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
84,509
2.
The Best Strategies for Inflationary Times
Number of pages: 32
Posted: 29 Mar 2021
Last Revised: 25 May 2021
Working Paper Series
Man Group, Ruffer LLP, CCLA Investment Management, Duke University - Fuqua School of Business and Man AHL
Downloads
46,716
3.
Value Versus Growth: The International Evidence
Number of pages: 30
Posted: 01 May 1997
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
42,212
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
39,991
5.
International Financial Reporting Standards (IFRS): Pros and Cons for Investors
Accounting and Business Research, Forthcoming
Number of pages: 65
Posted: 13 Sep 2006
Accepted Paper Series
University of Chicago - Booth School of Business
Downloads
32,782
6.
Facts and Fantasies About Commodity Futures
Number of pages: 41
Posted: 29 Jun 2004
Working Paper Series
Yale School of Management and Yale School of Management - International Center for Finance
There are 3 versions of this paper
Facts and Fantasies About Commodity Futures
Number of pages: 41
Posted: 29 Jun 2004
Downloads
28,715
Facts and Fantasies About Commodity Futures
NBER Working Paper No. w10595
Number of pages: 41
Posted: 25 May 2006
Last Revised: 15 Dec 2022
Downloads
909
Facts and Fantasies About Commodity Futures
Financial Analysts Journal, Vol. 62, No. 2, pp. 47-68, April 2006
Posted: 23 May 2006
Downloads
28,715
7.
Building Diversified Portfolios that Outperform Out-of-Sample
Journal of Portfolio Management, 2016; https://doi.org/10.3905/jpm.2016.42.4.059.
Number of pages: 31
Posted: 17 Jul 2019
Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
28,167
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
27,966
The Golden Dilemma
NBER Working Paper No. w18706
Number of pages: 49
Posted: 18 Jan 2013
Last Revised: 11 Feb 2023
Downloads
404
Downloads
27,966
9.
The 7 Reasons Most Machine Learning Funds Fail (Presentation Slides)
Number of pages: 44
Posted: 06 Sep 2017
Last Revised: 04 Oct 2018
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
23,671
10.
Factor Investing
Columbia Business School Research Paper No. 13-42
Number of pages: 72
Posted: 11 Jun 2013
Working Paper Series
BlackRock, Inc
Downloads
20,160
11.
The Worldwide Equity Premium: A Smaller Puzzle
Chapter 11 of R Mehra (Ed), Handbook of the Equity Risk Premium. Elsevier, 2008, pages 467–514, AFA 2008 New Orleans Meetings Paper; EFA 2006 Zurich Meetings Paper
Number of pages: 41
Posted: 17 Mar 2006
Last Revised: 20 Mar 2016
Accepted Paper Series
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads
19,828
12.
Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes
Journal of Portfolio Management, pp. 23-28, Fall 2008
Number of pages: 31
Posted: 07 Aug 2008
Last Revised: 21 Jun 2013
Accepted Paper Series
Robeco Quantitative Investments and Robeco Quantitative Investments
There are 2 versions of this paper
Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes
Journal of Portfolio Management, pp. 23-28, Fall 2008
Number of pages: 31
Posted: 07 Aug 2008
Last Revised: 21 Jun 2013
Downloads
15,595
Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes
Journal of Portfolio Management, pp. 23-28, Fall 2008, ERIM Report Series Reference No. ERS-2008-033-F&A
Number of pages: 34
Posted: 08 Oct 2008
Last Revised: 18 Aug 2010
Downloads
1,242
Downloads
15,595
13.
The Crisis of Fair Value Accounting: Making Sense of the Recent Debate
Chicago Booth Research Paper No. 33, Accounting, Organizations and Society, Vol. 34, 2009
Number of pages: 28
Posted: 21 Apr 2009
Accepted Paper Series
Vienna University of Economics and Business and University of Chicago - Booth School of Business
Downloads
15,549
14.
Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance
Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14
Posted: 12 Aug 2013
Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads
15,533
15.
The Probability of Backtest Overfitting
Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34
Posted: 16 Sep 2013
Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
There are 2 versions of this paper
The Probability of Backtest Overfitting
Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34
Posted: 16 Sep 2013
Last Revised: 05 Jul 2015
Downloads
15,386
The Probability of Backtest Overfitting
Journal of Computational Finance, Forthcoming
Number of pages: 31
Posted: 21 Sep 2016
Downloads
5
Downloads
15,386
16.
Country Risk: Determinants, Measures and Implications – The 2019 Edition
NYU Stern School of Business
Number of pages: 124
Posted: 31 Jul 2019
Last Revised: 31 Mar 2020
Working Paper Series
New York University - Stern School of Business
Downloads
14,829
17.
Global Accounting Convergence and the Potential Adoption of IFRS by the United States: An Analysis of Economic and Policy Factors
Number of pages: 104
Posted: 11 Mar 2009
Working Paper Series
University of Pennsylvania - The Wharton School, University of Chicago - Booth School of Business and Boston University Questrom School of Business
There are 2 versions of this paper
Global Accounting Convergence and the Potential Adoption of IFRS by the United States: An Analysis of Economic and Policy Factors
Number of pages: 104
Posted: 11 Mar 2009
Downloads
14,521
Global Accounting Convergence and the Potential Adoption of IFRS by the U.S. (Part I): Conceptual Underpinnings and Economic Analysis
Accounting Horizons, Vol. 24, No. 3, pp. 355-394, 2010
Posted: 10 Sep 2010
Downloads
14,521
18.
Global Factor Premiums
Journal of Financial Economics (JFE), Volume 142, Issue 3, December 2021, Pages 1128-1154
Number of pages: 69
Posted: 06 Feb 2019
Last Revised: 24 Nov 2021
Accepted Paper Series
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads
14,512
19.
Advances in Financial Machine Learning (Chapter 1)
Advances in Financial Machine Learning, Wiley, 1st Edition (2018); ISBN: 978-1-119-48208-6
Number of pages: 61
Posted: 19 Jan 2018
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
14,399
20.
The Profitability of Technical Analysis: A Review
AgMAS Project Research Report No. 2004-04
Number of pages: 106
Posted: 15 Oct 2004
Working Paper Series
Chungbuk National University and University of Illinois at Urbana-Champaign
Downloads
14,123
21.
Mandatory IFRS Reporting Around the World: Early Evidence on the Economic Consequences
ECGI - Finance Working Paper No. 198/2008, Chicago GSB Research Paper No. 12
Number of pages: 74
Posted: 25 Oct 2007
Last Revised: 19 Jan 2023
Working Paper Series
University of Mannheim, University of Pennsylvania - The Wharton School, University of Chicago - Booth School of Business and Massachusetts Institute of Technology (MIT)
There are 2 versions of this paper
Mandatory IFRS Reporting Around the World: Early Evidence on the Economic Consequences
ECGI - Finance Working Paper No. 198/2008, Chicago GSB Research Paper No. 12
Number of pages: 74
Posted: 25 Oct 2007
Last Revised: 19 Jan 2023
Downloads
13,640
Mandatory IFRS Reporting Around the World: Early Evidence on the Economic Consequences
Journal of Accounting Research, Vol. 46, No. 5, pp. 1085-1142, 2008
Posted: 08 Sep 2008
Last Revised: 20 Jan 2023
Downloads
13,640
22.
Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations
"Market Momentum: Theory and Practice", Wiley, 2020 (Forthcoming)
Number of pages: 49
Posted: 02 Sep 2012
Last Revised: 09 Sep 2019
Accepted Paper Series
Imperial College Business SchoolGoldman Sachs International and Imperial College Business School
Downloads
13,516
23.
Why and How Investors Use ESG Information: Evidence from a Global Survey
Financial Analysts Journal, 2018, Volume 74 Issue 3, pp. 87-103.
Number of pages: 41
Posted: 02 Mar 2017
Last Revised: 06 Feb 2020
Working Paper Series
University of Oxford - Said Business School and Harvard Business School
Downloads
13,258
24.
Three Quant Lessons from COVID-19 (Presentation Slides)
Number of pages: 19
Posted: 31 Mar 2020
Last Revised: 22 Aug 2021
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Hebrew University of Jerusalem
Downloads
13,115
25.
Value and Momentum Everywhere
AFA 2010 Atlanta Meetings Paper
Number of pages: 54
Posted: 20 Mar 2009
Working Paper Series
AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital and AQR Capital Management, LLC
There are 2 versions of this paper
Value and Momentum Everywhere
AFA 2010 Atlanta Meetings Paper
Number of pages: 54
Posted: 20 Mar 2009
Downloads
12,959
Value and Momentum Everywhere
Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72
Posted: 14 Nov 2012
Downloads
10,325
Downloads
12,959
26.
Causal Factor Investing: Can Factor Investing Become Scientific?
Number of pages: 77
Posted: 15 Sep 2022
Last Revised: 24 Sep 2023
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
12,900
27.
Advances in Financial Machine Learning: Lecture 1/10 (seminar slides)
Number of pages: 57
Posted: 21 Oct 2018
Last Revised: 29 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
12,734
28.
The 10 Reasons Most Machine Learning Funds Fail
Journalof Portfolio Management, Forthcoming
Number of pages: 21
Posted: 18 Jan 2018
Last Revised: 01 Jul 2018
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
12,625
29.
Capital Markets Research in Accounting
JAE Rochester Conference April 2000
Number of pages: 145
Posted: 05 Dec 2000
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Capital Markets Research in Accounting
JAE Rochester Conference April 2000
Number of pages: 145
Posted: 05 Dec 2000
Downloads
12,370
Downloads
12,370
30.
The Effects of Mandatory ESG Disclosure Around the World
European Corporate Governance Institute – Finance Working Paper No. 754/2021, Swiss Finance Institute Research Paper No. 21-44
Number of pages: 75
Posted: 26 Apr 2021
Last Revised: 13 Feb 2023
Working Paper Series
University of Geneva - Geneva Finance Research Institute (GFRI), University of Zurich - Department of Banking and Finance, The University of Hong Kong - Faculty of Business and Economics and The University of Western Australia - UWA Business School
Downloads
12,167
31.
International Accounting Standards and Accounting Quality
Stanford University Graduate School of Business Research Paper No. 1976
Number of pages: 55
Posted: 11 Apr 2005
Working Paper Series
Stanford University - Graduate School of Business, University of North Carolina Kenan-Flagler Business School and University of North Carolina at Chapel Hill
Downloads
12,133
32.
High-Frequency Trading
Number of pages: 86
Posted: 06 Jun 2011
Working Paper Series
Goethe University Frankfurt Faculty of Economics and Business Administration, Independent, Goethe University Frankfurt Faculty of Economics and Business Administration and Goethe University Frankfurt Faculty of Economics and Business Administration
Downloads
12,005
33.
Dissecting Investment Strategies in the Cross Section and Time Series
Number of pages: 31
Posted: 24 Nov 2015
Last Revised: 07 Dec 2015
Working Paper Series
Man Group, Man AHL, Duke University - Fuqua School of Business, Pimco Europe and Man Group plc
Downloads
11,582
34.
(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
11,469
35.
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
10,910
36.
Did Fair-Value Accounting Contribute to the Financial Crisis?
Chicago Booth Research Paper 09-38, ECGI - Finance Working Paper No. 266/2009, Journal of Economic Perspectives, Forthcoming
Number of pages: 48
Posted: 15 Oct 2009
Last Revised: 15 Dec 2009
Working Paper Series
Vienna University of Economics and Business and University of Chicago - Booth School of Business
There are 3 versions of this paper
Did Fair-Value Accounting Contribute to the Financial Crisis?
Chicago Booth Research Paper 09-38, ECGI - Finance Working Paper No. 266/2009, Journal of Economic Perspectives, Forthcoming
Number of pages: 48
Posted: 15 Oct 2009
Last Revised: 15 Dec 2009
Downloads
10,819
Did Fair-Value Accounting Contribute to the Financial Crisis?
NBER Working Paper No. w15515
Number of pages: 43
Posted: 17 Nov 2009
Last Revised: 25 May 2023
Downloads
150
Did Fair-Value Accounting Contribute to the Financial Crisis?
Journal of Economic Perspectives, Vol. 24, pp. 93-118, Winter 2010
Posted: 22 Mar 2010
Downloads
10,819
37.
A Closed-Form Solution for Optimal Mean-Reverting Trading Strategies
Number of pages: 32
Posted: 09 Mar 2020
Last Revised: 24 Mar 2020
Working Paper Series
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
10,291
38.
Deep Value
Number of pages: 59
Posted: 28 Nov 2017
Last Revised: 12 Dec 2017
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
There are 2 versions of this paper
Downloads
10,182
39.
Advances in Financial Machine Learning: Lecture 3/10 (seminar slides)
Number of pages: 32
Posted: 30 Sep 2018
Last Revised: 29 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
9,735
40.
The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality
Journal of Portfolio Management, 40 (5), pp. 94-107. 2014 (40th Anniversary Special Issue)
Number of pages: 22
Posted: 21 May 2019
Last Revised: 30 May 2019
Working Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
9,496
41.
A Primer on Structured Finance
Journal of Derivatives and Hedge Funds, Vol. 13, No. 3, ICFAI Journal of Risk Management, 2007
Number of pages: 21
Posted: 02 Nov 2005
Last Revised: 16 Jun 2016
Working Paper Series
International Monetary Fund (IMF) - European Department
Downloads
9,319
42.
The Determinants of Capital Structure Choice: A Survey of European Firms
Number of pages: 34
Posted: 02 Feb 2002
Working Paper Series
European School of Management (ESCP) - (EAP) and University of Manitoba - Department of Accounting and Finance
Downloads
9,302
43.
Feverish Stock Price Reactions to COVID-19
Review of Corporate Finance Studies, Volume 9, Issue 3, November 2020, Pages 622–655, Swiss Finance Institute Research Paper No. 20-12
Number of pages: 58
Posted: 09 Mar 2020
Last Revised: 22 Aug 2021
Accepted Paper Series
University of St. Gallen - School of Finance and University of Zurich - Department of Banking and Finance
There are 2 versions of this paper
Feverish Stock Price Reactions to COVID-19
Review of Corporate Finance Studies, Volume 9, Issue 3, November 2020, Pages 622–655, Swiss Finance Institute Research Paper No. 20-12
Number of pages: 58
Posted: 09 Mar 2020
Last Revised: 22 Aug 2021
Downloads
8,982
Feverish Stock Price Reactions to Covid-19
CEPR Discussion Paper No. DP14511
Number of pages: 61
Posted: 25 Mar 2020
Last Revised: 29 Jun 2020
Downloads
9
Downloads
8,982
44.
The Norway Model
Journal of Portfolio Management, Vol. 38, No. 2, 2012, pages 67–81, https://doi.org/10.3905/jpm.2012.38.2.067
Number of pages: 17
Posted: 17 Jul 2019
Last Revised: 17 Jul 2019
Accepted Paper Series
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and AQR Capital Management
Downloads
8,786
45.
Determinants and Impact of Sovereign Credit Ratings
Economic Policy Review, Vol. 2, No. 2, October 1996
Number of pages: 18
Posted: 11 Nov 2007
Working Paper Series
Moody's Investors Service and Bank for International Settlements (BIS)
Downloads
8,718
46.
Common Risk Factors in Currency Markets
Review of Financial Studies ( 2011), 24(11), .
Number of pages: 74
Posted: 01 Jun 2008
Last Revised: 27 Aug 2012
Accepted Paper Series
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Common Risk Factors in Currency Markets
Review of Financial Studies ( 2011), 24(11), .
Number of pages: 74
Posted: 01 Jun 2008
Last Revised: 27 Aug 2012
Downloads
8,535
Common Risk Factors in Currency Markets
NBER Working Paper No. w14082
Number of pages: 63
Posted: 14 Jul 2008
Last Revised: 25 Dec 2022
Downloads
150
Downloads
8,535
47.
Betting Against Correlation: Testing Theories of the Low-Risk Effect
Number of pages: 73
Posted: 08 Feb 2017
Last Revised: 21 Jun 2018
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, University of Chicago - Booth School of Business and AQR Capital Management, LLC
There are 2 versions of this paper
Betting Against Correlation: Testing Theories of the Low-Risk Effect
Number of pages: 73
Posted: 08 Feb 2017
Last Revised: 21 Jun 2018
Downloads
8,496
Betting Against Correlation: Testing Theories of the Low-Risk Effect
CEPR Discussion Paper No. DP12686
Number of pages: 65
Posted: 14 Feb 2018
Downloads
2
Downloads
8,496
48.
Market Reaction to the Adoption of IFRS in Europe
Accounting Review, Forthcoming
Number of pages: 52
Posted: 19 May 2006
Last Revised: 04 Apr 2012
Accepted Paper Series
Stanford Graduate School of Business, Stanford University - Graduate School of Business, Stanford University - Graduate School of BusinessUniversity of Colorado - Leeds School of BusinessUniversity of Cambridge Judge Business School and Boston University - Questrom School of Business
There are 2 versions of this paper
Market Reaction to the Adoption of IFRS in Europe
Accounting Review, Forthcoming
Number of pages: 52
Posted: 19 May 2006
Last Revised: 04 Apr 2012
Downloads
8,306
Market Reaction to the Adoption of IFRS in Europe
Accounting Review, Forthcoming, Harvard Business School Finance Working Paper No. 09-032, Rock Center for Corporate Governance at Stanford University Working Paper No. 5
Number of pages: 52
Posted: 10 Sep 2008
Last Revised: 04 Apr 2012
Downloads
1,842
Downloads
8,306
49.
Cross Currency Swap Theory & Practice - An Illustrated Step-by-Step Guide of How to Price Cross Currency Swaps and Calculate the Basis Spread
Number of pages: 26
Posted: 12 Nov 2018
Last Revised: 28 Mar 2019
Working Paper Series
University of Oxford - Said Business School
Downloads
8,263
50.
Macroeconomic Factors and the Correlation of Stock and Bond Returns
Number of pages: 53
Posted: 23 Nov 2003
Working Paper Series
Capula Investment Services
Downloads
8,230
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