Ryan Taliaferro

Acadian Asset Management

260 Franklin Street

Boston, MA 02110

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 8,709

SSRN RANKINGS

Top 8,709

in Total Papers Downloads

4,102

CITATIONS
Rank 12,066

SSRN RANKINGS

Top 12,066

in Total Papers Citations

33

Scholarly Papers (15)

1.

The Low Risk Anomaly: A Decomposition into Micro and Macro Effects

Financial Analysts Journal, Forthcoming
Number of pages: 38 Posted: 01 Feb 2013 Last Revised: 14 Sep 2013
Malcolm P. Baker, Brendan Bradley and Ryan Taliaferro
Harvard Business School, Acadian Asset Management Inc., USA and Acadian Asset Management
Downloads 1,545 (6,332)
Citation 3

Abstract:

low volatility, beta, portfolio construction, market efficiency, capital asset pricing model

2.

Live Prices and Stale Quantities: T+1 Accounting and Mutual Fund Mispricing

HBS Finance Working Paper No. 881615
Number of pages: 56 Posted: 12 Feb 2006
Peter Tufano, Michael Quinn and Ryan Taliaferro
University of Oxford - Said Business School, Analysis Group, Inc. and Acadian Asset Management
Downloads 1,435 (8,965)
Citation 3

Abstract:

Mutual Funds, Net Asset Value, Daily Returns, Financial Institutions, Regulation, NAV

Predicting Returns with Managerial Decisions Variables: Is There a Small-Sample Bias?

Number of pages: 31 Posted: 28 Sep 2004 Last Revised: 12 Aug 2008
Malcolm P. Baker, Ryan Taliaferro and Jeffrey Wurgler
Harvard Business School, Acadian Asset Management and NYU Stern School of Business
Downloads 373 (60,675)
Citation 20

Abstract:

Predictability, market timing, bias

Pseudo Market Timing and Predictive Regressions

NYU Working Paper No. FIN-04-021
Number of pages: 37 Posted: 03 Nov 2008
Malcolm P. Baker, Ryan Taliaferro and Jeffrey Wurgler
Harvard Business School, Acadian Asset Management and NYU Stern School of Business
Downloads 85 (237,252)
Citation 20

Abstract:

Predictive Regressions Based on Managerial Decision Variables: Is There a Small-Sample Bias?

NYU Working Paper No. 2451/31360, NYU Working Paper No. FIN-11-027
Number of pages: 20 Posted: 15 Dec 2011
Malcolm P. Baker, Jeffrey Wurgler and Ryan Taliaferro
Harvard Business School, NYU Stern School of Business and Acadian Asset Management
Downloads 49 (320,187)
Citation 25

Abstract:

Pseudo Market Timing and Predictive Regressions

NBER Working Paper No. w10823
Number of pages: 38 Posted: 19 Oct 2004
Malcolm P. Baker, Ryan Taliaferro and Jeffrey Wurgler
Harvard Business School, Acadian Asset Management and NYU Stern School of Business
Downloads 48 (323,262)
Citation 20

Abstract:

Predicting Returns with Managerial Decision Variables: Is There a Small-Sample Bias?

Journal of Finance, Vol. 61, No. 4, pp. 1711-1730, August 2006
Posted: 22 Feb 2006 Last Revised: 12 Aug 2008
Malcolm P. Baker, Ryan Taliaferro and Jeffrey Wurgler
Harvard Business School, Acadian Asset Management and NYU Stern School of Business

Abstract:

Predictive regressions, market timing, small sample bias

4.

Optimal Tilts

Number of pages: 39 Posted: 22 Feb 2016
Malcolm P. Baker, Terence Burnham and Ryan Taliaferro
Harvard Business School, Chapman University - Department of Business and Economics and Acadian Asset Management
Downloads 0 (154,398)

Abstract:

asset pricing, valuation, market efficiency, investment management

5.

Large Banks and the Transmission of Financial Shocks

Number of pages: 42 Posted: 11 Nov 2015 Last Revised: 27 Jan 2017
Vitaly Bord, Victoria Ivashina and Ryan Taliaferro
Harvard University, Harvard University and Acadian Asset Management
Downloads 0 (145,329)

Abstract:

6.

Live Prices and Stale Quantities: T1 Accounting and Mutual Fund Mispricing

Journal of Investment Management (JOIM), First Quarter, 2012
Posted: 24 May 2012
Peter Tufano, Michael Quinn and Ryan Taliaferro
University of Oxford - Said Business School, Analysis Group, Inc. and Acadian Asset Management

Abstract:

Mutual funds, net asset value, daily returns, NAV

7.

Fixed Income Arbitrage in a Financial Crisis (B): US Treasuries in December 2008

Harvard Business School Finance Case No. 211-050
Posted: 01 Mar 2012
Ryan Taliaferro and Stephen Blyth
Acadian Asset Management and Harvard Management Company

Abstract:

8.

Fixed Income Arbitrage in a Financial Crisis (C): TED Spread and Swap Spread in November 2008

Harvard Business School Finance Case No. 211-051
Posted: 01 Mar 2012
Ryan Taliaferro and Stephen Blyth
Acadian Asset Management and Harvard Management Company

Abstract:

9.

Fixed Income Arbitrage in a Financial Crisis (D): TED Spread and Swap Spread in May 2009

Harvard Business School Finance Case No. 211-052
Posted: 01 Mar 2012
Ryan Taliaferro and Stephen Blyth
Acadian Asset Management and Harvard Management Company

Abstract:

10.

Fixed Income Arbitrage in a Financial Crisis (A): US Treasuries in November 2008

Harvard Business School Finance Case No. 211-049
Posted: 01 Mar 2012
Ryan Taliaferro and Stephen Blyth
Acadian Asset Management and Harvard Management Company

Abstract:

11.

Boston Properties (B)

Harvard Business School Finance Case No. 211-041
Posted: 02 Feb 2012
Ryan Taliaferro and Aldo Sesia
Acadian Asset Management and Harvard Business School

Abstract:

12.

Mellon Financial and the Bank of New York

HBS Case No. 208-129, Harvard Business School Finance Unit
Posted: 27 Dec 2009
Carliss Y. Baldwin and Ryan Taliaferro
Harvard Business School, Finance Unit and Acadian Asset Management

Abstract:

13.

Merger of Equals: The Integration of Mellon Financial and The Bank of New York (A)

HBS Case No. 210-016, Harvard Business School Finance Unit
Posted: 23 Nov 2009
Ryan Taliaferro, Clayton S. Rose and David Lane
Acadian Asset Management, Harvard Business School and Harvard Business School

Abstract:

14.

Merger of Equals: The Integration of Mellon Financial and the Bank of New York (C)

HBS Case No. 210-028, Harvard Business School Finance Unit
Posted: 23 Nov 2009
Ryan Taliaferro, Clayton S. Rose and David Lane
Acadian Asset Management, Harvard Business School and Harvard Business School

Abstract:

15.

Merger of Equals: The Integration of Mellon Financial and the Bank of New York (B)

HBS Case No. 210-025, Harvard Business School Finance Unit
Posted: 23 Nov 2009
Ryan Taliaferro, Clayton S. Rose and David Lane
Acadian Asset Management, Harvard Business School and Harvard Business School

Abstract: