Welcome to my personal collection of research papers on investing and related topics. I created this page primarily as a tool for my own investing and daily work.1Embarrassingly, I often find myself searching on Google for a paper that I have read multiple times. It is a long way, but the ultimate goal of this page is to break this habit… But what is useful for me may also be useful for others. Feel free to use the table and please share your feedback.
- The tags are the same as for the rest of the website (see Page Guide).2Asset Class and Region should be clear. For Topic, I use the single tag that I believe fits best.
- The table includes all papers from the AGNOSTIC Papers blog posts.
- I try to only include papers that are worth looking at multiple times.
Tip: Sort the table by any column you like, then hold the Shift key and click on another column to sort by it as well. Unfortunately, I have no idea if and how this works on mobile.
| Title | Year | Author | Source | Blog | Topic | Asset Class | Region |
|---|---|---|---|---|---|---|---|
| Measuring skill in the mutual fund industry (URL/SSRN) | 2015 | Berk, Binsbergen | Journal of Financial Economics | AgPa #35 | Active vs. Passive | Equity | USA |
| Mutual Fund Performance at Long Horizons (URL) | 2022 | Bessembinder, Cooper, Zhang | SSRN Working Paper | AgPa #16 | Active vs. Passive | Equity | USA |
| The Rise of Passive Investing and Active Mutual Fund Skill (URL) | 2023 | Huang | SSRN Working Paper | AgPa #77 | Active vs. Passive | Equity | USA |
| The passive ownership share is double what you think it is (URL/SSRN) | 2024 | Chinco, Sammon | Journal of Financial Economics | AgPa #83 | Active vs. Passive | Equity | USA |
| Sports Sentiment and Stock Returns (URL) | 2007 | Edmans, Garcia, Norli | Journal of Finance | AgPa #33 | Alternative Data | Equity | Global |
| Music sentiment and stock returns around the world (URL) | 2021 | Edmans, Fernandez-Perez, Garel, Indriawan | Journal of Financial Economics | AgPa #7 | Alternative Data | Equity | Global |
| Global weather-based trading strategies (URL/SSRN) | 2022 | Dong, Tremblay | Journal of Banking & Finance | AgPa #23 | Alternative Data | Equity | Global |
| Predicting Performance Using Consumer Big Data (URL) | 2022 | Froot, Kang, Ozik, Sadka | Journal of Portfolio Management | AgPa #6 | Alternative Data | Equity | USA |
| Expected Stock Returns When Interest Rates Are Low (URL/SSRN) | 2022 | Blitz | Journal of Portfolio Management | AgPa #82 | Asset Allocation | Equity | Global |
| Honey, the Fed Shrunk the Equity Premium: Asset Allocation in a Higher-Rate World (URL/AQR) | 2024 | Maloney | Journal of Portfolio Management | AgPa #81 | Asset Allocation | Equity | USA |
| Harnessing Neuroscientific Insights to Generate Alpha (URL) | 2022 | Payzan-LeNestour, Doran, Pradier, Putniņš | Financial Analysts Journal | AgPa #8 | Behavioral Finance | Equity | USA |
| Does Gamified Trading Stimulate Risk Taking? (SSRN) | 2021 | Chapkovski, Khapko, Zoican | SSRN Working Paper | AgPa #22 | Behavioral Finance | ||
| Optimal Design of Investment Committees (URL/SSRN) | 2023 | Scherer | Journal of Asset Management | AgPa #75 | Behavioral Finance | ||
| The Expected Returns of ESG Excluded Stocks. Shocks to Firms Costs of Capital? Evidence From the World’s Largest Fund (URL) | 2022 | Berle, He, Ødegaard | SSRN Working Paper | AgPa #20 | ESG | Equity | Global |
| ESG Rating Disagreement and Stock Returns (URL/SSRN) | 2021 | Brandon, Krueger, Schmidt | Financial Analysts Journal | AgPa #18 | ESG | Equity | USA |
| Aggregate Confusion: The Divergence of ESG Ratings (URL) | 2022 | Berg, Kölbel, Rigobon | Review of Finance | AgPa #19 | ESG | ||
| Applying Economics - Not Gut Feel - to ESG (URL/SSRN) | 2023 | Edmans | Financial Analysts Journal | AgPa #76 | ESG | ||
| The Deadweight Loss of Christmas (URL) | 1993 | Waldfogel | American Economic Review | AgPa #34 | Economics | ||
| Long-Term Shareholder Returns: Evidence from 64,000 Global Stocks (URL) | 2021 | Bessembinder, Chen, Choi, Wei | SSRN Working Paper | AgPa #11 | Empirical Facts | Equity | Global |
| Stocks for the long run? Evidence from a broad sample of developed markets (URL/SSRN) | 2022 | Anarkulova, Cederburg, O’Doherty | Journal of Financial Economics | AgPa #57 | Empirical Facts | Equity | Global |
| What Matters More for Emerging Markets Investors: Economic Growth or EPS Growth? (URL/PDF) | 2022 | Hsu, Ritter, Wool, Zhao | Journal of Portfolio Management | AgPa #71 | Empirical Facts | Equity | Global |
| Do stocks outperform Treasury bills? (URL) | 2018 | Bessembinder | Journal of Financial Economics | AgPa #10 | Empirical Facts | Equity | USA |
| Extreme Stock Market Performers, Part I: Expect Some Drawdowns (URL) | 2020 | Bessembinder | SSRN Working Paper | AgPa #15 | Empirical Facts | Equity | USA |
| What Moves Stock Prices? The Role of News, Noise, and Information (URL) | 2022 | Brogaard, Nguyen, Putnins, Wu | Review of Financial Studies | AgPa #2 | Empirical Facts | Equity | USA |
| Long-Horizon Losses in Stocks, Bonds, and Bills: Evidence from a Broad Sample of Developed Markets (URL) | 2022 | Anarkulova, Cederburg, O’Doherty | SSRN Working Paper | AgPa #57 | Empirical Facts | Multi-Asset | Global |
| Investing in Interesting Times (URL/AQR) | 2023 | Ilmanen | Journal of Portfolio Management | AgPa #53 | Empirical Facts | Multi-Asset | Global |
| Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market (URL) | 2023 | Fleckenstein, Longstaff | Journal of Finance | AgPa #56 | Empirical Facts | Private Equity | USA |
| Forecasting index changes in the German DAX family (URL) | 2020 | Franz | Journal of Asset Management | AgPa #27 | Event-Driven | Equity | Germany |
| Transaction Costs of Factor-Investing Strategies (URL) | 2019 | Li, Chow, Pickard, Garg | Financial Analysts Journal | AgPa #46 | Factor Investing | Equity | Global |
| When Equity Factors Drop Their Shorts (URL) | 2020 | Blitz, Baltussen, van Vliet | Financial Analysts Journal | AgPa #47 | Factor Investing | Equity | Global |
| Betting against Quant: Examining the Factor Exposures of Thematic Indexes (URL/SSRN) | 2021 | Blitz | Journal of Beta Investment Strategies | AgPa #44 | Factor Investing | Equity | Global |
| Buffett's Alpha (URL) | 2018 | Frazzini, Kabiller, Pedersen | Financial Analysts Journal | AgPa #43 | Factor Investing | Equity | USA |
| The Cross-Section of Stock Returns before CRSP (URL) | 2023 | Baltussen, van Vliet, van Vliet | SSRN Working Paper | AgPa #41 | Factor Investing | Equity | USA |
| Does peer-reviewed theory help predict the cross-section of stock returns? (URL/SSRN) | 2023 | Chen, Lopez-Lira, Zimmermann | SSRN Working Paper | AgPa #74 | Factor Investing | Equity | USA |
| Keeping it Simple: The Disappearance of Premia for Standard Non-Market Factors (URL) | 2023 | Subrahmanyam | SSRN Working Paper | AgPa #80 | Factor Investing | Equity | USA |
| Global factor premiums (URL) | 2021 | Baltussen, Swinkels, van Vliet | Journal of Financial Economics | AgPa #42 | Factor Investing | Multi-Asset | Global |
| Fact, Fiction, and Factor Investing (URL/AQR) | 2023 | Aghassi, Asness, Fattouche, Moskowitz | Journal of Portfolio Management | AgPa #36 | Factor Investing | Multi-Asset | Global |
| Investing with Style in Liquid Private Debt (URL) | 2022 | Mählmann, Sukonnik | Financial Analysts Journal | AgPa #45 | Factor Investing | Private Debt | USA |
| Global market inefficiencies (URL/SSRN) | 2021 | Bartram, Grinblatt | Journal of Financial Economics | AgPa #31 | Fundamental Analysis | Equity | Global |
| Equity Investing in the Age of Intangibles (URL) | 2021 | Dugar, Pozharny | Financial Analysts Journal | AgPa #9 | Fundamental Analysis | Equity | Global |
| Agnostic fundamental analysis works (URL/SSRN) | 2018 | Bartram, Grinblatt | Journal of Financial Economics | AgPa #30 | Fundamental Analysis | Equity | USA |
| Extreme Stock Market Performers, Part II: Do Technology Stocks Dominate? (URL) | 2020 | Bessembinder | SSRN Working Paper | AgPa #12 | Fundamental Analysis | Equity | USA |
| Extreme Stock Market Performers, Part III: What are their Observable Characteristics? (URL) | 2020 | Bessembinder | SSRN Working Paper | AgPa #13 | Fundamental Analysis | Equity | USA |
| Extreme Stock Market Performers, Part IV: Can Observable Characteristics Forecast Outcomes (URL) | 2020 | Bessembinder | SSRN Working Paper | AgPa #14 | Fundamental Analysis | Equity | USA |
| Is “Not Trading” Informative? Evidence from Corporate Insiders’ Portfolios (URL/SSRN) | 2022 | DeVault, Cederburg, Wang | Financial Analysts Journal | AgPa #28 | Fundamental Analysis | Equity | USA |
| Index Providers: Whales Behind the Scenes of ETFs (URL) | 2021 | An, Benetton, Song | Review of Financial Studies | AgPa #1 | Investment Industry | ||
| The Pitfalls of Asset Management Research (URL/SSRN) | 2022 | Harvey | Journal of Systematic Investing | AgPa #50 | Investment Philosophy | ||
| The big bang: Stock market capitalization in the long run (URL) | 2022 | Kuvshinov, Zimmermann | Journal of Financial Economics | AgPa #24 | Long History | Equity | Global |
| The Rate of Return on Everything, 1870–2015 (URL) | 2019 | Jordà, Knoll, Kuvshinov, Schularick, Taylor | Quarterly Journal of Economics | AgPa #5 | Long History | Multi-Asset | Global |
| Fact and Fiction about Low-Risk Investing (URL/AQR) | 2020 | Alquist, Frazzini, Ilmanen, Pedersen | Journal of Portfolio Management | AgPa #39 | Low-Risk Investing | Multi-Asset | Global |
| Boosting agnostic fundamental analysis: Using machine learning to identify mispricing in European stock markets (URL/SSRN) | 2022 | Hanauer, Kononova, Rapp | Finance Research Letters | AgPa #32 | Machine Learning | Equity | Europe |
| Do AI-Powered Mutual Funds Perform Better? (URL/SSRN) | 2022 | Chen, Ren | Finance Research Letters | AgPa #21 | Machine Learning | Equity | USA |
| (Re-)Imag(in)ing Price Trends (URL) | 2022 | Jiang, Kelly, Xiu | Journal of Finance | AgPa #26 | Machine Learning | Equity | USA |
| Investable and Interpretable Machine Learning for Equities (URL) | 2022 | Li, Simon, Turkington | Journal of Financial Data Science | AgPa #48 | Machine Learning | Equity | USA |
| A Backtesting Protocol in the Era of Machine Learning (URL/SSRN) | 2019 | Arnott, Harvey, Markowitz | Journal of Financial Data Science | AgPa #55 | Machine Learning | ||
| How Can Machine Learning Advance Quantitative Asset Management? (URL/SSRN) | 2023 | Blitz, Hoogteijling, Lohre, Messow | Journal of Portfolio Management | AgPa #49 | Machine Learning | ||
| How Transitory Is Inflation? (URL/Research Affiliates) | 2023 | Arnott, Shakernia | Journal of Portfolio Management | AgPa #54 | Macro | ||
| The Folly of Hiring Winners and Firing Losers (URL/research affiliates) | 2018 | Arnott, Kalesnik, Wu | Journal of Portfolio Management | AgPa #63 | Manager Selection | Equity | Global |
| Selecting Mutual Funds from the Stocks They Hold: A Machine Learning Approach (URL) | 2020 | Li, Rossi | SSRN Working Paper | AgPa #67 | Manager Selection | Equity | USA |
| Machine-Learning the Skill of Mutual Fund Managers (URL) | 2022 | Kaniel, Lin, Pelger, Nieuwerburgh | NBER Working Paper | AgPa #65 | Manager Selection | Equity | USA |
| Managerial Multitasking in the Mutual Fund Industry (URL/SSRN) | 2023 | Agarwal, Ma, Mullally | Financial Analysts Journal | AgPa #64 | Manager Selection | Equity | USA |
| Machine Learning and Fund Characteristics Help to Select Mutual Funds with Positive Alpha (URL) | 2023 | DeMiguel, Gil-Bazo, Nogales, Santos | SSRN Working Paper | AgPa #66 | Manager Selection | Equity | USA |
| Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance (URL/SSRN) | 2017 | Harvey, Rattray, Sinclair, Van Hemert | Journal of Portfolio Management | AgPa #78 | Manager Selection | Hedge Funds | Global |
| Sensation Seeking and Hedge Funds (URL/SSRN) | 2018 | Brown, Lu, Ray, Teo | Journal of Finance | AgPa #61 | Manager Selection | Hedge Funds | USA |
| A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection (URL/SSRN) | 2021 | Wu, Chen, Yang, Tindall | Management Science | AgPa #68 | Manager Selection | Hedge Funds | USA |
| Fund Selection: Sense and Sensibility (URL) | 2022 | Baltussen, Beckers, Hazenberg, Van Der Scheer | Financial Analysts Journal | AgPa #17 | Manager Selection | Multi-Asset | Europe |
| Forbearance in Institutional Investment Management: Evidence from Survey Data (URL) | 2023 | Goyal, Tol, Wahal | Financial Analysts Journal | AgPa #59 | Manager Selection | Multi-Asset | |
| Limited Partners versus Unlimited Machines: Artificial Intelligence and the Performance of Private Equity Funds (URL/SSRN) | 2023 | Braun, Tamayo, López-de-Silanes, Phalippou, Sigrist | SSRN Working Paper | AgPa #72 | Manager Selection | Private Equity | Europe |
| The 10 Most Important Questions to Ask in Selecting a Money Manager (URL) | 1990 | Treynor | Financial Analysts Journal | AgPa #62 | Manager Selection | ||
| Manager Selection, Deselection, and Termination (URL) | 2020 | Anson | Journal of Portfolio Management | AgPa #60 | Manager Selection | ||
| Momentum: Evidence and insights 30 years later (URL/SSRN) | 2023 | Jegadeesh, Titman | Pacific-Basin Finance Journal | AgPa #79 | Momentum Investing | Equity | Asia |
| Can exchange traded funds be used to exploit industry and country momentum? (URL/SSRN) | 2013 | Andreu, Swinkels, Tjong-A-Tjoe | Financial Markets and Portfolio Management | AgPa #73 | Momentum Investing | Equity | Global |
| Fact, Fiction, and Momentum Investing (URL/AQR) | 2014 | Asness, Frazzini, Israel, Moskowitz | Journal of Portfolio Management | AgPa #37 | Momentum Investing | Multi-Asset | Global |
| Historical Returns of the Market Portfolio (URL) | 2019 | Doeswijk, Lam, Swinkels | Review of Asset Pricing Studies | AgPa #4 | Passive Investing | Multi-Asset | Global |
| The Global Market Portfolio (URL) | 2021 | Gadzinski, Schuller, Vacchino | Journal of Portfolio Management | AgPa #3 | Passive Investing | Multi-Asset | Global |
| International Diversification — Still Not Crazy after All These Years (URL/AQR) | 2023 | Asness, Ilmanen, Villalon | Journal of Portfolio Management | AgPa #58 | Portfolio Construction | Equity | Global |
| Fundamental Indexation: Rebalancing Assumptions and Performance (URL/SSRN) | 2010 | Blitz, van der Grient, van Vliet | Journal of Index Investing | AgPa #69 | Portfolio Construction | Equity | USA |
| Why Do Equally Weighted Portfolios Beat Value-Weighted Ones? (URL/SSRN) | 2022 | Swade, Nolte, Shackleton, Lohre | Journal of Portfolio Management | AgPa #70 | Portfolio Construction | Equity | USA |
| Employee Satisfaction and Long-Run Stock Returns, 1984–2020 (URL/SSRN) | 2022 | Boustanifar, Kang | Financial Analysts Journal | AgPa #52 | Quality Investing | Equity | USA |
| Go Down Fighting: Short Sellers vs. Firms (URL) | 2012 | Lamont | Review of Asset Pricing Studies | AgPa #51 | Short Selling | Equity | USA |
| Fact, Fiction, and the Size Effect (URL/AQR) | 2018 | Alquist, Israel, Moskowitz | Journal of Portfolio Management | AgPa #40 | Small Cap | Multi-Asset | Global |
| Comparing Cost-Mitigation Techniques (URL/SSRN) | 2019 | Novy-Marx, Velikov | Financial Analysts Journal | AgPa #29 | Trading | Equity | USA |
| The Economics of High-Frequency Trading: Taking Stock (URL/SSRN) | 2016 | Menkveld | Annual Review of Financial Economics | AgPa #25 | Trading | Equity | |
| Fact, Fiction, and Value Investing (URL/AQR) | 2015 | Asness, Frazzini, Israel, Moskowitz | Journal of Portfolio Management | AgPa #38 | Value Investing | Multi-Asset | Global |
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