Stefano Ciliberti

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 17,216

SSRN RANKINGS

Top 17,216

in Total Papers Downloads

4,259

SSRN CITATIONS
Rank 49,354

SSRN RANKINGS

Top 49,354

in Total Papers Citations

8

CROSSREF CITATIONS

5

Scholarly Papers (12)

1.

The Excess Returns of 'Quality' Stocks: A Behavioral Anomaly

HEC Paris Research Paper No. FIN-2016-1134
Number of pages: 11 Posted: 18 Jan 2016 Last Revised: 27 Nov 2017
Capital Fund Management, Capital Fund Management, HEC, Capital Fund Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,113 (10,530)
Citation 4

Abstract:

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Quality anomaly, financial analysts misplaced focus, behavioral biases

2.

Black Was Right: Price Is Within a Factor 2 of Value

Number of pages: 9 Posted: 16 Nov 2017 Last Revised: 19 Nov 2017
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 860 (40,473)
Citation 7

Abstract:

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Trend Following, Mean-Reversion, Market Anomalies, Behavioral Biases

3.

Equity Factors: To Short Or Not To Short, That is the Question

Number of pages: 9 Posted: 14 Apr 2020
affiliation not provided to SSRN, Capital Fund Management and Capital Fund Management
Downloads 471 (87,577)
Citation 1

Abstract:

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equity factors, asset pricing, factor investing, risk premia, equity market neutral, alternative beta

4.

A New Spin on Optimal Portfolios and Ecological Equilibria

Number of pages: 37 Posted: 14 Apr 2021 Last Revised: 04 Nov 2021
Ecole polytechnique, Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management
Downloads 419 (100,367)

Abstract:

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Spin-glasses, metastable states, cavity and replica method, quantitative finance, Markowitz portfolios, population dynamics

5.

Co-Existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model

Number of pages: 49 Posted: 07 Aug 2018
Adam Majewski, Stefano Ciliberti and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 147 (278,817)
Citation 4

Abstract:

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Trend Following, Value Investing, Market Anomalies, Agent-Based Models

6.

The Case for Long-Only Agnostic Allocation Portfolios

Number of pages: 20 Posted: 20 Jun 2019
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 144 (283,397)
Citation 1

Abstract:

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portfolio construction, minimum variance, maximum diversification, sparsity

7.

Smile Dynamics -- A Theory of the Implied Leverage Effect

Number of pages: 20 Posted: 27 Apr 2013
Capital Fund Management, Capital Fund Management and Capital Fund ManagementCapital Fund Management
Downloads 105 (356,740)

Abstract:

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8.

Drivers of Participation in Collective Arrangements in the Agri‐Food Supply Chain. Evidence from Italy Using a Transaction Costs Economics Perspective

Annals of Public and Cooperative Economics, Vol. 91, Issue 3, pp. 387-409, 2020
Number of pages: 23 Posted: 08 Sep 2020
Stefano Ciliberti, Angelo Frascarelli and Gaetano Martino
Capital Fund Management, Università degli Studi di Perugia and University of Perugia - Department of Agricultural Economics and Food Sciences
Downloads 0 (928,775)

Abstract:

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cooperation, producer organization, TCE

9.

Deconstructing the Low-Vol Anomaly

Posted: 22 May 2019
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund ManagementCapital Fund Management and Capital Fund Management

Abstract:

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Market Anomalies, Dividend bias, Defensive Equities

10.

Portfolio Construction Matters

The Journal of Portfolio Management, July 2020; DOI: https://doi.org/10.3905/jpm.2020.1.155
Posted: 11 Nov 2018
Stanislao Gualdi and Stefano Ciliberti
Capital Fund Management and Capital Fund Management

Abstract:

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Portfolio Construction, Equity Market Neutral Factors, Asset Management

11.

Is ESG an Equity Factor or Just an Investment Guide?

https://joi.pm-research.com/content/28/2/32
Posted: 24 Jul 2018
André Breedt, Stefano Ciliberti, Stanislao Gualdi and Philip Seager
Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management

Abstract:

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ESG ratings, Quantitative Asset Management, Equity market neutral, Risk premia

12.

The 'Size Premium' in Equity Markets: Where Is the Risk?

https://jpm.pm-research.com/content/45/5/58
Posted: 15 Aug 2017 Last Revised: 05 Oct 2019
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management

Abstract:

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Small Minus Big, SMB, Size, Risk Premium, Equities, Cold Minus Hot, Beta Neutrality