TY - BOOK T1 - The Incredible Shrinking Alpha: And What You Can Do to Escape Its Clutches Y1 - 2015 A1 - Larry E Swedroe A1 - Andrew L Berkin PB - BAM ALLIANCE Press ER - TY - JOUR T1 - Size Matters, if You Control Your Junk JF - Available at SSRN 2553889 Y1 - 2015 A1 - Asness, Clifford S A1 - Frazzini, Andrea A1 - Israel, Ronen A1 - Moskowitz, Tobias J A1 - Pedersen, Lasse Heje ER - TY - BOOK T1 - Asset Management: A Systematic Approach to Factor Investing Y1 - 2014 A1 - Ang, Andrew PB - Oxford University Press ER - TY - JOUR T1 - Betting against beta JF - Journal of Financial Economics Y1 - 2014 A1 - Frazzini, Andrea A1 - Pedersen, Lasse Heje PB - Elsevier VL - 111 ER - TY - JOUR T1 - Countercyclical currency risk premia JF - Journal of Financial Economics Y1 - 2014 A1 - Lustig, Hanno A1 - Roussanov, Nikolai A1 - Verdelhan, Adrien VL - 111 ER - TY - JOUR T1 - Fact, Fiction and Momentum Investing JF - Working Paper Y1 - 2014 A1 - Israel, Ronen A1 - Frazzini, Andrea A1 - Moskowitz, Tobias J A1 - Asness, Clifford S ER - TY - JOUR T1 - A five-factor asset pricing model JF - Journal of Financial Economics Y1 - 2014 A1 - Fama, Eugene F A1 - French, Kenneth R PB - Elsevier ER - TY - JOUR T1 - Quality Investing JF - Working Paper Y1 - 2014 A1 - Novy-Marx, Robert ER - TY - JOUR T1 - 212 Years of Price Momentum (The World’s Longest Backtest: 1801–2012) JF - Working Paper Y1 - 2013 A1 - Geczy, Christopher A1 - Samonov, Mikhail ER - TY - JOUR T1 - Buffett’s Alpha JF - National Bureau of Economic Research Y1 - 2013 A1 - Frazzini, Andrea A1 - Kabiller, David A1 - Pedersen, Lasse H ER - TY - ABST T1 - Carry Y1 - 2013 A1 - Koijen, Ralph SJ A1 - Moskowitz, Tobias J A1 - Pedersen, Lasse Heje A1 - Vrugt, Evert B ER - TY - ABST T1 - Commodity trade and the carry trade: A tale of two countries Y1 - 2013 A1 - Ready, Robert A1 - Roussanov, Nikolai A1 - Ward, Colin ER - TY - JOUR T1 - The devil in HML’s details JF - The Journal of Portfolio Management Y1 - 2013 A1 - Asness, Cliff A1 - Frazzini, Andrea VL - 39 ER - TY - JOUR T1 - An institutional theory of momentum and reversal JF - Review of Financial Studies Y1 - 2013 A1 - Vayanos, Dimitri A1 - Woolley, Paul PB - Soc Financial Studies ER - TY - JOUR T1 - Low-Risk Investing Without Industry Bets JF - Working Paper Y1 - 2013 A1 - Asness, Cliff A1 - Frazzini, Andrea A1 - Pedersen, Lasse H ER - TY - JOUR T1 - Momentum Crashes JF - Working Paper Y1 - 2013 A1 - Daniel, Kent A1 - Moskowitz, Tobias J PB - University of Geneva ER - TY - JOUR T1 - The other side of value: The gross profitability premium JF - Journal of Financial Economics Y1 - 2013 A1 - Novy-Marx, Robert VL - 108 ER - TY - JOUR T1 - The role of shorting, firm size, and time on market anomalies JF - Journal of Financial Economics Y1 - 2013 A1 - Israel, Ronen A1 - Moskowitz, Tobias J PB - Elsevier VL - 108 ER - TY - JOUR T1 - Value and Momentum Everywhere JF - The Journal of Finance Y1 - 2013 A1 - Asness, Clifford S A1 - Moskowitz, Tobias J A1 - Pedersen, Lasse Heje PB - Wiley Online Library VL - 68 ER - TY - JOUR T1 - Carry trades and global foreign exchange volatility JF - The Journal of Finance Y1 - 2012 A1 - Menkhoff, Lukas A1 - Sarno, Lucio A1 - Schmeling, Maik A1 - Schrimpf, Andreas VL - 67 ER - TY - JOUR T1 - Managing the Risk of Momentum JF - Working Paper Y1 - 2012 A1 - Barrosoy, Pedro A1 - Santa-Claraz, Pedro ER - TY - JOUR T1 - Size, value, and momentum in international stock returns JF - Journal of Financial Economics Y1 - 2012 A1 - Fama, Eugene F A1 - French, Kenneth R VL - 105 ER - TY - JOUR T1 - Time series momentum JF - Journal of Financial Economics Y1 - 2012 A1 - Moskowitz, Tobias J A1 - Ooi, Yao Hua A1 - Pedersen, Lasse Heje PB - Elsevier VL - 104 ER - TY - JOUR T1 - On the timing and pricing of dividends JF - The American economic review Y1 - 2012 A1 - Van Binsbergen, Jules H A1 - Brandt, Michael W A1 - Koijen, Ralph SJ VL - 102 ER - TY - JOUR T1 - Common risk factors in currency markets JF - Review of Financial Studies Y1 - 2011 A1 - Lustig, Hanno A1 - Roussanov, Nikolai A1 - Verdelhan, Adrien ER - TY - JOUR T1 - A literature review of the size effect JF - Available at SSRN 1710076 Y1 - 2011 A1 - Crain, Michael A ER - TY - JOUR T1 - Infrequent portfolio decisions: A solution to the forward discount puzzle JF - The American Economic Review Y1 - 2010 A1 - Bacchetta, Philippe A1 - Van Wincoop, Eric VL - 100 ER - TY - JOUR T1 - Market liquidity and funding liquidity JF - Review of Financial studies Y1 - 2009 A1 - Brunnermeier, Markus K A1 - Pedersen, Lasse Heje VL - 22 ER - TY - JOUR T1 - Momentum profits, factor pricing, and macroeconomic risk JF - Review of Financial Studies Y1 - 2008 A1 - Liu, Laura Xiaolei A1 - Zhang, Lu PB - Soc Financial Studies VL - 21 ER - TY - JOUR T1 - The cross section of foreign currency risk premia and consumption growth risk JF - The American economic review Y1 - 2007 A1 - Lustig, Hanno A1 - Verdelhan, Adrien VL - 97 ER - TY - JOUR T1 - Stock return predictability: Is it there? JF - Review of Financial studies Y1 - 2007 A1 - Ang, Andrew A1 - Bekaert, Geert VL - 20 ER - TY - JOUR T1 - The Volatility Effect JF - The Journal of Portfolio Management Y1 - 2007 A1 - Blitz, David C A1 - van Vliet, Pim VL - 34(1) ER - TY - JOUR T1 - The cross-section of volatility and expected returns JF - The Journal of Finance Y1 - 2006 A1 - Ang, Andrew A1 - Hodrick, Robert J A1 - Xing, Yuhang A1 - Zhang, Xiaoyan PB - Wiley Online Library VL - 61 ER - TY - BOOK T1 - Options, futures, and other derivatives Y1 - 2006 A1 - Hull, John C PB - Pearson Education India ER - TY - BOOK T1 - Asset Pricing Y1 - 2005 A1 - Cochrane, John H PB - Princeton University Press Princeton ER - TY - JOUR T1 - The value premium JF - The Journal of Finance Y1 - 2005 A1 - Zhang, Lu VL - 60 ER - TY - JOUR T1 - The capital asset pricing model: theory and evidence JF - Journal of Economic Perspectives Y1 - 2004 A1 - Fama, Eugene F A1 - French, Kenneth R ER - TY - BOOK T1 - Introduction to the economics and mathematics of financial markets Y1 - 2004 A1 - Cvitanić, Jakša A1 - Zapatero, Fernando PB - MIT press ER - TY - JOUR T1 - Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models JF - Journal of Business & Economic Statistics Y1 - 2002 A1 - Engle, Robert VL - 20 ER - TY - JOUR T1 - International asset allocation with regime shifts JF - Review of Financial studies Y1 - 2002 A1 - Ang, Andrew A1 - Bekaert, Geert VL - 15 ER - TY - JOUR T1 - Value investing: The use of historical financial statement information to separate winners from losers JF - Journal of Accounting Research Y1 - 2000 A1 - Piotroski, Joseph D ER - TY - JOUR T1 - Returns to buying winners and selling losers: Implications for stock market efficiency JF - The Journal of Finance Y1 - 1993 A1 - Jegadeesh, Narasimhan A1 - Titman, Sheridan PB - Wiley Online Library VL - 48 ER - TY - JOUR T1 - Production-based asset pricing and the link between stock returns and economic fluctuations JF - The Journal of Finance Y1 - 1991 A1 - Cochrane, John H PB - Wiley Online Library VL - 46 ER - TY - JOUR T1 - Forward and spot exchange rates JF - Journal of Monetary Economics Y1 - 1984 A1 - Fama, Eugene F VL - 14 ER - TY - JOUR T1 - The relationship between return and market value of common stocks JF - Journal of Financial Economics Y1 - 1981 A1 - Banz, Rolf W VL - 9 ER - TY - JOUR T1 - The Arbitrage Theory of Capital Asset Pricing JF - Journal of Economic Theory Y1 - 1976 A1 - Ross, Stephen A VL - 13 ER - TY - JOUR T1 - Risk and the rate of return on financial assets: Some old wine in new bottles JF - Journal of Financial and Quantitative Analysis Y1 - 1975 A1 - Haugen, Robert A A1 - Heins, A James PB - Cambridge Univ Press VL - 10 ER - TY - JOUR T1 - The capital asset pricing model: Some empirical tests Y1 - 1972 A1 - Jensen, Michael C A1 - Black, Fischer A1 - Scholes, Myron S ER - TY - JOUR T1 - The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets JF - Review of Economics and Statistics Y1 - 1965 A1 - Lintner, John VL - 47 ER - TY - JOUR T1 - Capital asset prices: a theory of market equilibrium under conditions of risk JF - Journal of Finance Y1 - 1964 A1 - Sharpe, William F VL - 19 ER - TY - JOUR T1 - Portfolio selection JF - Journal of Finance Y1 - 1952 A1 - Markowitz, Harry VL - 7 ER -