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JEL Code: G10

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Viewing: 461 - 510 of 6,752 papers

461.

The Capital Asset Pricing Model: Some Empirical Tests

Michael C. Jensen, STUDIES IN THE THEORY OF CAPITAL MARKETS, Praeger Publishers Inc., 1972
Number of pages: 54 Posted: 13 Jun 2006
Accepted Paper Series
SSRN, Sloan School of Management, MIT (Deceased) and Stanford Graduate School of Business
Downloads 33,031
462.

Global Value: Building Trading Models with the 10 Year CAPE

Cambria Quantitative Research, No. 5, August 2012
Number of pages: 15 Posted: 21 Aug 2012 Last Revised: 13 Sep 2012
Accepted Paper Series
Cambria Investment Management
Downloads 28,491
463.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2013 Edition

Number of pages: 114 Posted: 24 Mar 2013
Working Paper Series
New York University - Stern School of Business
Downloads 26,204
464.

Risk Premia Harvesting Through Dual Momentum

Journal of Management & Entrepreneurship, vol.2, no.1 (Mar 2017), 27-55
Number of pages: 37 Posted: 19 Apr 2012 Last Revised: 23 May 2017
Accepted Paper Series
Portfolio Management Consultants
Downloads 24,353
465.

How Active is Your Fund Manager? A New Measure That Predicts Performance

AFA 2007 Chicago Meetings Paper, Yale ICF Working Paper No. 06-14, EFA 2007 Ljubljana Meetings Paper
Number of pages: 47 Posted: 21 Mar 2006 Last Revised: 07 May 2009
Working Paper Series
University of Notre Dame and New York University (NYU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 23,259
466.

The Golden Dilemma

Financial Analysts Journal, vol. 69, no. 4 (July/August 2013) 10-42.
Number of pages: 48 Posted: 06 Jun 2012 Last Revised: 28 Aug 2015
Accepted Paper Series
TR and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 22,054
467.

Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay

Number of pages: 33 Posted: 04 Apr 2013 Last Revised: 13 Jun 2015
Working Paper Series
Portfolio Management Consultants
Downloads 20,581
468.

Establishing a Pecking Order for Finance Academics: Ranking of U.S. Finance Doctoral Programs

Number of pages: 17 Posted: 13 Mar 2007
Working Paper Series
St. Joseph's University - Haub School of Business
Downloads 16,837
469.

Risk Management for Hedge Funds: Introduction and Overview

Number of pages: 36 Posted: 13 Sep 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 16,424
470.

What Happened to the Quants in August 2007?

Number of pages: 67 Posted: 21 Sep 2007 Last Revised: 17 Jan 2008
Working Paper Series
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 14,390
471.

Value Investing: Investing for Grown Ups?

Number of pages: 79 Posted: 20 Apr 2012 Last Revised: 27 Jun 2012
Working Paper Series
New York University - Stern School of Business
Downloads 13,600
472.

The Fall of Enron

Harvard NOM Working Paper No. 03-38
Number of pages: 46 Posted: 17 Oct 2003
Accepted Paper Series
Harvard University - Harvard Business School and Harvard Business School
Downloads 12,555
473.

Quality Minus Junk

Number of pages: 80 Posted: 19 Aug 2013 Last Revised: 10 Jun 2017
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 11,284
474.

Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Journal of Investment Consulting, Forthcoming
Number of pages: 44 Posted: 25 May 2005
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 10,805
475.

Institutional Investors and Stock Market Volatility

MIT Department of Economics Working Paper No. 03-30
Number of pages: 51 Posted: 11 Sep 2003 Last Revised: 01 Jun 2010
Accepted Paper Series
Harvard University - Department of Economics, Boston University - Center for Polymer Studies, Boston University - Center for Polymer Studies and Boston University - Center for Polymer Studies

Multiple version iconThere are 2 versions of this paper

Downloads 9,925
476.

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Number of pages: 42 Posted: 08 Aug 2012 Last Revised: 27 Aug 2015
Working Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School

Multiple version iconThere are 3 versions of this paper

Downloads 9,576
477.

Stock Valuation and Investment Strategies

Yale ICF Working Paper No. 00-46
Number of pages: 55 Posted: 26 Jul 2001
Working Paper Series
York University - Schulich School of Business and University of Hong Kong
Downloads 9,404
478.

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 9,110
479.

Efficient Markets Hypothesis

THE NEW PALGRAVE: A DICTIONARY OF ECONOMICS, L. Blume, S. Durlauf, eds., 2nd Edition, Palgrave Macmillan Ltd., 2007
Number of pages: 28 Posted: 06 Jun 2007
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 8,770
480.

Active Share and Mutual Fund Performance

Number of pages: 47 Posted: 02 Oct 2010 Last Revised: 17 Jan 2013
Working Paper Series
New York University (NYU) - Department of Finance
Downloads 8,556
481.

Understanding CVA, DVA, and FVA: Examples of Interest Rate Swap Valuation

Number of pages: 38 Posted: 18 Oct 2014 Last Revised: 15 Jul 2015
Working Paper Series
Boston University - Department of Finance & Economics
Downloads 8,331
482.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) Forthcoming , Johnson School Research Paper Series No. 9-2012
Number of pages: 23 Posted: 05 Apr 2012 Last Revised: 20 Aug 2012
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 8,223
483.

Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication

Alternative Investment Research Centre Working Paper No. 27, Cass Business School Research Paper
Number of pages: 52 Posted: 30 Nov 2005
Working Paper Series
Independent and Independent
Downloads 8,140
484.

Behavioral Finance: An Introduction

Number of pages: 43 Posted: 18 Oct 2009 Last Revised: 16 Dec 2011
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 7,671
485.

Market Microstructure: A Survey

Number of pages: 64 Posted: 28 Mar 2000
Working Paper Series
BlackRock, Inc.

Multiple version iconThere are 2 versions of this paper

Downloads 7,585
486.

High-Frequency Trading, Stock Volatility, and Price Discovery

Number of pages: 54 Posted: 14 Oct 2010 Last Revised: 27 Dec 2010
Working Paper Series
Yale School of Management
Downloads 7,119
487.

Reading About the Financial Crisis: A 21-Book Review

Number of pages: 41 Posted: 27 Oct 2011 Last Revised: 10 Jan 2012
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 6,975
488.

A Risk Perception Primer: A Narrative Research Review of the Risk Perception Literature in Behavioral Accounting and Behavioral Finance

Number of pages: 109 Posted: 20 Jul 2004
Working Paper Series
Goucher College - Department of Business Management
Downloads 6,554
489.

Calculating and Comparing Security Returns is Harder than you Think: A Comparison between Logarithmic and Simple Returns

Number of pages: 33 Posted: 07 Feb 2010 Last Revised: 25 Feb 2013
Working Paper Series
Hull University Business School (HUBS) and University of Brighton
Downloads 6,436
490.

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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,379
491.

The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

Journal of Portfolio Management, Forthcoming
Number of pages: 33 Posted: 15 Oct 2004
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 6,360
492.

M of a Kind: A Multivariate Approach at Pairs Trading

Number of pages: 25 Posted: 21 Dec 2006 Last Revised: 28 Dec 2007
Working Paper Series
Escola de Administração - UFRGS
Downloads 5,877
493.

Characteristics of Risk and Return in Risk Arbitrage

Number of pages: 54 Posted: 30 May 2001
Working Paper Series
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 5,847
494.

A Literature Review of Risk Perception Studies in Behavioral Finance: The Emerging Issues

Number of pages: 41 Posted: 25 May 2007
Working Paper Series
Goucher College - Department of Business Management
Downloads 5,586
495.

Stress-testing Financial Systems: An Overview of Current Methodologies

BIS Working Paper No. 165
Number of pages: 41 Posted: 20 Sep 2007
Working Paper Series
World Bank Group - International Finance Corporation
Downloads 5,179
496.

Evaluation of Pairs Trading Strategy at the Brazilian Financial Market

Journal of Derivatives & Hedge Funds, Vol. 15, pp. 122-136
Number of pages: 28 Posted: 19 Dec 2006 Last Revised: 01 May 2010
Accepted Paper Series
Escola de Administração - UFRGS
Downloads 5,139
497.

When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks

Journal of Finance, Forthcoming
Number of pages: 46 Posted: 23 Jan 2009 Last Revised: 05 Mar 2010
Accepted Paper Series
University of Notre Dame and University of Notre Dame - Mendoza College of Business - Department of Finance
Downloads 5,064
498.

Why Indexing Works

Number of pages: 7 Posted: 14 Oct 2015 Last Revised: 12 May 2017
Working Paper Series
Bartlit Beck Herman Palenchar & Scott LLP, University of Chicago - Booth School of Business and University of Oxford - Mathematical Institute
Downloads 4,835
499.

Momentum and Markowitz: A Golden Combination

Number of pages: 34 Posted: 16 May 2015 Last Revised: 05 Jun 2015
Working Paper Series
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads 4,825
500.

Introduction to Applied Stress Testing

IMF Working Paper No. 07/59
Number of pages: 76 Posted: 19 Mar 2007
Working Paper Series
International Monetary Fund (IMF)
Downloads 4,778
501.

Governance and Intermediation Problems in Capital Markets: Evidence from the Fall of Enron

Harvard NOM Working Paper No. 02-27
Number of pages: 52 Posted: 15 Oct 2002
Working Paper Series
Harvard Business School and Harvard University - Harvard Business School
Downloads 4,688
502.

Modeling Asset Prices for Algorithmic and High Frequency Trading

Applied Mathematical Finance, Vol. 20, No. 6, 2013
Number of pages: 32 Posted: 09 Dec 2010 Last Revised: 28 Feb 2014
Working Paper Series
University of Oxford and University of Toronto - Department of Statistics
Downloads 4,559
503.

The Eyeballs Have It: Searching for the Value in Internet Stocks

Number of pages: 38 Posted: 15 Feb 2000
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Toronto - Rotman School of Management and University of California, Berkeley
Downloads 4,519
504.

Is Portfolio Theory Harming Your Portfolio?

Number of pages: 14 Posted: 15 May 2011 Last Revised: 10 Jun 2011
Working Paper Series
Green River Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 4,469
505.

The Role of Accounting in the Financial Crisis: Lessons for the Future

Number of pages: 31 Posted: 15 Dec 2011
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Stanford Graduate School of Business
Downloads 4,465
506.

What is the Intrinsic Value of the Dow?

Number of pages: 55 Posted: 03 Mar 1997
Working Paper Series
Stanford University - Graduate School of Business, University of Tennessee, Knoxville - College of Business Administration and LSV Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 4,459
507.

Living with Noise: Investing and Valuation in the Face of Uncertainty

Number of pages: 34 Posted: 20 Sep 2013
Working Paper Series
New York University - Stern School of Business
Downloads 4,456
508.

Low-Latency Trading

Johnson School Research Paper Series No. 35-2010, AFA 2012 Chicago Meetings Paper
Number of pages: 56 Posted: 22 Oct 2010 Last Revised: 22 May 2013
Working Paper Series
New York University (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,454
509.

Volatility Dispersion Trading

Number of pages: 44 Posted: 08 Jul 2008
Working Paper Series
University of Illinois at Urbana-Champaign
Downloads 4,454
510.

Earnings Management and Value Relevance During the Mandatory Transition from Local GAAPs to IFRS in Europe

Number of pages: 63 Posted: 29 Apr 2008 Last Revised: 12 Mar 2013
Working Paper Series
HEC Paris - Accounting and Management Control Department, ESSEC Business School, ESSEC Business School - Department of Accounting and Management Control and Tufts University - The Fletcher School
Downloads 4,401