Weekly Top 5 Papers – February 11, 2019

1. Global Factor Premiums by Guido Baltussen (Erasmus University Rotterdam (EUR)) and Laurens Swinkels (Erasmus University Rotterdam (EUR)) and Pim van Vliet (Robeco Asset Management – Quantitative Investing) This paper shows very strong evidence on the main strategies underlying factor-based investing. Over the years several anomalous, but persistent patterns in returns …

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Weekly Top 5 Papers – January 21, 2019

1. Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors by Klakow Akepanidtaworn (University of Chicago Booth School of Business) and Rick …

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Weekly Top 5 Papers – January 7, 2019

1. Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns by Yigit Atilgan (Sabanci University) and Turan G. Bali (Georgetown University – …

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SSRN’s Top Papers of 2018

1. Pulling the Goalie: Hockey and Investment Implications by Clifford S. Asness (AQR Capital Management, LLC) and Aaron Brown (New York University (NYU) – Courant Institute of Mathematical …

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