Biblio

Export 51 results:
2015
Swedroe LE, Berkin AL. The Incredible Shrinking Alpha: And What You Can Do to Escape Its Clutches. BAM ALLIANCE Press; 2015.
Asness CS, Frazzini A, Israel R, Moskowitz TJ, Pedersen LHeje. "Size Matters, if You Control Your Junk." Available at SSRN 2553889. 2015.
2014
Ang A. Asset Management: A Systematic Approach to Factor Investing. Oxford University Press; 2014.
Frazzini A, Pedersen LHeje. "Betting against beta." Journal of Financial Economics. 2014;111:1-25.
Lustig H, Roussanov N, Verdelhan A. "Countercyclical currency risk premia." Journal of Financial Economics. 2014;111:527-553.
Israel R, Frazzini A, Moskowitz TJ, Asness CS. "Fact, Fiction and Momentum Investing." Working Paper. 2014.
Fama EF, French KR. "A five-factor asset pricing model." Journal of Financial Economics. 2014.
Novy-Marx R. "Quality Investing." Working Paper. 2014.
2013
Geczy C, Samonov M. "212 Years of Price Momentum (The World’s Longest Backtest: 1801–2012)." Working Paper. 2013.
Frazzini A, Kabiller D, Pedersen LH. "Buffett’s Alpha." National Bureau of Economic Research. 2013.
Koijen RSJ, Moskowitz TJ, Pedersen LHeje, Vrugt EB. Carry.; 2013.
Ready R, Roussanov N, Ward C. Commodity trade and the carry trade: A tale of two countries.; 2013.
Asness C, Frazzini A. "The devil in HML’s details." The Journal of Portfolio Management. 2013;39:49-68.
Vayanos D, Woolley P. "An institutional theory of momentum and reversal." Review of Financial Studies. 2013:hht014.
Asness C, Frazzini A, Pedersen LH. "Low-Risk Investing Without Industry Bets." Working Paper. 2013.
Daniel K, Moskowitz TJ. "Momentum Crashes." Working Paper. 2013.
Novy-Marx R. "The other side of value: The gross profitability premium." Journal of Financial Economics. 2013;108:1-28.
Israel R, Moskowitz TJ. "The role of shorting, firm size, and time on market anomalies." Journal of Financial Economics. 2013;108:275-301.
Asness CS, Moskowitz TJ, Pedersen LHeje. "Value and Momentum Everywhere." The Journal of Finance. 2013;68:929-985.
2012
Menkhoff L, Sarno L, Schmeling M, Schrimpf A. "Carry trades and global foreign exchange volatility." The Journal of Finance. 2012;67:681-718.
Barrosoy P, Santa-Claraz P. "Managing the Risk of Momentum." Working Paper. 2012.
Fama EF, French KR. "Size, value, and momentum in international stock returns." Journal of Financial Economics. 2012;105:457-472.
Moskowitz TJ, Ooi YHua, Pedersen LHeje. "Time series momentum." Journal of Financial Economics. 2012;104:228-250.
Van Binsbergen JH, Brandt MW, Koijen RSJ. "On the timing and pricing of dividends." The American economic review. 2012;102:1596-1618.
2011
Lustig H, Roussanov N, Verdelhan A. "Common risk factors in currency markets." Review of Financial Studies. 2011:hhr068.
Crain MA. "A literature review of the size effect." Available at SSRN 1710076. 2011.
2010
Bacchetta P, Van Wincoop E. "Infrequent portfolio decisions: A solution to the forward discount puzzle." The American Economic Review. 2010;100:870-904.
2009
Brunnermeier MK, Pedersen LHeje. "Market liquidity and funding liquidity." Review of Financial studies. 2009;22:2201-2238.
2008
Liu LXiaolei, Zhang L. "Momentum profits, factor pricing, and macroeconomic risk." Review of Financial Studies. 2008;21:2417-2448.
2007
Lustig H, Verdelhan A. "The cross section of foreign currency risk premia and consumption growth risk." The American economic review. 2007;97:89-117.
Ang A, Bekaert G. "Stock return predictability: Is it there?" Review of Financial studies. 2007;20:651-707.
Blitz DC, van Vliet P. "The Volatility Effect." The Journal of Portfolio Management. 2007;34(1):102-113.
2006
Ang A, Hodrick RJ, Xing Y, Zhang X. "The cross-section of volatility and expected returns." The Journal of Finance. 2006;61:259-299.
Hull JC. Options, futures, and other derivatives. Pearson Education India; 2006.
2005
Cochrane JH. Asset Pricing. Princeton University Press Princeton; 2005.
Zhang L. "The value premium." The Journal of Finance. 2005;60:67-103.
2004
Fama EF, French KR. "The capital asset pricing model: theory and evidence." Journal of Economic Perspectives. 2004:25-46.
Cvitanić J, Zapatero F. Introduction to the economics and mathematics of financial markets. MIT press; 2004.
2002
Engle R. "Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models." Journal of Business & Economic Statistics. 2002;20:339-350.
Ang A, Bekaert G. "International asset allocation with regime shifts." Review of Financial studies. 2002;15:1137-1187.
2000
Piotroski JD. "Value investing: The use of historical financial statement information to separate winners from losers." Journal of Accounting Research. 2000:1-41.
1993
Jegadeesh N, Titman S. "Returns to buying winners and selling losers: Implications for stock market efficiency." The Journal of Finance. 1993;48:65-91.
1991
Cochrane JH. "Production-based asset pricing and the link between stock returns and economic fluctuations." The Journal of Finance. 1991;46:209-237.
1984
Fama EF. "Forward and spot exchange rates." Journal of Monetary Economics. 1984;14:319-338.
1981
Banz RW. "The relationship between return and market value of common stocks." Journal of Financial Economics. 1981;9:3-18.
1976
Ross SA. "The Arbitrage Theory of Capital Asset Pricing." Journal of Economic Theory. 1976;13:341-360.
1975
Haugen RA, A Heins J. "Risk and the rate of return on financial assets: Some old wine in new bottles." Journal of Financial and Quantitative Analysis. 1975;10:775-784.
1972
Jensen MC, Black F, Scholes MS. "The capital asset pricing model: Some empirical tests.". 1972.
1965
Lintner J. "The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets." Review of Economics and Statistics. 1965;47:13-37.
1964
Sharpe WF. "Capital asset prices: a theory of market equilibrium under conditions of risk." Journal of Finance. 1964;19:425-442.

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