Search Results
JEL Code: G11

7,107,480 Total downloads

Viewing: 101 - 150 of 16,338 papers

101.

Attention Induced Trading and Returns: Evidence from Robinhood Users

Number of pages: 77 Posted: 23 Oct 2020 Last Revised: 28 Jul 2021
Working Paper Series
University of California, Davis, Washington University in St. Louis - Olin Business School, University of California, Berkeley - Haas School of Business and University of California at Irvine
Downloads 7,114
102.

Ph.D Thesis: An Analysis of Hedge Fund Strategies

Number of pages: 456 Posted: 18 Sep 2007
Working Paper Series
HEC - Université de Liège
Downloads 7,094
103.

Generalized Momentum and Flexible Asset Allocation (FAA): An Heuristic Approach

Number of pages: 19 Posted: 25 Dec 2012 Last Revised: 16 Jan 2015
Working Paper Series
VU University Amsterdam and Flex Capital BV
Downloads 7,076
104.

Mutual Fund Performance

Number of pages: 86 Posted: 19 Jan 2007
Working Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and University College Cork
Downloads 7,045
105.

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 6,902
106.

Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2011

Number of pages: 22 Posted: 03 Nov 2012
Working Paper Series
Independent, Rabobank and Erasmus University Rotterdam (EUR)
Downloads 6,868
107.

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 6,861
108.

Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors

Number of pages: 18 Posted: 11 Aug 2013 Last Revised: 11 Nov 2015
Working Paper Series
ARPM - Advanced Risk and Portfolio Management, FinScience and IESEG School of Management
Downloads 6,854
109.

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 6,738
110.

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 6,551
111.

On the Risk of Stocks in the Long Run

Harvard Business School Working Paper No 95-013
Number of pages: 11 Posted: 08 Jun 2001
Working Paper Series
Boston University - Department of Finance & Economics
Downloads 6,538
112.

Factor Investing in the Corporate Bond Market

Financial Analysts Journal, 2017, Vol. 73, No. 2
Number of pages: 49 Posted: 31 Oct 2014 Last Revised: 13 Feb 2017
Accepted Paper Series
Robeco Investment Research and BlueCove Limited
Downloads 6,527
113.

Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices

Journal of Asset Management, Vol. 12, 3, 185-202, 2010
Number of pages: 22 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Accepted Paper Series
John Moores University - Business School, University of Liverpool - Accounting and Finance Division and Harvest Alpha Capital
Downloads 6,504
114.

A Century of Evidence on Trend-Following Investing

Number of pages: 26 Posted: 28 Jun 2017
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 6,473
115.

Machine Learning Risk Models

Journal of Risk & Control 6(1) (2019) 37-64
Number of pages: 26 Posted: 08 Jan 2019 Last Revised: 10 Apr 2019
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 6,358
116.

Madoff: A Riot of Red Flags

Number of pages: 24 Posted: 02 Feb 2009 Last Revised: 24 Jan 2012
Working Paper Series
SUNY College at Plattsburgh and Kedge Capital Fund Management
Downloads 6,308
117.

Discrete Time Finance

Number of pages: 104 Posted: 28 Mar 2007
Working Paper Series
University of Glasgow
Downloads 6,221
118.

Life-Cycle Finance in Theory and in Practice

Boston University School of Management Working Paper No. 2002-02
Number of pages: 15 Posted: 13 Jun 2002
Working Paper Series
Boston University - Department of Finance & Economics
Downloads 6,196
119.

What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?

AFA 2009 San Francisco Meetings Paper
Number of pages: 38 Posted: 26 Mar 2008 Last Revised: 15 Aug 2008
Working Paper Series
Tsinghua University - PBC School of Finance, BlackRock, Inc. and Rice University
Downloads 6,140
120.

Mean-Variance Investing

Columbia Business School Research Paper No. 12/49
Number of pages: 62 Posted: 19 Aug 2012
Working Paper Series
BlackRock, Inc
Downloads 6,139
121.

A New Breed of Copulas for Risk and Portfolio Management

Risk, Vol. 24, No. 9, pp. 122-126, 2011
Number of pages: 17 Posted: 13 May 2011 Last Revised: 28 Aug 2011
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 6,109
122.

An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization

Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29 Posted: 08 Jan 2013 Last Revised: 02 Jan 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 6,105
123.

Identifying Overvalued Equity

Johnson School Research Paper Series No. #09-09
Number of pages: 60 Posted: 21 May 2008 Last Revised: 12 May 2014
Working Paper Series
Indiana University - Kelley School of Business - Department of Accounting and Syracuse University
Downloads 6,048
124.

Into the Abyss: What If Nothing is Risk Free?

Number of pages: 55 Posted: 24 Jul 2010
Working Paper Series
New York University - Stern School of Business
Downloads 6,026
125.

False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

Published in Journal of Finance, February 2010, Swiss Finance Institute Research Paper No. 08-18, Robert H. Smith School Research Paper No. RHS 06-043
Number of pages: 53 Posted: 05 Mar 2008 Last Revised: 27 Oct 2019
Accepted Paper Series
McGill University - Desautels Faculty of Management, University of Geneva GSEM and GFRI and University of Maryland - Robert H. Smith School of Business
Downloads 5,994
126.

Fact, Fiction, and the Size Effect

Number of pages: 54 Posted: 24 May 2018 Last Revised: 10 Aug 2018
Working Paper Series
Office of Financial Research, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 5,985
127.

Quant Bust 2020

World Economics 21(2) (2020) 183-217
Number of pages: 29 Posted: 07 Apr 2020 Last Revised: 24 Jul 2020
Accepted Paper Series
Quantigic Solutions LLC
Downloads 5,906
128.

How Should Individual Investors Diversify? An Empirical Evaluation of Alternative Asset Allocation Policies

Journal of Financial Markets, 19, 62-85
Number of pages: 47 Posted: 13 Sep 2009 Last Revised: 10 Jul 2014
Accepted Paper Series
University of Duisburg-Essen, Campus Essen, Technische Universität München (TUM) - TUM School of Management and University of Mannheim - Department of Banking and Finance
Downloads 5,897
129.

Value Investing: Requiem, Rebirth or Reincarnation?

NYU Stern School of Business Forthcoming
Number of pages: 34 Posted: 12 Feb 2021
Working Paper Series
Anderson Graduate School of Management, UCLA and New York University - Stern School of Business
Downloads 5,893
130.

Advances in Cointegration and Subset Correlation Hedging Methods

Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37 Posted: 08 Aug 2011 Last Revised: 31 Jan 2014
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 5,864
131.

Hedge Funds: Performance, Risk, and Capital Formation

The Journal of Finance, Vol. LXIII, No. 4, August 2008
Number of pages: 44 Posted: 16 Aug 2005 Last Revised: 11 Jul 2011
Accepted Paper Series
PI Asset Management, LLC, Duke University - Fuqua School of Business, Imperial College London and London Business School - Institute of Finance and Accounting

Multiple version iconThere are 2 versions of this paper

Downloads 5,815
132.

Enhancing the Black-Litterman and Related Approaches: Views and Stress-Test on Risk Factors

Number of pages: 11 Posted: 10 Aug 2008 Last Revised: 11 Oct 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 5,782
133.

Profitable Momentum Trading Strategies for Individual Investors

Foltice, B. & Langer, T. (2015) Profitable momentum trading strategies for individual investors. Financial Markets and Portfolio Management, 29(2), 85-113.
Number of pages: 32 Posted: 08 Apr 2014 Last Revised: 30 Apr 2015
Working Paper Series
Butler University - Lacy School of Business and University of Muenster - Finance Center
Downloads 5,776
134.

Estimation of Expected Return: CAPM vs Fama and French

Number of pages: 26 Posted: 05 Feb 2003
Working Paper Series
University of Aarhus - Aarhus School of Business - Department of Business Studies and Aarhus University - Department of Finance
Downloads 5,720
135.

Public Pension Promises: How Big are They and What are They Worth?

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 05 Mar 2009 Last Revised: 13 Oct 2010
Working Paper Series
Simon Business School, University of Rochester and Stanford Graduate School of Business
Downloads 5,688
136.

Evaluation of Pairs Trading Strategy at the Brazilian Financial Market

Journal of Derivatives & Hedge Funds, Vol. 15, pp. 122-136
Number of pages: 28 Posted: 19 Dec 2006 Last Revised: 01 May 2010
Accepted Paper Series
Escola de Administração - UFRGS
Downloads 5,623
137.

Pension Fund Asset Allocation and Liability Discount Rates

Number of pages: 53 Posted: 29 May 2012 Last Revised: 22 Feb 2017
Working Paper Series
University of Amsterdam, Maastricht University and University of Notre Dame
Downloads 5,599
138.

What Every Investor Should Know About Commodities, Part I: Univariate Return Analysis

Alternative Investment Research Centre Working Paper No. 29, Cass Business School Research Paper
Number of pages: 35 Posted: 27 Jan 2006
Working Paper Series
Independent and Deutsche Bank AG (London)
Downloads 5,473
139.

Three Centuries of Asset Pricing

Journal of Banking and Finance, Vol. 23, No. 12, 1999, pages 1745–1769, LBS Institute of Finance and Accounting Working Paper No. IFA 385
Number of pages: 22 Posted: 11 Jan 2000 Last Revised: 20 Mar 2016
Working Paper Series
University of Cambridge - Judge Business School and ISAM Funds

Multiple version iconThere are 2 versions of this paper

Downloads 5,454
140.

Alternative Routes to Hedge Fund Return Replication: Extended Version

Cass Business School Research Paper No. 0037
Number of pages: 29 Posted: 24 Oct 2006
Working Paper Series
Independent
Downloads 5,453
141.

Analysis of the Effect of COVID-19 on the Stock Market and Investing Strategies

Number of pages: 17 Posted: 30 Mar 2020 Last Revised: 11 May 2020
Working Paper Series
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign, College of Business, Department of Finance, University of Illinois at Urbana-Champaign and University of Illinois Urbana Champaign
Downloads 5,444
142.

Quant Nugget 4: Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics

GARP Risk Professional - "The Quant Classroom," pp. 59-63, August 2010
Number of pages: 8 Posted: 14 Jul 2010 Last Revised: 11 Oct 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 5,434
143.

Historical Returns of the Market Portfolio

Review of Asset Pricing Studies, Forthcoming
Number of pages: 75 Posted: 02 Jun 2017 Last Revised: 23 Oct 2019
Working Paper Series
Independent, Rabobank and Erasmus University Rotterdam (EUR)
Downloads 5,431
144.

Originate-to-Distribute Model and the Subprime Mortgage Crisis

AFA 2010 Atlanta Meetings Paper
Number of pages: 53 Posted: 22 Jul 2008 Last Revised: 20 May 2010
Working Paper Series
University of Michigan, Stephen M. Ross School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 5,417
145.

Modeling Asset Prices for Algorithmic and High Frequency Trading

Applied Mathematical Finance, Vol. 20, No. 6, 2013
Number of pages: 32 Posted: 09 Dec 2010 Last Revised: 28 Feb 2014
Working Paper Series
University of Oxford and University of Toronto - Department of Statistics
Downloads 5,416
146.

How Do Factor Premia Vary Over Time? A Century of Evidence

Number of pages: 55 Posted: 17 Jun 2019 Last Revised: 24 Feb 2021
Working Paper Series
AQR Capital Management, AQR Capital Management, LLC, Yale University, Yale SOM, AQR Capital Management, LLC and Vice President
Downloads 5,409
147.

The Conservative Formula: Quantitative Investing Made Easy

Number of pages: 21 Posted: 21 Mar 2018
Working Paper Series
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 5,392
148.

Risk Management with Benchmarking

AFA 2003 Washington, DC Meetings; NYU Finance Working Paper; EFA 2002 Berlin; LBS Working Paper
Number of pages: 29 Posted: 03 Mar 2002
Working Paper Series
London Business School, New York University (NYU) - Department of Finance and INSEAD

Multiple version iconThere are 9 versions of this paper

Downloads 5,380
149.

A Century of Generalized Momentum; From Flexible Asset Allocations (FAA) to Elastic Asset Allocation (EAA)

Number of pages: 32 Posted: 31 Dec 2014 Last Revised: 21 Jan 2015
Working Paper Series
VU University Amsterdam and ReSolve Asset Management
Downloads 5,147
150.

Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)

Betriebswirtschaftliche Forschung & Praxis, 65 (5), pp. 469-492, CEFS Working Paper 01-2011
Number of pages: 32 Posted: 17 Nov 2011 Last Revised: 13 Nov 2013
Accepted Paper Series
Technische Universität München (TUM), Technische Universität München (TUM) and University of Marburg - School of Business & Economics
Downloads 5,140