Stefano Ciliberti

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 16,275

SSRN RANKINGS

Top 16,275

in Total Papers Downloads

2,898

CITATIONS
Rank 37,774

SSRN RANKINGS

Top 37,774

in Total Papers Citations

9

Scholarly Papers (9)

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) - Economics, Finance, Accounting (EFA)
Downloads 1,202 (16,195)
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 617 (41,725)
Citation 1

Abstract:

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

3.

Is ESG an Equity Factor or Just an Investment Guide?

Number of pages: 11 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
Downloads 502 (54,541)
Citation 1

Abstract:

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

4.

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

Number of pages: 10 Posted: 15 Aug 2017 Last Revised: 23 Aug 2017
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 281 (106,829)

Abstract:

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

5.

Portfolio Construction Matters

Number of pages: 17 Posted: 11 Nov 2018
Stanislao Gualdi and Stefano Ciliberti
Capital Fund Management and Capital Fund Management
Downloads 113 (240,663)

Abstract:

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Portfolio Construction, Equity Market Neutral Factors, Asset Management

6.

Smile Dynamics -- A Theory of the Implied Leverage Effect

Number of pages: 20 Posted: 27 Apr 2013
Stefano Ciliberti, Jean-Philippe Bouchaud and Marc Potters
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 79 (303,718)
Citation 4

Abstract:

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7.

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 76 (310,735)

Abstract:

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

8.

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 28 (471,410)

Abstract:

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portfolio construction, minimum variance, maximum diversification, sparsity

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 Management and Capital Fund Management

Abstract:

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Market Anomalies, Dividend bias, Defensive Equities