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JEL Code: G10

5,756,712 Total downloads

Viewing: 1 - 50 of 10,592 papers

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
Zura Kakushadze and Juan A. Serur
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
Alejandro Lopez-Lira and Yuehua Tang
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
Michael C. Jensen (Deceased), Fischer Black, Myron S. Scholes and Myron S. Scholes
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
Gary Antonacci
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
Gary Antonacci
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
Meb Faber
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
Martijn Cremers and Antti Petajisto
University of Notre Dame and Brooklyn Investment Group

Multiple version iconThere are 2 versions of this paper

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
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

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
Aswath Damodaran
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
Campbell R. Harvey, Ashwin Ramachandran and Joey Santoro
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
Shihao Gu, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

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
Eghbal Rahimikia and Felix Drinkall
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
James Simons
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
Clifford S. Asness, Andrea Frazzini and Lasse Heje Pedersen
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
Aswath Damodaran
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
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

Multiple version iconThere are 2 versions of this paper

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
Hendrik Bessembinder
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
David Easley, Marcos Lopez de Prado, Marcos Lopez de Prado and Maureen O'Hara
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
Jean L. Heck and Jean L. Heck
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
Donald J. Smith
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
Gunnar Friede, Timo Busch and Alexander Bassen
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
Shihao Gu, Bryan T. Kelly and Dacheng Xiu
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
Amir Khandani and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

Multiple version iconThere are 2 versions of this paper

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
Jingwen Jiang, Bryan T. Kelly and Dacheng Xiu
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
Krishna Palepu and Paul M. Healy
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
Theis Ingerslev Jensen, Bryan T. Kelly and Lasse Heje Pedersen
Yale University, Yale SOM and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

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
Tim Loughran and Bill McDonald
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
Campbell R. Harvey, Tarek Abou Zeid, Teun Draaisma, Martin Luk, Henry Neville, Andre Rzym and Otto Van Hemert
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
Robert Hudson and Andros Gregoriou
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
Andrew W. Lo
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
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
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

Multiple version iconThere are 3 versions of this paper

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
Andrew W. Lo
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
Andrew Y. Chen and Tom Zimmermann
Board of Governors of the Federal Reserve System and University of Cologne

Multiple version iconThere are 2 versions of this paper

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
Florian Glaser, Florian Glaser, Kai Zimmermann, Martin Haferkorn, Martin Haferkorn, Moritz Christian Weber and Michael Siering
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
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

Multiple version iconThere are 2 versions of this paper

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
Wouter J. Keller and Jan Willem Keuning
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
Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou and H. Eugene Stanley
Harvard University - Department of Economics, Boston University - Center for Polymer Studies, Boston University - Center for Polymer Studies and Boston University - Center for Polymer Studies

Multiple version iconThere are 2 versions of this paper

Downloads 12,022
38.

Forecasting a Volatility Tsunami

Number of pages: 18 Posted: 11 Apr 2017
Working Paper Series
Andrew Thrasher
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
Derek Snow
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
Frank Zhang
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
Ethan Rouen, Eric C. So and Charles C. Y. Wang
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
G. William Schwert
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
Guido Baltussen
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
Wouter J. Keller and Jan Willem Keuning
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
H. Kent Baker and Victor Ricciardi
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
Antti Petajisto
Brooklyn Investment Group
Downloads 11,010
47.

Stock Valuation and Investment Strategies

Number of pages: 55 Posted: 26 Jul 2001
Working Paper Series
Ming Dong and Zhiwu Chen
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
Aizhan Anarkulova, Scott Cederburg, Michael S. O'Doherty and Richard W. Sias
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
Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz and Tobias J. Moskowitz
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
Robert S. Harris, Tim Jenkinson and Steven N. Kaplan
University of Virginia - Darden School of Business, University of Oxford - Said Business School and University of Chicago - Booth School of Business
Downloads 10,520