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 University of CEMA
Downloads
51,758
2.
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 Business
Downloads
41,176
3.
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
34,121
4.
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
31,443
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
29,330
6.
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 New York University (NYU) - Department of Finance
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
27,773
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
27,773
7.
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
27,350
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
25,057
The Golden Dilemma
NBER Working Paper No. w18706
Number of pages: 49
Posted: 18 Jan 2013
Last Revised: 11 Feb 2021
Downloads
198
Downloads
25,057
9.
Risk Management for Hedge Funds: Introduction and Overview
Number of pages: 36
Posted: 13 Sep 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Risk Management for Hedge Funds: Introduction and Overview
Number of pages: 36
Posted: 13 Sep 2001
Downloads
18,058
Downloads
18,058
10.
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
17,500
11.
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 Business
Downloads
17,406
12.
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
16,269
13.
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) - Sloan School of Management
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
15,497
What Happened to the Quants in August 2007?
Journal of Investment Management, Vol. 5, No. 4, Fourth Quarter 2007
Posted: 17 Jan 2008
Downloads
15,497
14.
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
13,935
15.
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
12,740
Empirical Asset Pricing Via Machine Learning
NBER Working Paper No. w25398
Number of pages: 80
Posted: 26 Dec 2018
Downloads
32
Downloads
12,740
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 Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
12,299
17.
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 London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass 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
11,925
The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Number of pages: 34
Posted: 08 Jun 2013
Downloads
612
The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Number of pages: 34
Posted: 16 May 2013
Downloads
315
Downloads
11,925
18.
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) - Sloan School of Management
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
11,818
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
3,054
Downloads
11,818
19.
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
11,232
20.
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
11,140
Institutional Investors and Stock Market Volatility
NBER Working Paper No. w11722
Number of pages: 52
Posted: 18 Jan 2006
Last Revised: 14 Jul 2010
Downloads
148
Downloads
11,140
21.
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) - Sloan School of Management
Downloads
10,578
22.
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
Downloads
10,230
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
9,977
24.
Active Share and Mutual Fund Performance
Number of pages: 47
Posted: 02 Oct 2010
Last Revised: 17 Jan 2013
Working Paper Series
New York University (NYU) - Department of Finance
Downloads
9,573
25.
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
9,491
26.
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
9,414
27.
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
9,257
28.
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
8,788
29.
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) - Sloan School of Management
Downloads
8,731
30.
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
Downloads
8,466
31.
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
8,447
32.
The Remarkable Growth in Financial Economics, 1974-2020: Online Appendix
Number of pages: 152
Posted: 15 Dec 2020
Last Revised: 06 Jan 2021
Working Paper Series
University of Rochester - Simon Business School
Downloads
8,362
33.
Market Microstructure: A Survey
Number of pages: 64
Posted: 28 Mar 2000
Working Paper Series
BlackRock, Inc.
There are 2 versions of this paper
Downloads
8,236
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
Karlsruhe Institute of Technology, Goethe University Frankfurt Faculty of Economics and Business Administration, European 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
8,053
35.
Forecasting a Volatility Tsunami
Number of pages: 18
Posted: 11 Apr 2017
Working Paper Series
Independent
Downloads
7,936
36.
Reading About the Financial Crisis: A 21-Book Review
Number of pages: 41
Posted: 27 Oct 2011
Last Revised: 10 Jan 2012
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads
7,748
37.
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
7,638
38.
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
7,382
39.
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
Washington and Lee University
Downloads
7,338
40.
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
7,145
41.
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 Washington and Lee University
Downloads
7,112
42.
The Exchange of Flow Toxicity
The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011; https://doi.org/10.3905/jot.2011.6.2.008. , Johnson School Research Paper Series No. 10-2011
Number of pages: 12
Posted: 17 Jul 2019
Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
6,832
43.
Why Indexing Works
Applied Stochastic Models in Business and Industry 33 (6), 690-693.
Number of pages: 7
Posted: 14 Oct 2015
Last Revised: 29 Apr 2019
Accepted Paper Series
One Hat Research LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads
6,510
44.
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
6,502
45.
M of a Kind: A Multivariate Approach at Pairs Trading
Number of pages: 25
Posted: 21 Dec 2006
Last Revised: 28 Dec 2007
Working Paper Series
Escola de Administração - UFRGS
Downloads
6,477
46.
Characteristics of Risk and Return in Risk Arbitrage
Number of pages: 54
Posted: 30 May 2001
Working Paper Series
University of Chicago - Booth School of Business and AQR Capital Management, LLC
Downloads
6,439
47.
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
6,427
48.
Sharpening the Arithmetic of Active Management
Financial Analysts Journal, 2018, 74 (1): 21-36
Number of pages: 23
Posted: 07 Oct 2016
Last Revised: 23 Feb 2018
Working Paper Series
AQR Capital Management, LLC
Downloads
6,359
49.
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
6,327
50.
A Literature Review of Risk Perception Studies in Behavioral Finance: The Emerging Issues
Number of pages: 41
Posted: 25 May 2007
Working Paper Series
Washington and Lee University
Downloads
6,163
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