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JEL Code: G14

8,335,744 Total downloads

Viewing: 101 - 150 of 18,746 papers

101.

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 6,759
102.

Earnings Surprises, Growth Expectations, and Stock Returns: Don't Let an Earnings Torpedo Sink Your Portfolio

Number of pages: 59 Posted: 28 Jul 1999
Working Paper Series
The University of Chicago - Booth School of Business and University of Southern California - Leventhal School of Accounting
Downloads 6,740
103.

Momentum

Number of pages: 27 Posted: 30 Aug 2011
Working Paper Series
Emory University - Department of Finance and University of Texas at Austin - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 6,724
104.

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 6,707
105.

High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds

Number of pages: 27 Posted: 19 Jul 2004
Working Paper Series
London Business School
Downloads 6,692
106.

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 6,675
107.

The Accrual Anomaly

Number of pages: 36 Posted: 28 Mar 2011
Working Paper Series
USC Marshall School of Business, Drexel University and University of Southern California - Leventhal School of Accounting
Downloads 6,627
108.

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 6,623
109.

Momentum Strategies in Commodity Futures Markets

Journal of Banking and Finance, Vol. 31, No. 9, 2007
Number of pages: 34 Posted: 20 Apr 2005 Last Revised: 10 Nov 2015
Accepted Paper Series
Audencia Business School and City University of London - Sir John Cass Business School

Multiple version iconThere are 2 versions of this paper

Downloads 6,505
110.

Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance

MIT Sloan Working Paper No. 4284-03
Number of pages: 42 Posted: 10 Jan 2005 Last Revised: 24 Feb 2009
Working Paper Series
Dartmouth College - Tuck School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Rochester – Simon Business School
Downloads 6,476
111.

Backtesting

Number of pages: 32 Posted: 27 Oct 2013 Last Revised: 30 Jul 2015
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 6,448
112.

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 EngineeringAbu Dhabi Investment Authority
Downloads 6,339
113.

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 6,292
114.

Anomalies and Market Efficiency

Number of pages: 54 Posted: 22 Oct 2002
Working Paper Series
University of Rochester - Simon Business School

Multiple version iconThere are 2 versions of this paper

Downloads 6,210
115.
Downloads 6,206
116.

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 6,147
117.

Two Centuries of Price Return Momentum

Financial Analysts Journal, Vol. 72, No. 5 (September/October 2016), Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 58 Posted: 12 Jul 2013 Last Revised: 10 Sep 2020
Working Paper Series
University of Pennsylvania - The Wharton School, Finance Department and Two Centuries Investments
Downloads 6,122
118.

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 6,097
119.

What Do We Know About High-Frequency Trading?

Columbia Business School Research Paper No. 13-11
Number of pages: 56 Posted: 21 Mar 2013
Working Paper Series
Columbia University
Downloads 6,048
120.

The Halloween Indicator, 'Sell in May and Go Away': Everywhere and All the Time

Number of pages: 78 Posted: 02 Oct 2012 Last Revised: 25 Oct 2018
Working Paper Series
Tilburg University - TIAS School for Business and Society and Nottingham University Business School China
Downloads 6,035
121.

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 6,029
122.

Investor Sentiment Measures

Number of pages: 50 Posted: 14 Sep 2004
Working Paper Series
Brown University - Department of Economics and University of California, Los Angeles (UCLA)

Multiple version iconThere are 2 versions of this paper

Downloads 6,022
123.

Applying IFRS in Germany: Determinants and Consequences

Number of pages: 38 Posted: 07 Jun 2006
Working Paper Series
Humboldt University of Berlin - School of Business and Economics and Ludwig-Maximilians-Universitaet (LMU) Munich

Multiple version iconThere are 2 versions of this paper

Downloads 5,985
124.

Lunar Cycle Effects in Stock Returns

Number of pages: 48 Posted: 04 Sep 2001
Working Paper Series
Emory University - Department of Accounting and Purdue University
Downloads 5,959
125.

Ten Financial Applications of Machine Learning (Seminar Slides)

Number of pages: 27 Posted: 18 Jun 2018 Last Revised: 27 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 5,940
126.

LEGO - The Toy of Smart Investors

Number of pages: 42 Posted: 17 Dec 2018 Last Revised: 22 Nov 2021
Working Paper Series
National Research University Higher School of Economics and RB Partners

Multiple version iconThere are 2 versions of this paper

Downloads 5,850
127.

Market Credibility and Other Dietary Fads

Journal of Financial Transformation, Vol. 7, pp. 63-70, April 2003
Number of pages: 8 Posted: 15 Jun 2004 Last Revised: 31 Aug 2009
Accepted Paper Series
Aston Business School and Capco Institute
Downloads 5,845
128.

Prospect Theory, Mental Accounting, and Momentum

Number of pages: 38 Posted: 09 Nov 2001
Working Paper Series
University of Toronto, Rotman School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 5,783
129.

Do ETFs Increase Volatility?

Journal of Finance, Forthcoming, Fisher College of Business Working Paper No. 2011-03-20, Swiss Finance Institute Research Paper No. 11-66, AFA 2013 San Diego Meetings Paper, Charles A. Dice Center Working Paper No. 2011-20
Number of pages: 145 Posted: 02 Dec 2011 Last Revised: 03 Dec 2017
Accepted Paper Series
Ohio State University (OSU) - Department of Finance, Universita della Svizzera italiana (USI Lugano) and Villanova University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 5,751
130.

Economists’ Hubris - The Case of Award Winning Finance Literature

Journal of Financial Transformation, Vol. 31, pp 9-17, March 2011
Number of pages: 10 Posted: 01 Dec 2010 Last Revised: 15 May 2012
Accepted Paper Series
Capco Institute and Aston Business School
Downloads 5,675
131.

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 5,653
132.

Why are Put Options so Expensive?

Quarterly Journal of Finance, Vol. 4, 1450015 [50 pages], 2014
Number of pages: 40 Posted: 29 Apr 2003 Last Revised: 06 Apr 2015
Working Paper Series
University of Illinois at Chicago - Department of Finance
Downloads 5,652
133.

Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies

Number of pages: 48 Posted: 25 May 2003
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, Credit Suisse First Boston, Singapore Management University - Lee Kong Chian School of Business and Chapman University - The George L. Argyros School of Business & Economics
Downloads 5,608
134.

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 5,471
135.

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 5,439
136.

Corporate Social Responsibility and Shareholder's Value: An Event Study Analysis

FRB of Atlanta Working Paper No. 2007-6, Bank of Finland Research Discussion Paper No. 1/2009
Number of pages: 53 Posted: 06 Sep 2006
Working Paper Series
University of Rome Tor Vergata - Faculty of Economics, Tor Vergata University of Rome - Department of Economics and Finance and Fordham University
Downloads 5,363
137.

Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors

Number of pages: 34 Posted: 12 Apr 2000
Working Paper Series
University of California, Davis and University of California, Berkeley - Haas School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 5,359
138.

Market Timing with Candlestick Technical Analysis

Number of pages: 18 Posted: 16 Apr 2007 Last Revised: 14 Sep 2009
Working Paper Series
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance and Massey University
Downloads 5,347
139.

The Post-Merger Performance Puzzle

Number of pages: 59 Posted: 05 Jan 2000
Working Paper Series
University of Alabama - Culverhouse College of Commerce & Business Administration and University of Pennsylvania - Finance Department

Multiple version iconThere are 2 versions of this paper

Downloads 5,340
140.

The New Vote Buying: Empty Voting and Hidden (Morphable) Ownership

As published in Southern California Law Review, Vol. 79, pp. 811-908, 2006, University of Texas Law, Law and Econ Research Paper No. 53
Number of pages: 99 Posted: 05 Jun 2006 Last Revised: 10 Mar 2008
Accepted Paper Series
University of Texas at Austin - School of Law and Northwestern University
Downloads 5,320
141.

Spam Works: Evidence from Stock Touts and Corresponding Market Activity

Berkman Center Research Publication No. 2006-11, Harvard Public Law Working Paper No. 135, Oxford Legal Studies Research Paper No. 43/2006
Number of pages: 44 Posted: 27 Jul 2006
Working Paper Series
Purdue University - Krannert School of Management and Harvard Law School and Harvard Kennedy School of Government
Downloads 5,251
142.

Corporate Governance, Accounting Outcomes, and Organizational Performance

Accounting Review, October 2007
Number of pages: 71 Posted: 30 Mar 2007
Accepted Paper Series
Stanford University - Graduate School of Business, AQR Capital Management, LLC and London Business School
Downloads 5,240
143.

Machine Learning for Stock Selection

Financial Analysts Journal, vol. 75, no. 3 (Third Quarter 2019)
Number of pages: 35 Posted: 04 Mar 2019 Last Revised: 09 Aug 2019
Accepted Paper Series
Gresham Investment Management, LLC and Arwen Advisors
Downloads 5,194
144.

Buyback Derangement Syndrome

Journalof Portfolio Management, Forthcoming
Number of pages: 13 Posted: 08 Dec 2017 Last Revised: 28 Feb 2018
Accepted Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 5,191
145.

Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold

Number of pages: 29 Posted: 19 Dec 2006 Last Revised: 01 Sep 2015
Working Paper Series
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin

Multiple version iconThere are 2 versions of this paper

Downloads 5,171
146.

The Importance of Reporting Incentives: Earnings Management in European Private and Public Firms

Number of pages: 49 Posted: 08 Jan 2004
Working Paper Series
University of Washington, University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 5,124
147.

Is Portfolio Theory Harming Your Portfolio?

Number of pages: 14 Posted: 15 May 2011 Last Revised: 10 Jun 2011
Working Paper Series
Green River Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 5,075
148.

Short Interest and Aggregate Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 51 Posted: 02 Aug 2014 Last Revised: 20 Feb 2016
Working Paper Series
Washington University in St. LouisSaint Louis University, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 5,064
149.

Is There a Dark Side to Exchange Traded Funds? An Information Perspective

Review of Accounting Studies, Vol. 22, Pages 1048-1083, 2017
Number of pages: 56 Posted: 03 Jul 2015 Last Revised: 09 Aug 2017
Accepted Paper Series
IDC Herzliya - Arison School of Business, Stanford University - Graduate School of Business and Emory University - Goizueta Business School
Downloads 5,047