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
84,681
2.
Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models
Number of pages: 60
Posted: 10 Apr 2023
Last Revised: 09 Sep 2023
Working Paper Series
University of Florida - Department of Finance, Insurance and Real Estate and University of Florida - Department of Finance
Downloads
51,144
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 Business School, Sloan School of Management, MIT (Deceased) and Stanford Graduate School of BusinessPlatinum Grove Asset Management L.P.
Downloads
49,165
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
40,013
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
34,345
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
32,711
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
30,986
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
30,986
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
27,970
The Golden Dilemma
NBER Working Paper No. w18706
Number of pages: 49
Posted: 18 Jan 2013
Last Revised: 11 Feb 2023
Downloads
404
Downloads
27,970
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
27,921
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
21,603
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
19,447
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
429
Downloads
19,447
12.
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
19,161
13.
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
18,829
Downloads
18,829
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
18,684
15.
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
17,575
16.
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
16,084
17.
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
15,999
What Happened to the Quants in August 2007?
Journal of Investment Management, Vol. 5, No. 4, Fourth Quarter 2007
Posted: 17 Jan 2008
Downloads
15,999
18.
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
15,018
19.
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
14,885
20.
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
13,502
21.
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
13,119
The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Number of pages: 34
Posted: 08 Jun 2013
Downloads
670
The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Number of pages: 34
Posted: 16 May 2013
Downloads
376
Downloads
13,119
22.
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
12,882
23.
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
12,550
24.
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
12,235
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
5,133
Downloads
12,235
25.
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
12,204
26.
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
12,014
27.
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
11,823
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
226
Downloads
11,823
28.
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
Copenhagen Business School, 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
11,762
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
170
Downloads
11,762
29.
(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
11,573
30.
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
11,383
31.
Forecasting a Volatility Tsunami
Number of pages: 18
Posted: 11 Apr 2017
Working Paper Series
Independent
Downloads
10,953
32.
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
10,950
33.
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
10,949
34.
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 Business School (HBS)
Downloads
10,873
35.
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
The Alan Turing Institute
Downloads
10,779
36.
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
10,754
37.
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
10,694
38.
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
10,655
39.
Stock Valuation and Investment Strategies
Number of pages: 55
Posted: 26 Jul 2001
Working Paper Series
York University - Schulich School of Business and University of Hong Kong, Faculty of Business Economics (HKU Business School)
Downloads
10,601
40.
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
10,495
41.
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
10,202
42.
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
9,875
43.
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
9,861
44.
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
9,704
45.
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
9,422
46.
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
8,914
47.
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
8,692
48.
Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing
Number of pages: 35
Posted: 17 Feb 2019
Last Revised: 11 Apr 2019
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads
8,300
49.
Buy Low Sell High: A High Frequency Trading Perspective
Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.
Number of pages: 37
Posted: 26 Nov 2011
Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads
8,191
50.
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
Ursinus College
Downloads
8,087
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