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Wealth Management (Editor's Choice) eJournal

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Viewing: 1 - 50 of 62 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 11,651
2.

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 8,428
3.

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 8,299
4.

Reports of Value’s Death May Be Greatly Exaggerated

Number of pages: 38 Posted: 02 Dec 2019 Last Revised: 02 Nov 2020
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 7,402
5.

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 6,361
6.

Do Global Stocks Outperform US Treasury Bills?

Number of pages: 85 Posted: 09 Jul 2019
Working Paper Series
Arizona State University, Hong Kong Polytechnic University, Arizona State University (ASU) - Finance Department and Hong Kong Polytechnic University

Multiple version iconThere are 2 versions of this paper

Downloads 5,996
7.

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 4,698
8.

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

Number of pages: 107 Posted: 23 Oct 2020 Last Revised: 09 Nov 2020
Working Paper Series
Harvard University - Department of Economics and University of Chicago - Booth School of Business
Downloads 3,831
9.

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

Number of pages: 18 Posted: 07 Aug 2020 Last Revised: 17 Sep 2020
Working Paper Series
TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
Downloads 3,697
10.

Deep Learning in Asset Pricing

Number of pages: 66 Posted: 04 Apr 2019 Last Revised: 09 Nov 2020
Working Paper Series
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 3,145
11.

Factor Momentum and the Momentum Factor

Number of pages: 84 Posted: 07 Aug 2017 Last Revised: 14 Dec 2020
Working Paper Series
Northern Illinois University and Dartmouth College - Tuck School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,907
12.

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: 57 Posted: 28 Jun 2019 Last Revised: 15 Dec 2020
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 1,834
13.

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 1,737
14.

Market Return Around the Clock: A Puzzle

Number of pages: 72 Posted: 27 May 2020 Last Revised: 11 Sep 2020
Working Paper Series
University of Illinois at Chicago - Department of Finance and Michigan State University - Department of Finance
Downloads 1,723
15.

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 1,698
16.

Factor Performance 2010-2019: A Lost Decade?

Number of pages: 14 Posted: 20 Apr 2020
Working Paper Series
Robeco Quantitative Investments
Downloads 1,584
17.

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 1,425
18.

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 1,414
19.

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 1,398
20.

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 1,233
21.

The US Bond Market before 1926: Investor Total Return from 1793, Comparing Federal, Municipal and Corporate Bonds Part II: 1857 to 1926

Number of pages: 135 Posted: 18 Sep 2019
Working Paper Series
Santa Clara University - Leavey School of Business
Downloads 1,226
22.

AlphaPortfolio: Direct Construction through Reinforcement Learning and Interpretable AI

Number of pages: 63 Posted: 20 Apr 2020 Last Revised: 13 Jan 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 1,205
23.

The Smart Beta Mirage

Number of pages: 51 Posted: 01 Jul 2020 Last Revised: 30 Dec 2020
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 1,182
24.

Deep Learning in Characteristics-Sorted Factor Models

Number of pages: 44 Posted: 23 Sep 2018 Last Revised: 25 Mar 2020
Working Paper Series
City University of Hong Kong (CityUHK), University of Chicago - Booth School of Business and University of Chicago, Students
Downloads 1,125
25.

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

Number of pages: 79 Posted: 19 Dec 2019 Last Revised: 28 Sep 2020
Working Paper Series
London Business School - Department of Finance, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 1,059
26.

Can Machines 'Learn' Finance?

Number of pages: 21 Posted: 02 Jul 2020
Working Paper Series
AQR Capital Management, LLC, Yale SOM and Yale University, Yale SOM
Downloads 997
27.

The Performance of Exchange-Traded Funds

Number of pages: 21 Posted: 06 Oct 2019
Working Paper Series
Robeco Quantitative Investments and VU University Amsterdam - Finance
Downloads 995
28.

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
Yale School of Management, California Institute of Technology and University of Florida - Department of Finance, Insurance and Real Estate

Multiple version iconThere are 2 versions of this paper

Downloads 983
29.

Extreme Stock Market Performers, Part I: Expect Some Drawdowns

Number of pages: 13 Posted: 22 Jul 2020
Working Paper Series
Arizona State University
Downloads 873
30.

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

Multiple version iconThere are 3 versions of this paper

Downloads 753
31.

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) - Sloan School of Management
Downloads 725
32.

Currency Anomalies

Number of pages: 82 Posted: 26 Apr 2018 Last Revised: 13 Jan 2021
Working Paper Series
Warwick Business School - Department of Finance, Bank Indonesia - Department of Economic and Monetary Policy and University of Warwick

Multiple version iconThere are 4 versions of this paper

Downloads 527
33.

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 525
34.

Extreme Stock Market Performers, Part II: Do Technology Stocks Dominate?

Number of pages: 15 Posted: 22 Jul 2020
Working Paper Series
Arizona State University
Downloads 521
35.

The Fundamental-to-Market Ratio and the Value Premium Decline

Kenan Institute of Private Enterprise Research Paper
Number of pages: 48 Posted: 13 Apr 2020 Last Revised: 05 Oct 2020
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Finance Area and University of North Carolina at Chapel Hill
Downloads 505
36.

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: 11 Sep 2020
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Illinois at Urbana-Champaign
Downloads 435
37.

Anomalies and the Expected Market Return

Baruch College Zicklin School of Business Research Paper No. 2020-02-02
Number of pages: 67 Posted: 07 Apr 2020 Last Revised: 07 Apr 2020
Working Paper Series
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Baruch College, CUNY, Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads 402
38.

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, Securities and Exchange Commission and University of California, Berkeley - Haas School of Business
Downloads 374
39.

Sequence Risk: Is It Really a Big Deal?

Number of pages: 28 Posted: 22 Oct 2020
Working Paper Series
IESE Business School
Downloads 374
40.

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 357
41.

On the Valuation of Performance Fees and Their Impact on Asset Managers’ Incentives

Number of pages: 17 Posted: 10 Sep 2020 Last Revised: 02 Dec 2020
Working Paper Series
Dimensional Fund Advisors, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Dimensional Fund Advisors
Downloads 334
42.

Should Taxable Investors Shun Dividends?

The Journal of Wealth Management, Winter 2019, 22 (3) 49-69; DOI: org/10.3905/jwm.2019.1.080
Number of pages: 42 Posted: 24 Jun 2019 Last Revised: 07 Nov 2019
Accepted Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 314
43.

Retirement Planning: From Z to A

Number of pages: 21 Posted: 30 Jun 2020
Working Paper Series
IESE Business School
Downloads 288
44.

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

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 75 Posted: 03 Jun 2020 Last Revised: 14 Oct 2020
Working 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 273
45.

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
Warwick Business School - Department of Finance, University of Warwick - Operational Research & Systems (ORS) Subject Group and University of Cambridge - Judge Business School

Multiple version iconThere are 3 versions of this paper

Downloads 199
46.

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

Number of pages: 101 Posted: 14 Oct 2020 Last Revised: 21 Oct 2020
Working Paper Series
Arizona State University, Hong Kong Polytechnic University, Arizona State University (ASU) - Finance Department and Hong Kong Polytechnic University

Multiple version iconThere are 2 versions of this paper

Downloads 189
47.

Robo-Advising

CESifo Working Paper No. 8225
Number of pages: 30 Posted: 20 Apr 2020
Working Paper Series
Boston College and Georgetown University

Multiple version iconThere are 2 versions of this paper

Downloads 188
48.

Integration of Income and Estate Tax Planning

Number of pages: 50 Posted: 02 Oct 2020 Last Revised: 06 Jan 2021
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 182
49.

Return Horizon and Mutual Fund Performance

Number of pages: 55 Posted: 24 Mar 2020 Last Revised: 15 Oct 2020
Working Paper Series
Arizona State University, University of Utah - David Eccles School of Business and University of Utah - Department of Finance
Downloads 182
50.

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 162