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JEL Code: C5

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1951.

A Quantitative Approach to Tactical Asset Allocation

The Journal of Wealth Management, Spring 2007
Number of pages: 70 Posted: 11 Feb 2007 Last Revised: 03 Mar 2014
Accepted Paper Series
Cambria Investment Management
Downloads 200,044
1952.

Relative Strength Strategies for Investing

Number of pages: 22 Posted: 06 Apr 2010 Last Revised: 20 Apr 2010
Working Paper Series
Cambria Investment Management
Downloads 60,431
1953.

An Intermarket Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities

2014 Charles H. Dow Award Winner
Number of pages: 16 Posted: 31 Mar 2014
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 13,246
1954.

Easy Volatility Investing

Number of pages: 34 Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads 11,783
1955.

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Number of pages: 47 Posted: 18 May 2010 Last Revised: 05 Aug 2016
Working Paper Series
Universitat Pompeu Fabra - Department of Economics and Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 10,497
1956.

A Generalized Earnings Model of Stock Valuation

Number of pages: 37 Posted: 18 Jul 1998
Working Paper Series
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 9,284
1957.

Forecasting Volatility

Number of pages: 42 Posted: 13 Jul 1999
Working Paper Series
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 9,150
1958.

The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies

ISMA Finance Discussion Paper No. 2002-08
Number of pages: 55 Posted: 05 Aug 2002
Working Paper Series
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 8,900
1959.

The Ohlson Model: Contribution to Valuation Theory, Limitations, and Empirical Applications

Sauder School of Business Working Paper
Number of pages: 48 Posted: 16 Mar 2000
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business and Northwestern University - Kellogg School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 8,876
1960.

A Stochastic Model for Order Book Dynamics

Number of pages: 23 Posted: 26 Sep 2008 Last Revised: 31 Aug 2009
Working Paper Series
Imperial College London, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 6,979
1961.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011, Johnson School Research Paper Series No. 10-2011
Number of pages: 12 Posted: 27 Jan 2011 Last Revised: 27 Feb 2012
Accepted Paper Series
Cornell University - Department of Economics, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,400
1962.

Rational Decision-Making under Uncertainty: Observed Betting Patterns on a Biased Coin

Number of pages: 8 Posted: 25 Oct 2016
Working Paper Series
Elm Partners and Pimco
Downloads 6,283
1963.

High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds

Number of pages: 27 Posted: 19 Jul 2004
Working Paper Series
London Business School
Downloads 6,032
1964.

An Intermarket Approach to Tactical Risk Rotation: Using the Signaling Power of Treasuries to Generate Alpha and Enhance Asset Allocation

2014 Wagner Award, 3rd Place
Number of pages: 18 Posted: 01 May 2014
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 5,851
1965.

Alpha Generation and Risk Smoothing Using Managed Volatility

Number of pages: 37 Posted: 24 Aug 2010
Working Paper Series
Double-Digit Numerics
Downloads 5,150
1966.

Valuing Customers

Journal of Marketing Research, pp. 7-18, February 2004, HBS Marketing Research Paper No. 03-08
Number of pages: 13 Posted: 13 Nov 2003 Last Revised: 27 Jul 2011
Accepted Paper Series
Harvard Business School, Columbia Business School - Marketing and Novartis International
Downloads 4,804
1967.

Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 21, MIT Sloan Research Paper No. 4774-10, AFA 2011 Denver Meetings Paper, CAREFIN Research Paper No. 12/2010
Number of pages: 57 Posted: 23 Nov 2011 Last Revised: 25 Apr 2012
Working Paper Series
Ca Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 4,659
1968.

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, Management School (ULMS), Students and Harvest Alpha Capital
Downloads 4,596
1969.

A Survey of Systemic Risk Analytics

U.S. Department of Treasury, Office of Financial Research No. 0001
Number of pages: 165 Posted: 11 Jan 2012 Last Revised: 16 Mar 2016
Working Paper Series
Massachusetts Institute of Technology (MIT), Government of the United States of America - Office of Financial Research, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT)

Multiple version iconThere are 2 versions of this paper

Downloads 4,472
1970.

The Price Impact of Order Book Events

JOURNAL OF FINANCIAL ECONOMETRICS (Winter 2014) 12 (1): 47-88.
Number of pages: 32 Posted: 28 Nov 2010 Last Revised: 17 Sep 2015
Accepted Paper Series
Imperial College London, AQR Capital Management, LLC and Cornell Financial Engineering Manhattan
Downloads 4,283
1971.

Variance Risk Premia

AFA 2005 Philadelphia Meetings
Number of pages: 44 Posted: 17 Aug 2004 Last Revised: 25 Oct 2007
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering
Downloads 4,206
1972.

Financial Econometrics

International Library of Financial Econometrics, Forthcoming
Number of pages: 31 Posted: 14 Jun 2007
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 4,157
1973.

Pe Ratios, Peg Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital

Number of pages: 39 Posted: 09 Sep 2003
Working Paper Series
University of Notre Dame - Department of Accountancy

Multiple version iconThere are 2 versions of this paper

Downloads 4,043
1974.

An Implementation of Markov Regime Switching Model with Time Varying Transition Probabilities in Matlab

Number of pages: 5 Posted: 12 Jun 2012 Last Revised: 29 Jun 2012
Working Paper Series
Analytic Investors
Downloads 3,996
1975.

Deep Learning for Finance: Deep Portfolios

Number of pages: 15 Posted: 14 Sep 2016 Last Revised: 08 Jan 2018
Working Paper Series
Conjecture LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 3,994
1976.

Forecasting Volatility in Financial Markets: A Review (Revised Edition)

Number of pages: 80 Posted: 04 Dec 2002
Working Paper Series
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School

Multiple version iconThere are 2 versions of this paper

Downloads 3,856
1977.

Effects of Brand Preference, Product Attributes, and Marketing Mix Variables in Technology Product Markets

Marketing Science, Forthcoming
Number of pages: 38 Posted: 04 Nov 2005
Accepted Paper Series
The Stephen M. Ross School of Business at the University of Michigan, University of Chicago and Amrita University - Amrita School of Business
Downloads 3,771
1978.

Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory

NYU Tandon Research Paper No. 1701685
Number of pages: 56 Posted: 03 Nov 2010 Last Revised: 26 Jun 2017
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 3,724
1979.

An Improved Moving Average Technical Trading Rule

Quantf Research Working Paper Series No. WP01/2014
Number of pages: 32 Posted: 13 Sep 2011 Last Revised: 02 Jun 2014
Working Paper Series
Quantf Research and University of Peloponnese - School of Management and Economics
Downloads 3,714
1980.

Evaluating Credit Risk Models

FRBSF Working Paper No. 99-06
Number of pages: 23 Posted: 27 Jul 1999
Working Paper Series
Federal Reserve Bank of San Francisco and affiliation not provided to SSRN
Downloads 3,694
1981.

Generalized Vanna-Volga Method and its Applications

Number of pages: 20 Posted: 30 Jul 2008 Last Revised: 13 Jul 2009
Working Paper Series
Optimal Selection Ltd.
Downloads 3,575
1982.

Forecasting Financial Market Volatility: A Review

Number of pages: 43 Posted: 15 Jun 2001
Working Paper Series
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School
Downloads 3,566
1983.

Lumber: Worth It's Weight in Gold Offense and Defense in Active Portfolio Management

2015 NAAIM Wagner Award Winner
Number of pages: 18 Posted: 11 May 2015 Last Revised: 03 Mar 2016
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 3,538
1984.

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 - Olin School of Business
Downloads 3,482
1985.

Analysis of Mortgage Backed Securities: Before and after the Credit Crisis

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 42 Posted: 07 Jan 2007 Last Revised: 16 Mar 2011
Accepted Paper Series
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,453
1986.

Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks

Number of pages: 18 Posted: 07 Mar 2016
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 3,415
1987.

Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

Number of pages: 31 Posted: 21 Feb 2011
Working Paper Series
National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 3,414
1988.

A New Method to Estimate Risk and Return of Non-traded Assets from Cash Flows: The Case of Private Equity Funds

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper, Swedish Institute for Financial Research Conference on The Economics of the Private Equity Market
Number of pages: 50 Posted: 27 Feb 2007 Last Revised: 13 Jan 2015
Accepted Paper Series
Tilburg University - Center and Faculty of Economics and Business Administration, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School

Multiple version iconThere are 3 versions of this paper

Downloads 3,331
1989.

An Econometric Analysis of Emission Trading Allowances

Journal of Banking and Finance, Vol. 32, No. 10, 2008, Swiss Finance Institute Research Paper No. 06-26
Number of pages: 45 Posted: 26 Nov 2006 Last Revised: 21 Dec 2009
Accepted Paper Series
London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment and University of Zurich - Department of Banking and Finance
Downloads 3,326
1990.

Application of Neural Networks to an Emerging Financial Market: Forecasting and Trading the Taiwan Stock Index

Number of pages: 42 Posted: 13 Aug 2001
Working Paper Series
National Chung Cheng University - Department of Finance, Cornell University - School of Applied Economics and Management and University of Texas at San Antonio - Department of Management Science and Statistics
Downloads 3,305
1991.

FX Market Behavior and Valuation

Number of pages: 41 Posted: 12 Jan 2007
Working Paper Series
Bloomberg L.P.
Downloads 3,258
1992.

A Novel Simple but Empirically Consistent Model for Stock Price and Option Pricing

Number of pages: 21 Posted: 10 Apr 2009 Last Revised: 15 Jul 2009
Working Paper Series
J.P. Morgan Chase & Co., Quantitative Research
Downloads 3,181
1993.

CAPM Over the Long-Run: 1926-2001

AFA 2004 San Diego Meetings
Number of pages: 41 Posted: 23 Nov 2003
Working Paper Series
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 3,054
1994.

Crises and Hedge Fund Risk

UMASS-Amherst Working Paper, Yale ICF Working Paper No. 07-14, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10-08
Number of pages: 61 Posted: 20 May 2008 Last Revised: 25 Apr 2012
Working Paper Series
Ca Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration

Multiple version iconThere are 2 versions of this paper

Downloads 3,051
1995.

Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy

Number of pages: 28 Posted: 05 Jan 2013
Working Paper Series
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 3,045
1996.

Conditional Value-at-Risk: Aspects of Modeling and Estimation

MIT Dept. of Economics Working Paper No. 01-19
Number of pages: 28 Posted: 07 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Management Science & Engineering
Downloads 2,991
1997.

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 - John Cook School of Business, University of Utah - Department of Finance and Washington University in St. Louis - Olin School of Business
Downloads 2,987
1998.

Market Timing & Trading Strategies Using Asset Rotation

Number of pages: 31 Posted: 18 Jan 2010 Last Revised: 19 Feb 2010
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Peloponnese - School of Management and Economics
Downloads 2,877
1999.

Managing Risk Exposures Using the Risk Budgeting Approach

Number of pages: 33 Posted: 23 Feb 2012 Last Revised: 10 Apr 2012
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads 2,866
2000.

Expected Stock Returns and Variance Risk Premia

AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41 Posted: 21 Sep 2006 Last Revised: 14 Dec 2008
Working Paper Series
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,826