Top 10 Financial Research Papers of the Year

Whitebox folks awarding $25k to the top paper (HT: Tradestream).  Papers below:

  • “Information Leakage Prior to Company Issued Guidance” – Financial Management; Anna Agapova and Jeff Madura
  • “Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities” – Journal of Econometrics; Tim Bollerslev, Michael S. Gibson and Hao Zhou
  • “The Implied Cost of Capital: A New Approach” – Journal of Accounting and Economics; Kewei Hou, Mathijs A. van Dijk and Yinglei Zhang
  • “A Survey of Alternative Equity Index Strategies” – Financial Analysts Journal; Jason Hsu, Tzee-man Chow, Vitali Kalesnik and Bryce Little
  • “The ABCs of Hedge Funds: Alphas, Betas and Costs” – Financial Analysts Journal; Roger G. Ibbotson, Peng Chen and Kevin X. Zhu
  • “Principal Components as a Measure of Systemic Risk” – Journal of Portfolio Management; Mark Kritzman, Yuanzhen Li, Sebastien Page and Roberto Rigobon
  • “Common Risk Factors in Currency Markets” – The Review of Financial Studies; Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan
  • “Is Momentum Really Momentum” – Journal of Financial Economics; Robert Novy-Marx
  • “Are Stocks Really Less Volatile in the Long Run?” – Journal of Finance; Lubos Pastor and Robert Stambaugh
  • “Under-/Over-Valuation of the Stock Market and Cyclically-Adjusted Earnings” – International Finance; Marco Taboga
 
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