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
34,850
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
There are 3 versions of this paper
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
Downloads
16,774
In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis
NBER Working Paper No. w28967
Number of pages: 54
Posted: 28 Jun 2021
Last Revised: 24 Feb 2022
Downloads
26
In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis
CEPR Discussion Paper No. DP16290
Number of pages: 124
Posted: 14 Jul 2021
Downloads
2
Downloads
16,774
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
10,766
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
9,115
5.
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
There are 2 versions of this paper
Do Global Stocks Outperform US Treasury Bills?
Number of pages: 85
Posted: 09 Jul 2019
Downloads
8,905
Long-Term Shareholder Returns: Evidence from 64,000 Global Stocks
Number of pages: 84
Posted: 14 Oct 2020
Last Revised: 27 Aug 2021
Downloads
2,611
Downloads
8,905
6.
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
8,550
7.
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
7,454
8.
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
7,286
9.
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
6,338
10.
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
4,747
11.
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
There are 4 versions of this paper
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
Downloads
4,697
Sustainable Investing in Equilibrium
University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-24
Number of pages: 53
Posted: 24 Mar 2020
Downloads
264
Sustainable Investing in Equilibrium
NBER Working Paper No. w26549
Number of pages: 55
Posted: 16 Dec 2019
Last Revised: 16 Jan 2022
Downloads
33
Sustainable Investing in Equilibrium
CEPR Discussion Paper No. DP14171
Number of pages: 57
Posted: 17 Dec 2019
Last Revised: 16 Jun 2020
Downloads
4,697
12.
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
3,661
13.
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
There are 3 versions of this paper
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
Downloads
3,321
Which Investors Matter for Equity Valuations and Expected Returns?
NBER Working Paper No. w27402
Number of pages: 54
Posted: 22 Jun 2020
Last Revised: 16 May 2022
Downloads
8
Which Investors Matter for Equity Valuations and Expected Returns?
CEPR Discussion Paper No. DP14890
Number of pages: 56
Posted: 16 Jun 2020
Downloads
2
Downloads
3,321
14.
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
There are 2 versions of this paper
Factor Momentum and the Momentum Factor
Journal of Finance, Forthcoming
Number of pages: 84
Posted: 07 Aug 2017
Last Revised: 20 Mar 2021
Downloads
3,221
Factor Momentum and the Momentum Factor
NBER Working Paper No. w25551
Number of pages: 54
Posted: 19 Feb 2019
Last Revised: 25 Apr 2022
Downloads
94
Downloads
3,221
15.
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
3,214
16.
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
2,994
17.
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
2,699
18.
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
There are 2 versions of this paper
Do Global Stocks Outperform US Treasury Bills?
Number of pages: 85
Posted: 09 Jul 2019
Downloads
8,905
Long-Term Shareholder Returns: Evidence from 64,000 Global Stocks
Number of pages: 84
Posted: 14 Oct 2020
Last Revised: 27 Aug 2021
Downloads
2,611
Downloads
2,611
19.
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
2,547
20.
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
2,519
21.
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
2,336
22.
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
There are 2 versions of this paper
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
Downloads
2,311
The Performance of Hedge Fund Performance Fees
NBER Working Paper No. w27454
Number of pages: 63
Posted: 29 Jun 2020
Last Revised: 06 Jan 2022
Downloads
18
Downloads
2,311
23.
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
There are 3 versions of this paper
Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility
Number of pages: 45
Posted: 27 May 2020
Last Revised: 08 May 2021
Downloads
2,245
Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility
NBER Working Paper No. w27367
Number of pages: 41
Posted: 15 Jun 2020
Last Revised: 11 Apr 2022
Downloads
18
Duration-Based Stock Valuation
CEPR Discussion Paper No. DP14904
Number of pages: 33
Posted: 29 Jun 2020
Downloads
2,245
24.
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
2,163
25.
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
2,118
26.
Factor Performance 2010-2019: A Lost Decade?
Number of pages: 14
Posted: 20 Apr 2020
Working Paper Series
Robeco Quantitative Investments
Downloads
1,954
27.
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
1,946
28.
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
1,937
29.
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
1,860
30.
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
1,743
31.
Extreme Stock Market Performers, Part I: Expect Some Drawdowns
Number of pages: 13
Posted: 22 Jul 2020
Working Paper Series
W.P. Carey School of Business
Downloads
1,611
32.
Exchange Rates and Asset Prices in a Global Demand System
University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-91
Number of pages: 53
Posted: 18 Jun 2019
Last Revised: 02 Jun 2020
Working Paper Series
University of Chicago - Booth School of Business and Princeton University - Department of Economics
There are 3 versions of this paper
Exchange Rates and Asset Prices in a Global Demand System
University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-91
Number of pages: 53
Posted: 18 Jun 2019
Last Revised: 02 Jun 2020
Downloads
1,565
Exchange Rates and Asset Prices in a Global Demand System
NBER Working Paper No. w27342
Number of pages: 54
Posted: 09 Jun 2020
Last Revised: 18 Mar 2022
Downloads
12
Exchange Rates and Asset Prices in a Global Demand System
CEPR Discussion Paper No. DP14874
Number of pages: 56
Posted: 16 Jun 2020
Downloads
1,565
33.
Machine-Learning in the Chinese Stock Market
Number of pages: 88
Posted: 18 Feb 2021
Last Revised: 12 Jul 2021
Working Paper Series
University of Zurich, University of Zurich - Department of Banking and Finance and affiliation not provided to SSRN
Downloads
1,559
34.
An Empirical Evaluation of Tax-Loss Harvesting Alpha
Number of pages: 25
Posted: 03 Apr 2019
Last Revised: 10 Feb 2020
Working Paper Series
Massachusetts Institute of Technology, Chapman University - The George L. Argyros School of Business & Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads
1,448
35.
Prospect Theory and Stock Market Anomalies
10th Miami Behavioral Finance Conference
Number of pages: 83
Posted: 08 Nov 2019
Last Revised: 17 Dec 2020
Working Paper Series
National Bureau of Economic Research (NBER)Yale School of Management, California Institute of Technology and University of Florida - Department of Finance, Insurance and Real Estate
There are 2 versions of this paper
Prospect Theory and Stock Market Anomalies
10th Miami Behavioral Finance Conference
Number of pages: 83
Posted: 08 Nov 2019
Last Revised: 17 Dec 2020
Downloads
1,447
Prospect Theory and Stock Market Anomalies
NBER Working Paper No. w27155
Number of pages: 84
Posted: 18 May 2020
Last Revised: 19 Nov 2021
Downloads
58
Downloads
1,447
36.
How to Improve Institutional Fund Performance
Number of pages: 13
Posted: 11 Apr 2021
Last Revised: 20 Jul 2021
Working Paper Series
Independent
Downloads
1,359
37.
The Risk, Reward, and Asset Allocation of Nonprofit Endowment Funds
MIT Sloan Research Paper No. 6163-20
Number of pages: 51
Posted: 07 Aug 2020
Last Revised: 28 Feb 2021
Working Paper Series
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Illinois at Urbana-Champaign
Downloads
1,193
38.
The Performance of Exchange-Traded Funds
Number of pages: 21
Posted: 06 Oct 2019
Working Paper Series
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads
1,167
39.
Sequence Risk: Is It Really a Big Deal?
Number of pages: 28
Posted: 22 Oct 2020
Working Paper Series
IESE Business School
Downloads
933
40.
Extreme Stock Market Performers, Part II: Do Technology Stocks Dominate?
Number of pages: 15
Posted: 22 Jul 2020
Working Paper Series
W.P. Carey School of Business
Downloads
914
41.
The Fundamental-to-Market Ratio and the Value Premium Decline
Kenan Institute of Private Enterprise Research Paper
Number of pages: 65
Posted: 13 Apr 2020
Last Revised: 18 Aug 2021
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Finance Area and University of North Carolina at Chapel Hill
Downloads
838
42.
Leveraging Overconfidence
Number of pages: 76
Posted: 07 Sep 2019
Last Revised: 04 Dec 2020
Working Paper Series
University of California, Davis, Washington University in St. Louis - Olin Business School, Upstart and University of California, Berkeley - Haas School of Business
Downloads
691
43.
Wealth Taxes
Fama-Miller Working Paper
Number of pages: 4
Posted: 14 Jun 2019
Last Revised: 30 Sep 2020
Working Paper Series
University of Chicago - Finance
Downloads
683
44.
On the Valuation of Performance Fees and Their Impact on Asset Managers’ Incentives
Fully published version of paper available at PMR: https://jai.pm-research.com/content/early/2021/05/21/jai.2021.1.135 ©2021 PMR. All rights reserved.
Number of pages: 17
Posted: 10 Sep 2020
Last Revised: 09 Jun 2021
Working Paper Series
Dimensional Fund Advisors, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Dimensional Fund Advisors
Downloads
562
45.
Ratings-Driven Demand and Systematic Price Fluctuations
Fisher College of Business Working Paper No. 2020-03-026, Charles A. Dice Working Paper No. 2020-26, Review of Financial Studies, forthcoming
Number of pages: 68
Posted: 12 Nov 2020
Last Revised: 28 Sep 2021
Accepted Paper Series
Ohio State University (OSU) - Department of Finance, David Eccles School of Business, University of Utah, University of Arizona - Department of Finance and University of Washington - Michael G. Foster School of Business
There are 2 versions of this paper
Ratings-Driven Demand and Systematic Price Fluctuations
Fisher College of Business Working Paper No. 2020-03-026, Charles A. Dice Working Paper No. 2020-26, Review of Financial Studies, forthcoming
Number of pages: 68
Posted: 12 Nov 2020
Last Revised: 28 Sep 2021
Downloads
544
Ratings-Driven Demand and Systematic Price Fluctuations
NBER Working Paper No. w28103
Number of pages: 68
Posted: 16 Nov 2020
Last Revised: 16 Apr 2022
Downloads
6
Downloads
544
46.
Compound Returns
Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 81
Posted: 15 Jun 2019
Last Revised: 01 Oct 2019
Working Paper Series
University of Gothenburg - Centre for Finance and University of Gothenburg - Centre for Finance
Downloads
483
47.
Factor Construction Zoo: Are Factor Exposures Created Equal?
Journal of Portfolio Management, Forthcoming
Number of pages: 1
Posted: 29 Dec 2020
Last Revised: 04 Aug 2021
Accepted Paper Series
The Ohio State University
Downloads
441
48.
Robo-Advising
CESifo Working Paper No. 8225
Number of pages: 30
Posted: 20 Apr 2020
Working Paper Series
Boston College and Georgetown University
There are 2 versions of this paper
Downloads
439
49.
Unsmoothing Returns of Illiquid Funds
Kenan Institute of Private Enterprise Research Paper No. 20-05, USC Lusk Center of Real Estate Working Paper Series
Number of pages: 70
Posted: 27 Feb 2020
Last Revised: 27 Nov 2020
Working Paper Series
University of Southern California - Sol Price School of Public Policy, University of North Carolina (UNC) at Chapel Hill - Finance Area and University of Arizona - Department of Finance
Downloads
434
50.
Artificial Intelligence in Asset Management
CFA Institute Research Foundation Literature Reviews, August 2020, ISBN 978-1-952927-02-7
Number of pages: 100
Posted: 14 Sep 2020
Working Paper Series
University of Warwick, University of Warwick - Operational Research & Systems (ORS) Subject Group and Bayes Business School (formerly Cass)
There are 3 versions of this paper
Artificial Intelligence in Asset Management
CFA Institute Research Foundation Literature Reviews, August 2020, ISBN 978-1-952927-02-7
Number of pages: 100
Posted: 14 Sep 2020
Downloads
421
Artificial Intelligence in Asset Management
WBS Finance Group Research Paper, CFA Institute Research Foundation 2020
Number of pages: 73
Posted: 08 Mar 2020
Last Revised: 10 Sep 2020
Downloads
254
Artificial Intelligence in Asset Management
CEPR Discussion Paper No. DP14525
Number of pages: 76
Posted: 25 Mar 2020
Last Revised: 06 May 2020
Downloads
7
Downloads
421
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