693
37.

Beyond Fama-French Factors: Alpha from Short-Term Signals

Number of pages: 27 Posted: 01 Jun 2022
Working Paper Series
Robeco Quantitative Investments, Technische Universität München (TUM), Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 2,654
38.

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 2,544
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 2,443
40.

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

Number of pages: 85 Posted: 24 Nov 2021 Last Revised: 17 Mar 2022
Working Paper Series
Erasmus University Rotterdam (EUR), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 2,443
41.

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 2,353
42.

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 2,342
43.

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 2,293
44.

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 2,235
45.

The Risk-Reversal Premium

Number of pages: 15 Posted: 23 Nov 2021
Working Paper Series
HTAA, LLC and Bluefin TradingFactorWave
Downloads 2,208
46.

The Quant Cycle

Number of pages: 27 Posted: 28 Sep 2021
Working Paper Series
Robeco Quantitative Investments
Downloads 2,181
47.

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 2,173
48.

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 2,092
49.

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 2,047
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, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 2,010