1.
151 Trading Strategies
Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 361
Posted: 13 Sep 2018
Last Revised: 16 Sep 2019
Accepted Paper Series
Quantigic Solutions LLC and NYU - Courant Institute of Mathematical Sciences
Downloads
121,458
2.
Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models
Number of pages: 96
Posted: 10 Apr 2023
Last Revised: 04 Sep 2024
Working Paper Series
University of Florida - Department of Finance, Insurance and Real Estate and University of Florida - Department of Finance
Downloads
71,000
3.
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
Harvard University - Business School (HBS), Sloan School of Management, MIT (Deceased) and Stanford Graduate School of BusinessPlatinum Grove Asset Management L.P.
Downloads
53,942
4.
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
43,605
5.
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
36,890
6.
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
33,367
7.
How Active is Your Fund Manager? A New Measure That Predicts Performance
AFA 2007 Chicago Meetings Paper, EFA 2007 Ljubljana Meetings Paper, Yale ICF Working Paper No. 06-14
Number of pages: 47
Posted: 21 Mar 2006
Last Revised: 09 Feb 2019
Accepted Paper Series
University of Notre Dame and Brooklyn Investment Group
There are 2 versions of this paper
How Active is Your Fund Manager? A New Measure That Predicts Performance
AFA 2007 Chicago Meetings Paper, EFA 2007 Ljubljana Meetings Paper, Yale ICF Working Paper No. 06-14
Number of pages: 47
Posted: 21 Mar 2006
Last Revised: 09 Feb 2019
Downloads
33,346
How Active is Your Fund Manager? A New Measure that Predicts Performance
The Review of Financial Studies, Vol. 22, Issue 9, pp. 3329-3365, 2009
Posted: 08 Sep 2009
Downloads
33,346
8.
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
There are 2 versions of this paper
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
Downloads
29,341
The Golden Dilemma
NBER Working Paper No. w18706
Number of pages: 49
Posted: 18 Jan 2013
Last Revised: 11 Feb 2023
Downloads
510
Downloads
29,341
9.
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
28,176
10.
DeFi and the Future of Finance
Number of pages: 39
Posted: 15 Dec 2020
Last Revised: 06 Feb 2022
Working Paper Series
Duke University - Fuqua School of Business, Independent and Fei Protocol
Downloads
24,702
11.
Empirical Asset Pricing via Machine Learning
Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79
Posted: 09 Apr 2018
Last Revised: 15 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
There are 2 versions of this paper
Empirical Asset Pricing via Machine Learning
Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79
Posted: 09 Apr 2018
Last Revised: 15 Sep 2019
Downloads
24,603
Empirical Asset Pricing Via Machine Learning
NBER Working Paper No. w25398
Number of pages: 80
Posted: 26 Dec 2018
Last Revised: 26 May 2023
Downloads
668
Downloads
24,603
12.
Re(Visiting) Large Language Models in Finance
Number of pages: 55
Posted: 03 Oct 2024
Last Revised: 24 Jan 2025
Working Paper Series
The University of Manchester - Alliance Manchester Business School and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads
22,828
13.
James H. Simons, PhD: Using Mathematics to Make Money
Journal of Investment Consulting, Vol. 22, No. 1, pp. 4-9, 2023
Number of pages: 8
Posted: 19 Dec 2023
Accepted Paper Series
Simons Foundation
Downloads
22,332
14.
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
21,045
15.
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
19,968
16.
Risk Management for Hedge Funds: Introduction and Overview
Number of pages: 36
Posted: 13 Sep 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
There are 2 versions of this paper
Risk Management for Hedge Funds: Introduction and Overview
Number of pages: 36
Posted: 13 Sep 2001
Downloads
19,295
Downloads
19,295
17.
Which U.S. Stocks Generated the Highest Long-Term Returns?
Number of pages: 18
Posted: 22 Jul 2024
Last Revised: 11 Nov 2024
Working Paper Series
W.P. Carey School of Business
Downloads
19,157
18.
The Volume Clock: Insights into the High Frequency Paradigm
The Journal of Portfolio Management, (Fall, 2012) , Johnson School Research Paper Series No. 9-2012
Number of pages: 23
Posted: 21 May 2019
Last Revised: 30 May 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
18,141
19.
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 BusinessSaint Joseph's University
Downloads
17,653
20.
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
17,351
21.
ESG and Financial Performance: Aggregated Evidence from More than 2000 Empirical Studies
Journal of Sustainable Finance & Investment, Volume 5, Issue 4, p. 210-233, 2015, DOI: 10.1080/20430795.2015.1118917
Number of pages: 25
Posted: 19 Dec 2015
Accepted Paper Series
Deutsche Asset & Wealth Management, School of Business, Economics and Social Sciences, University of Hamburg and University of Hamburg
Downloads
16,486
22.
Autoencoder Asset Pricing Models
Yale ICF Working Paper No. 2019-04, Chicago Booth Research Paper No. 19-24
Number of pages: 35
Posted: 07 Mar 2019
Last Revised: 01 Oct 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads
16,310
23.
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) - Laboratory for Financial Engineering
There are 2 versions of this paper
What Happened to the Quants in August 2007?
Number of pages: 67
Posted: 21 Sep 2007
Last Revised: 17 Jan 2008
Downloads
16,265
What Happened to the Quants in August 2007?
Journal of Investment Management, Vol. 5, No. 4, Fourth Quarter 2007
Posted: 17 Jan 2008
Downloads
16,265
24.
(Re-)Imag(in)ing Price Trends
Chicago Booth Research Paper No. 21-01
Number of pages: 80
Posted: 04 Jan 2021
Last Revised: 23 Oct 2022
Working Paper Series
University of Chicago, Yale SOM and University of Chicago - Booth School of Business
Downloads
16,165
25.
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
15,884
26.
Is There a Replication Crisis in Finance?
NYU Stern School of Business Forthcoming
Number of pages: 106
Posted: 05 Mar 2021
Last Revised: 07 Mar 2022
Working Paper Series
Yale University, Yale SOM and AQR Capital Management, LLC
There are 2 versions of this paper
Is There a Replication Crisis in Finance?
NYU Stern School of Business Forthcoming
Number of pages: 106
Posted: 05 Mar 2021
Last Revised: 07 Mar 2022
Downloads
15,614
Is There a Replication Crisis in Finance?
NBER Working Paper No. w28432
Number of pages: 54
Posted: 08 Feb 2021
Last Revised: 10 Mar 2023
Downloads
298
Downloads
15,614
27.
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
15,119
28.
An Investor’s Guide to Crypto
Number of pages: 29
Posted: 02 Jun 2022
Last Revised: 02 Sep 2022
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Ruffer LLP, Man AHL, Man Group, Man AHL and Man AHL
Downloads
15,116
29.
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
14,808
30.
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) - Laboratory for Financial Engineering
Downloads
14,372
31.
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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
There are 3 versions of this paper
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
Downloads
13,645
The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Number of pages: 34
Posted: 08 Jun 2013
Downloads
734
The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Number of pages: 34
Posted: 16 May 2013
Downloads
421
Downloads
13,645
32.
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) - Laboratory for Financial Engineering
Downloads
12,905
33.
Open Source Cross-Sectional Asset Pricing
Critical Finance Review, Forthcoming
Number of pages: 69
Posted: 12 Jun 2020
Last Revised: 17 Jun 2021
Accepted Paper Series
Board of Governors of the Federal Reserve System and University of Cologne
There are 2 versions of this paper
Open Source Cross-Sectional Asset Pricing
Critical Finance Review, Forthcoming
Number of pages: 69
Posted: 12 Jun 2020
Last Revised: 17 Jun 2021
Downloads
12,844
Open Source Cross-Sectional Asset Pricing
FEDS Working Paper No. 2021-37
Number of pages: 66
Posted: 30 Jun 2021
Last Revised: 07 Sep 2021
Downloads
420
Downloads
12,844
34.
Bitcoin - Asset or Currency? Revealing Users' Hidden Intentions
ECIS 2014 (Tel Aviv)
Number of pages: 14
Posted: 16 Apr 2014
Last Revised: 22 May 2015
Accepted Paper Series
Goethe University Frankfurt Faculty of Economics and Business AdministrationKarlsruhe Institute of Technology, Goethe University Frankfurt Faculty of Economics and Business Administration, Goethe University Frankfurt Faculty of Economics and Business AdministrationEuropean Securities and Markets Authority (ESMA), Goethe University Frankfurt Faculty of Economics and Business Administration and Goethe University Frankfurt Faculty of Economics and Business Administration
Downloads
12,571
35.
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) - Laboratory for Financial Engineering
There are 2 versions of this paper
Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis
Journal of Investment Consulting, Forthcoming
Number of pages: 44
Posted: 25 May 2005
Downloads
12,383
Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis
Journal of Investment Consulting, Vol. 7, No. 2, pp. 21-44, 2005
Number of pages: 28
Posted: 05 Nov 2010
Downloads
6,681
Downloads
12,383
36.
Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits
Number of pages: 24
Posted: 08 Apr 2016
Last Revised: 13 Apr 2016
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads
12,185
37.
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
There are 2 versions of this paper
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
Downloads
12,022
Institutional Investors and Stock Market Volatility
NBER Working Paper No. w11722
Number of pages: 52
Posted: 18 Jan 2006
Last Revised: 14 Jul 2022
Downloads
299
Downloads
12,022
38.
Forecasting a Volatility Tsunami
Number of pages: 18
Posted: 11 Apr 2017
Working Paper Series
Independent
Downloads
11,979
39.
Machine Learning in Asset Management
JFDS: https://jfds.pm-research.com/content/2/1/10
Number of pages: 65
Posted: 18 Jul 2019
Last Revised: 23 Jun 2020
Working Paper Series
New York University (NYU) - Finance and Risk Engineering Department
Downloads
11,840
40.
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
11,714
41.
Core Earnings: New Data and Evidence
Harvard Business School Accounting & Management Unit Working Paper No. 20-047, October 2019, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 71
Posted: 11 Oct 2019
Last Revised: 24 Nov 2020
Accepted Paper Series
Harvard Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Harvard University - Business School (HBS)
Downloads
11,515
42.
The Remarkable Growth in Financial Economics, 1974-2020: Online Appendix
Journal of Financial Economics (JFE), Vol. 140, No. 3, 2021
Number of pages: 281
Posted: 15 Dec 2020
Last Revised: 12 May 2021
Accepted Paper Series
University of Rochester - Simon Business School
Downloads
11,478
43.
Behavioral Finance: An Introduction
Number of pages: 43
Posted: 18 Oct 2009
Last Revised: 16 Dec 2011
Working Paper Series
Erasmus University Rotterdam (EUR)
Downloads
11,176
44.
Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less
Number of pages: 37
Posted: 19 Jul 2017
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads
11,169
45.
How Biases Affect Investor Behaviour
The European Financial Review, February-March 2014, pp. 7-10
Number of pages: 4
Posted: 23 Jun 2014
Accepted Paper Series
American University - Kogod School of Business and Ursinus College
Downloads
11,023
46.
Active Share and Mutual Fund Performance
Number of pages: 47
Posted: 02 Oct 2010
Last Revised: 17 Jan 2013
Working Paper Series
Brooklyn Investment Group
Downloads
11,010
47.
Stock Valuation and Investment Strategies
Number of pages: 55
Posted: 26 Jul 2001
Working Paper Series
York University - Schulich School of Business and The University of Hong Kong - Faculty of Business and Economics
Downloads
10,780
48.
The Safe Withdrawal Rate: Evidence from a Broad Sample of Developed Markets
Number of pages: 41
Posted: 28 Sep 2022
Last Revised: 25 Jul 2023
Working Paper Series
Emory University - Department of Finance, University of Arizona - Department of Finance, University of Missouri at Columbia - Department of Finance and University of Arizona - Department of Finance
Downloads
10,614
49.
Trading Costs
Number of pages: 88
Posted: 22 Aug 2018
Working Paper Series
AQR Capital Management, LLC, Yale School of Management and Yale University, Yale SOMAQR Capital
Downloads
10,609
50.
How Do Private Equity Investments Perform Compared to Public Equity?
Darden Business School Working Paper No. 2597259
Number of pages: 37
Posted: 23 Apr 2015
Last Revised: 09 Feb 2021
Working Paper Series
University of Virginia - Darden School of Business, University of Oxford - Said Business School and University of Chicago - Booth School of Business
Downloads
10,520
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