Various Articles
Finance
- ...and the Cross-Section of Expected Returns
- Does Academic Research Destroy Stock Return Predictability? (Appendix here)
- Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers
- Value and Momentum Everywhere
- Quality Minus Junk
- A five-factor asset pricing model
- Betting against beta
- Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly
- The Cross-Section of Volatility and Expected Returns
- Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
- Volatility and the Buyback Anomaly (Code here)
- Liquidity Risk and Expected Stock Retums
- An Accounting-Based Characteristic Model for Asset Pricing
- Takeovers and the Cross-Section of Returns
- Supply and Demand Shifts in the Shorting Market
- Dumb money: mutual fund flows and the cross-section of stock returns
- Operating Leverage
- Corporate Governance and Equity Prices
- Demographics and Industry Returns
- Network Centrality and the Cross Section of Stock Returns
- Leverage Aversion and Risk Parity
- A Survey of Systemic Risk Analytics
- Investor Sentiment and the Cross-Section of Stock Returns
- Time series momentum
- The Earnings Announcement Premium and Trading Volume
- Stock price fragility
- Economic Links and Predictable Returns
- Analysts' Forecasts: What Do We Know After Decades of Work?
- The relation between corporate financing activities, analysts' forecasts and stock returns
- Network Centrality and Managerial Market Timing Ability: Evidence from Open-Market Repurchase Announcements (Code here)
- The Nature and Persistence of Buyback Anomalies
- Characteristics of Risk and Return in Risk Arbitrage
- M&A Portfolios and Market Returns
- What drives merger waves?
- Valuation waves and merger activity: The empirical evidence
- Price Pressure around Mergers
- A Survey of Behavioral Finance
Machine Learning Methods
- Regularized Robust Portfolio Estimation (Code here)
- Identifying Small Mean Reverting Portfolios
- Convex Multi-Task Feature Learning
- Robust Principal Component Analysis?
- Sparse inverse covariance estimation with the graphical lasso
- An Introduction to Statistical Learning with Applications in R
- The Elements of Statistical Learning
Industry
- A Smart Approach to Smart Beta ETFs (Morgan Stanley)
- Foundations of Factor Investing (MSCI)
- Risk Factor Investing Explained (Lyxor)
- Multi-factor Investing (Axioma)
- Smart Beta Timing (AQR)
- Fact, Fiction and Value Investing (AQR)
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