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Literature: authors starting with A

65 studies, books and laws, each with its reference, a sentence on the content and the pages that cite it. All letters

Aaron (1966) · The Social Insurance Paradox

Aaron, Henry. Canadian Journal of Economics and Political Science 32 (3), pp. 371–374. doi:10.2307/139995

A pay-as-you-go system can make every generation better off as long as the sum of population growth and real wage growth exceeds the interest rate (the Aaron condition).

Cited in: Glossary: Pay-as-you-go system

Berkshire Hathaway (2026) · Berkshire Hathaway Inc.: Letter to Shareholders 2025 (letter dated February 28, 2026)

Abel, Gregory E.. Berkshire Hathaway Inc., Omaha; accessed October 25, 2026. Source

Greg Abel's first shareholder letter as chief executive, with Warren Buffett remaining Chairman; includes the table of Berkshire's per-share performance against the S&P 500 with dividends since 1965.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Acerbi and Tasche (2002) · On the coherence of expected shortfall

Acerbi, Carlo; Tasche, Dirk. Journal of Banking & Finance 26 (7), pp. 1487–1503. doi:10.1016/s0378-4266(02)00283-2

Shows that expected shortfall is coherent and defines it rigorously for discrete distributions as well.

Cited in: Value at risk and conditional VaR: how much you could lose in a bad case · Glossary: Coherent risk measure

Acharya and Pedersen (2005) · Asset pricing with liquidity risk

Acharya, Viral V.; Pedersen, Lasse Heje. Journal of Financial Economics 77 (2), pp. 375–410. doi:10.1016/j.jfineco.2004.06.007

A liquidity-adjusted CAPM: expected return depends on expected illiquidity and on three additional covariances between the return, the asset's own illiquidity, the market return and market illiquidity.

Cited in: Liquidity risk: measuring market liquidity, liquidity premiums and the tools of open-ended funds

Acharya et al. (2007) · Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries

Acharya, Viral V.; Bharath, Sreedhar T.; Srinivasan, Anand. Journal of Financial Economics 85 (3), pp. 787–821. doi:10.1016/j.jfineco.2006.05.011

Creditors of defaulted US firms (1982–1999) recover considerably less when the whole industry is in distress, and this fire-sale effect is stronger for specific assets.

Cited in: Distressed debt: strategies, bankruptcy law, recovery rates and returns when investing in crises · Private debt in practice: direct lending, unitranche, mezzanine, loan structure and fund vehicles

Adland et al. (2017) · Are AIS-based trade volume estimates reliable? The case of crude oil exports

Adland, Roar; Jia, Haiying; Strandenes, Siri P.. Maritime Policy & Management 44 (5), pp. 657–665. doi:10.1080/03088839.2017.1309470

Compares crude oil exports estimated from AIS with customs data: good agreement in aggregate, but marked deviations by country and period because of pipelines and transshipments.

Cited in: Ship tracking data and satellite images: what they reveal about commodities

Agarwal et al. (2013) · Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide

Agarwal, Vikas; Jiang, Wei; Tang, Yuehua; Yang, Baozhong. The Journal of Finance 68 (2), pp. 739–783. doi:10.1111/jofi.12012

Holdings disclosed confidentially and only later in amendments to Form 13F, mainly by hedge funds, outperform for up to twelve months; the motives are private information and price impact.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Aggarwal and Wu (2006) · Stock Market Manipulations

Aggarwal, Rajesh K.; Wu, Guojun. The Journal of Business 79 (4), pp. 1915–1953. doi:10.1086/503652

Theory and evidence from US Securities and Exchange Commission cases: manipulators are usually well-informed parties, and prices rise during the manipulation and fall afterward.

Cited in: Pump and dump and penny stocks: how the scam works · Glossary: Pump and dump

Akaike (1974) · A new look at the statistical model identification

Akaike, H.. IEEE Transactions on Automatic Control 19 (6), pp. 716–723. doi:10.1109/tac.1974.1100705

Introduces the information criterion AIC = −2 log(maximum likelihood) + 2 × number of parameters: among competing models, the one with the smallest AIC wins.

Cited in: Regime models: hidden Markov, Markov switching and more · Regime methodology: how the hidden Markov model works · Glossary: Information criterion

Aliber and Kindleberger (2015) · Manias, Panics and Crashes: A History of Financial Crises

Aliber, Robert Z.; Kindleberger, Charles P.. Palgrave Macmillan, 7th edition.

Charles Kindleberger's classic on manias, panics and financial crises, continued by Robert Aliber.

Cited in: Speculative bubbles: what they are and how the LPPLS model detects them

Allan et al. (2023) · Model-free portfolio theory: A rough path approach

Allan, Andrew L.; Cuchiero, Christa; Liu, Chong; Prömel, David J.. Mathematical Finance 33 (3), pp. 709–765. doi:10.1111/mafi.12376

Model-free stochastic portfolio theory using rough paths: a pathwise formula for relative wealth, and a generalization of Cover's universal portfolio that grows asymptotically as fast as the best portfolio of its class chosen in hindsight.

Cited in: Beyond Markowitz: estimation error, noise and true diversification · Glossary: Path signature

Almgren and Chriss (2001) · Optimal execution of portfolio transactions

Almgren, Robert; Chriss, Neil. The Journal of Risk 3 (2), pp. 5–39. doi:10.21314/JOR.2001.041

Optimal slicing of a large order over time as a trade-off between market impact and price risk: an efficient frontier of execution strategies and liquidity-adjusted value at risk.

Cited in: Liquidity risk: measuring market liquidity, liquidity premiums and the tools of open-ended funds · Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC

AIMA (2025) · Presenting the 2025 Edition of AIMA's Illustrative Questionnaire for the Due Diligence of Investment Managers

Alternative Investment Management Association. AIMA, March 12, 2025; accessed October 25, 2026. Source

A modular model questionnaire for the due diligence of investment managers, revised in areas including performance, liquidity, money laundering and costs, with a new module for private markets.

Cited in: RFP and mandate awards: how institutional investors select asset managers · Glossary: Due diligence questionnaire

Altman and Kishore (1996) · Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds

Altman, Edward I.; Kishore, Vellore M.. Financial Analysts Journal 52 (6), pp. 57–64. doi:10.2469/faj.v52.n6.2040

Recovery rates on defaulted bonds by industry and seniority: highest for utilities (70%); the original rating no longer matters once seniority is taken into account.

Cited in: Distressed debt: strategies, bankruptcy law, recovery rates and returns when investing in crises

Altman and Jha (2003) · Market Size and Investment Performance of Defaulted Bonds and Bank Loans: 1987–2002

Altman, Edward I.; Jha, Shubin. NYU Stern, Salomon Center, February 2003; accessed October 25, 2026. Source

Size and returns of the market for defaulted and distressed bonds and loans; “distressed” here means a yield of more than 1,000 basis points over ten-year US Treasuries.

Cited in: Distressed debt: strategies, bankruptcy law, recovery rates and returns when investing in crises

Altman et al. (2019) · Corporate Financial Distress, Restructuring, and Bankruptcy: Analyze Leveraged Finance, Distressed Debt, and Bankruptcy

Altman, Edward I.; Hotchkiss, Edith; Wang, Wei. Wiley.

Textbook on corporate distress: default prediction, Chapter 11 and out-of-court restructuring, recovery rates and investing in distressed debt.

Cited in: Distressed debt: strategies, bankruptcy law, recovery rates and returns when investing in crises

Ambrose et al. (2008) · Forced Selling of Fallen Angels

Ambrose, Brent W.; Cai, Nianyun (Kelly); Helwege, Jean. The Journal of Fixed Income 18 (1), pp. 72–85. doi:10.3905/jfi.2008.708844

Insurers sell bonds downgraded to high-yield status (fallen angels) much more than comparable bonds around the downgrade, but do not fully liquidate their holdings.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities · Distressed debt: strategies, bankruptcy law, recovery rates and returns when investing in crises

Amenc et al. (2004) · Revisiting Core-Satellite Investing

Amenc, Noël; Malaise, Philippe; Martellini, Lionel. The Journal of Portfolio Management 31 (1), pp. 64–75. doi:10.3905/jpm.2004.443322

Dynamic allocation between a passive core and active satellites along the lines of portfolio insurance (CPPI), so that the tracking error stays below a threshold.

Cited in: Core-satellite with a broad core and targeted satellites: costs, tracking error and rules

Amihud and Mendelson (1986) · Asset pricing and the bid-ask spread

Amihud, Yakov; Mendelson, Haim. Journal of Financial Economics 17 (2), pp. 223–249. doi:10.1016/0304-405X(86)90065-6

Investors with different holding periods trade securities with different spreads; expected return rises with the spread, but at a decreasing rate (concave).

Cited in: Liquidity risk: measuring market liquidity, liquidity premiums and the tools of open-ended funds

Amihud (2002) · Illiquidity and stock returns: cross-section and time-series effects

Amihud, Yakov. Journal of Financial Markets 5 (1), pp. 31–56. doi:10.1016/S1386-4181(01)00024-6

An illiquidity measure based on the average daily ratio of absolute return to dollar volume; expected market illiquidity raises the expected excess return, while unexpected illiquidity lowers contemporaneous returns, especially for small stocks.

Cited in: Liquidity risk: measuring market liquidity, liquidity premiums and the tools of open-ended funds · Glossary: Amihud measure

Anarkulova et al. (2025) · The safe withdrawal rate: evidence from a broad sample of developed markets

Anarkulova, Aizhan; Cederburg, Scott; O'Doherty, Michael S.; Sias, Richard. Journal of Pension Economics and Finance 24 (3), pp. 464–500. doi:10.1017/s1474747225000010

Using asset class returns from 38 developed countries: a 65-year-old couple willing to accept a 5% probability of ruin can withdraw only 2.31% a year, well below the 4% rule.

Cited in: FIRE (Financial Independence, Retire Early): Lean, Fat, Coast and Barista FIRE · Methodology of the free calculators: FIRE, savings plan, withdrawal and leveraged ETF

Andersen and Bollerslev (1998) · Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Andersen, Torben G.; Bollerslev, Tim. International Economic Review 39 (4), pp. 885–905. doi:10.2307/2527343

GARCH forecasts only seem weak because squared daily returns are a noisy measure; measured against actual volatility, they are accurate.

Cited in: Return forecasting models: ARIMA, GARCH, LSTM and machine learning

Andonov et al. (2021) · Institutional Investors and Infrastructure Investing

Andonov, Aleksandar; Kräussl, Roman; Rauh, Joshua. The Review of Financial Studies 34 (8), pp. 3880–3934. doi:10.1093/rfs/hhab048

Institutional investors' infrastructure funds generate cash flows that are as volatile and as cyclical as those of private equity; on a risk-adjusted basis they perform poorly, with public investors doing worse than private ones.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research

Andrade et al. (2013) · “Sell in May and Go Away” Just Won’t Go Away

Andrade, Sandro C.; Chhaochharia, Vidhi; Fuerst, Michael E.. Financial Analysts Journal 69 (4), pp. 94–105. doi:10.2469/faj.v69.n4.4

Out-of-sample test: the sell-in-May effect persists and appears in many financial markets.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects

Ang and Bekaert (2002) · International Asset Allocation With Regime Shifts

Ang, Andrew; Bekaert, Geert. Review of Financial Studies 15 (4), pp. 1137–1187. doi:10.1093/rfs/15.4.1137

Portfolio choice with regime shifts in which correlations and volatilities rise in bad times; international diversification nevertheless remains valuable.

Cited in: Regime models: hidden Markov, Markov switching and more

Ang and Chen (2002) · Asymmetric correlations of equity portfolios

Ang, Andrew; Chen, Joseph. Journal of Financial Economics 63 (3), pp. 443–494. doi:10.1016/s0304-405x(02)00068-5

Stocks are more highly correlated in downturns than in upturns (asymmetric correlation).

Cited in: Correlation and diversification: why mixing assets reduces risk · Scenario analysis and sensitivity analysis: stress testing equity, interest rate, credit and currency risk · Glossary: Asymmetric correlation

Ang et al. (2006) · The Cross-Section of Volatility and Expected Returns

Ang, Andrew; Hodrick, Robert J.; Xing, Yuhang; Zhang, Xiaoyan. The Journal of Finance 61 (1), pp. 259–299. doi:10.1111/j.1540-6261.2006.00836.x

Stocks with high idiosyncratic volatility earn abnormally low returns.

Cited in: Volatility: how much a portfolio fluctuates · The low-volatility anomaly and betting against beta · Long/short and statistical arbitrage: methodology · Glossary: Low-volatility anomaly · Glossary: Idiosyncratic risk

Ang and Timmermann (2012) · Regime Changes and Financial Markets

Ang, Andrew; Timmermann, Allan. Annual Review of Financial Economics 4 (1), pp. 313–337. doi:10.1146/annurev-financial-110311-101808

A survey: regime-switching models capture abrupt, persistent changes in market behavior and explain fat tails, skewness and time-varying correlations.

Cited in: Regime models: hidden Markov, Markov switching and more

Ang (2014) · Asset Management: A Systematic Approach to Factor Investing

Ang, Andrew. Oxford University Press.

Textbook on factor investing: factors rather than asset classes as the core of asset allocation.

Cited in: Glossary: Smart beta · Glossary: Multi-factor

Ang et al. (2018) · Estimating Private Equity Returns from Limited Partner Cash Flows

Ang, Andrew; Chen, Bingxu; Goetzmann, William N.; Phalippou, Ludovic. The Journal of Finance 73 (4), pp. 1751–1783. doi:10.1111/jofi.12688

Extracts a time series of private equity returns from the cash flows to investors and decomposes it into publicly traded factors and a time-varying private equity premium.

Cited in: Measuring private markets: J-curve, cash flows, smoothing and public proxies

Ankrim and Hensel (1994) · Multicurrency Performance Attribution

Ankrim, Ernest M.; Hensel, Chris R.. Financial Analysts Journal 50 (2), pp. 29–35. doi:10.2469/faj.v50.n2.29

Extends performance attribution to currencies and splits the currency contribution into the interest rate differential (forward premium) and the unexpected exchange rate movement.

Cited in: Multi-asset attribution: weighting schemes, top-down and bottom-up, currencies and overlays · Performance attribution: Brinson decomposition, factors and linking over time · Glossary: Currency effect

Antill et al. (2024) · Creditor-on-Creditor Violence and Secured Debt Dynamics

Antill, Samuel; Wang, Neng; Jiang, Zhaoli. National Bureau of Economic Research, Working Paper 32823. doi:10.3386/w32823

A model of restructurings in which a majority of secured creditors strips other creditors of their priority (uptier, drop-down): these can destroy value but raise total value ex ante.

Cited in: Distressed debt: strategies, bankruptcy law, recovery rates and returns when investing in crises · Glossary: Liability management exercise

Antón et al. (2021) · Best Ideas

Antón, Miguel; Cohen, Randolph B.; Polk, Christopher. London School of Economics, working paper (April 2021 version; earlier versions since 2009); accessed October 25, 2026. Source

The stocks in which active mutual fund and hedge fund managers place their biggest bets beat the market and the other holdings in their portfolios by about 2.8 to 4.5% per year; the other positions mostly show no significant excess return.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Antonacci (2014) · Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk

Antonacci, Gary. McGraw-Hill Education.

Dual momentum: relative strength across markets combined with an absolute trend filter as an exit into bonds.

Cited in: Tactical allocation: momentum, dual momentum and trend following · Tactical allocation methodology: how the eleven tactical models work

Antweiler and Frank (2004) · Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards

Antweiler, Werner; Frank, Murray Z.. The Journal of Finance 59 (3), pp. 1259–1294. doi:10.1111/j.1540-6261.2004.00662.x

Posts on stock message boards help to predict volatility; their effect on returns is statistically significant but economically small.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

Apesteguia et al. (2020) · Copy Trading

Apesteguia, Jose; Oechssler, Jörg; Weidenholzer, Simon. Management Science 66 (12), pp. 5608–5622. doi:10.1287/mnsc.2019.3508

In a market experiment, information about others' success raises risk taking, and the option to copy raises it even more: copy trading leads to excessive risk taking.

Cited in: Glossary: Social trading

Aquilina et al. (2022) · Quantifying the High-Frequency Trading “Arms Race”

Aquilina, Matteo; Budish, Eric; O'Neill, Peter. The Quarterly Journal of Economics 137 (1), pp. 493–564. doi:10.1093/qje/qjab032

Latency arbitrage in FTSE 100 stocks: about one race per minute per stock, typically 5 to 10 microseconds long, about 20% of volume; acts like a tax of about 0.5 basis points, roughly $5 billion a year worldwide.

Cited in: Glossary: Latency arbitrage

Aramonte and Avalos (2020) · The recent distress in corporate bond markets: cues from ETFs

Aramonte, Sirio; Avalos, Fernando. Bank for International Settlements, BIS Bulletin 6, April 14, 2020; accessed October 25, 2026. Source

Corporate bond ETFs traded at significant discounts to their net asset values in March 2020, driven by volatility, reluctant dealers and reactions to monetary policy.

Cited in: Index providers and valuation points: why the same index is calculated differently · Liquidity risk: measuring market liquidity, liquidity premiums and the tools of open-ended funds · Market making and bond trading: spread, inventory, axes, RFQ, cross trades and matrix pricing

Ariel (1987) · A monthly effect in stock returns

Ariel, Robert A.. Journal of Financial Economics 18 (1), pp. 161–174. doi:10.1016/0304-405X(87)90066-3

US stocks earned almost all of their return in the first half of the trading month, starting with the last trading day of the previous month.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Glossary: Turn-of-the-month effect

Ariel (1990) · High Stock Returns before Holidays: Existence and Evidence on Possible Causes

Ariel, Robert A.. The Journal of Finance 45 (5), pp. 1611–1626. doi:10.1111/j.1540-6261.1990.tb03731.x

On the trading day before holidays, the mean return was nine to fourteen times as high as on other days; from 1963 to 1982, more than a third of the market return fell on these eight days a year.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects

Arnott et al. (2019) · A Backtesting Protocol in the Era of Machine Learning

Arnott, Rob; Harvey, Campbell R.; Markowitz, Harry. The Journal of Financial Data Science 1 (1), pp. 64–74. doi:10.3905/jfds.2019.1.064

A protocol for backtesting with machine learning, and for quantitative finance research in general, that takes account of scarce data and the feedback from earlier research.

Cited in: Probability of backtest overfitting: does the best variant deliver what the backtest promises?

Arnott et al. (2005) · Fundamental Indexation

Arnott, Robert D.; Hsu, Jason; Moore, Philip. Financial Analysts Journal 61 (2), pp. 83–99. doi:10.2469/faj.v61.n2.2718

Indices weighted by sales, book value or dividends instead of market value proved more efficient in tests than capitalization-weighted indices.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · Equal weight vs cap weight: weighting, rebalancing and factor tilts

Arnott et al. (2010) · Valuation-Indifferent Weighting for Bonds

Arnott, Robert D.; Hsu, Jason C.; Li, Feifei; Shepherd, Shane D.. The Journal of Portfolio Management 36 (3), pp. 117–130. doi:10.3905/jpm.2010.36.3.117

In historical tests, bond portfolios with weights that do not depend on market prices beat their market-value-weighted benchmarks for corporate, high-yield and emerging market bonds.

Cited in: Active or passive in bonds and commodities: why the rules differ from equities

Arnott et al. (2021) · Reports of Value’s Death May Be Greatly Exaggerated

Arnott, Robert D.; Harvey, Campbell R.; Kalesnik, Vitali; Linnainmaa, Juhani T.. Financial Analysts Journal 77 (1), pp. 44–67. doi:10.1080/0015198X.2020.1842704

Explains the long weakness of value since 2007 by unrecognized intangible assets and the widening valuation gap between growth and value stocks.

Cited in: Fundamental analysis: valuing a company like an investor

Arora et al. (2012) · Counterparty credit risk and the credit default swap market

Arora, Navneet; Gandhi, Priyank; Longstaff, Francis A.. Journal of Financial Economics 103 (2), pp. 280–293. doi:10.1016/j.jfineco.2011.10.001

Dealers' credit risk is priced in CDS prices, but the effect is vanishingly small, consistent with a market in which liabilities are collateralized.

Cited in: Counterparty and issuer risk: CVA, ETCs, certificates and swaps

Arrow et al. (2008) · The Promise of Prediction Markets

Arrow, Kenneth J.; Forsythe, Robert; Gorham, Michael; Hahn, Robert; Hanson, Robin; Ledyard, John O. et al.. Science 320 (5878), pp. 877–878. doi:10.1126/science.1157679

Call to free prediction markets as a research tool from unnecessary government restrictions.

Cited in: Prediction markets as bets on events: what they can and cannot do

Arslanalp et al. (2019) · Big Data on Vessel Traffic: Nowcasting Trade Flows in Real Time

Arslanalp, Serkan; Marini, Marco; Tumbarello, Patrizia. International Monetary Fund, IMF Working Paper 19/275. doi:10.5089/9781513521121.001

Uses Malta as an example to derive timely trade indicators from AIS port calls and checks them against official statistics.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Glossary: Nowcasting

Artzner et al. (1999) · Coherent Measures of Risk

Artzner, Philippe; Delbaen, Freddy; Eber, Jean‐Marc; Heath, David. Mathematical Finance 9 (3), pp. 203–228. doi:10.1111/1467-9965.00068

Axioms for coherent risk measures; value at risk violates subadditivity, expected shortfall does not.

Cited in: Value at risk and conditional VaR: how much you could lose in a bad case · Metrics methodology: how Portfolio Lab measures return and risk · Glossary: Coherent risk measure

Aruoba et al. (2009) · Real-Time Measurement of Business Conditions

Aruoba, S. Borağan; Diebold, Francis X.; Scotti, Chiara. Journal of Business & Economic Statistics 27 (4), pp. 417–427. doi:10.1198/jbes.2009.07205

Framework for measuring business conditions at high frequency and as close to real time as possible: a dynamic factor model for stock and flow variables of mixed frequencies with an exact filter.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators

Askitas and Zimmermann (2013) · Nowcasting Business Cycles Using Toll Data

Askitas, Nikolaos; Zimmermann, Klaus F.. Journal of Forecasting 32 (4), pp. 299–306. doi:10.1002/for.1262

Presents a monthly index of truck mileage from German toll data that is barely revised, quickly available and, because of just-in-time deliveries, coincident with production, which makes it a good early indicator of industrial production.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Leading indicator · Glossary: Truck toll mileage index

Asness et al. (2001) · Do Hedge Funds Hedge?

Asness, Clifford S.; Krail, Robert J.; Liew, John M.. The Journal of Portfolio Management 28 (1), pp. 6–19. doi:10.3905/jpm.2001.319819

Stale or estimated prices make the market risk of hedge funds look too small; with lagged market returns in the regression, it is considerably larger.

Cited in: Private credit and public credit compared: returns, risks and what the research shows · Short selling, hedge funds and hedging: types and how they work

Asness et al. (2012) · Leverage Aversion and Risk Parity

Asness, Clifford S.; Frazzini, Andrea; Pedersen, Lasse H.. Financial Analysts Journal 68 (1), pp. 47–59. doi:10.2469/faj.v68.n1.1

Explains the success of risk parity by leverage aversion: because many investors do not borrow, low-risk assets are relatively underpriced.

Cited in: 60/40 portfolio: the classic mix of equities and bonds · All Weather portfolio: ready for every economic climate? · Leverage in a portfolio: return, risk, costs and margin calls · Leveraged ETFs and return stacking: how they work, long holding periods, costs and research · Risk parity: equal risk contributions instead of equal weights · The low-volatility anomaly and betting against beta · Glossary: Leverage aversion

Asness et al. (2019) · Quality minus junk

Asness, Clifford S.; Frazzini, Andrea; Pedersen, Lasse Heje. Review of Accounting Studies 24 (1), pp. 34–112. doi:10.1007/s11142-018-9470-2

Quality minus junk: profitable, growing, safe companies earn higher risk-adjusted returns.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Factor investing: understanding the Fama-French factors · Fundamental analysis: valuing a company like an investor · Glossary: Quality minus junk

Aswani et al. (2024) · Are Carbon Emissions Associated with Stock Returns?

Aswani, Jitendra; Raghunandan, Aneesh; Rajgopal, Shiva. Review of Finance 28 (1), pp. 75–106. doi:10.1093/rof/rfad013

The link between emissions and returns disappears when emissions reported by the companies are used instead of estimated ones, or when emissions intensity is used.

Cited in: ESG ETFs: index rules, ratings, returns and the limits of sustainable funds · ESG methodology: sustainability in the look-through

Attié and Roache (2009) · Inflation Hedging for Long-Term Investors

Attié, Alexander P.; Roache, Shaun K.. International Monetary Fund, IMF Working Paper 09/90. doi:10.5089/9781451872378.001

Uses a vector error correction model to test how well traditional asset classes hedge inflation over different horizons within a diversified portfolio.

Cited in: Liquid real assets: inflation protection with tradable real assets in a portfolio

Augustin et al. (2019) · Informed Options Trading Prior to Takeover Announcements: Insider Trading?

Augustin, Patrick; Brenner, Menachem; Subrahmanyam, Marti G.. Management Science 65 (12), pp. 5697–5720. doi:10.1287/mnsc.2018.3122

Before 1,859 US takeovers from 1996 to 2012, about 25% showed unusual options volume in the target company, mainly in short-dated out-of-the-money calls; the SEC pursued only about 8% of the cases.

Cited in: Insider trading: what is prohibited, what is allowed and what insider purchases reveal

Augustin et al. (2021) · Volmageddon and the Failure of Short Volatility Products

Augustin, Patrick; Cheng, Ing-Haw; Van den Bergen, Ludovic. Financial Analysts Journal 77 (3), pp. 35–51. doi:10.1080/0015198x.2021.1913040

A case study of the short volatility products on February 5, 2018: buying VIX futures to hedge and to maintain leverage pushed futures prices further up in a concentrated market.

Cited in: Tail hedging: what put protection costs, when it pays off and what short-vol strategies teach · Glossary: Volmageddon

Avalos et al. (2025) · The global drivers of private credit

Avalos, Fernando; Doerr, Sebastian; Pinter, Gabor. BIS Quarterly Review (March 2025). Source

Bank for International Settlements: private credit grows when policy rates are low and banks are weak; mostly closed-end funds with terms of five to eight years, and BDCs with increased leverage and high industry concentration.

Cited in: Private debt in practice: direct lending, unitranche, mezzanine, loan structure and fund vehicles · Glossary: Business development company (BDC)

Avellaneda and Stoikov (2008) · High-frequency trading in a limit order book

Avellaneda, Marco; Stoikov, Sasha. Quantitative Finance 8 (3), pp. 217–224. doi:10.1080/14697680701381228

Optimal bid and ask quotes for a market maker with inventory risk: the indifference price is shifted by inventory times risk aversion times variance, and the spread reflects risk and execution probability.

Cited in: Market making and bond trading: spread, inventory, axes, RFQ, cross trades and matrix pricing

Avellaneda and Zhang (2010) · Path-Dependence of Leveraged ETF Returns

Avellaneda, Marco; Zhang, Stanley. SIAM Journal on Financial Mathematics 1 (1), pp. 586–603. doi:10.1137/090760805

An exact formula for the return of leveraged ETFs in terms of the index return and realized variance, tested empirically on 56 leveraged funds.

Cited in: Leverage in a portfolio: return, risk, costs and margin calls · Leveraged ETFs and return stacking: how they work, long holding periods, costs and research · How leveraged ETFs are built: swaps, daily rebalancing and gamma risk · Backtest methodology: data, process, rebalancing and costs · Methodology of the free calculators: FIRE, savings plan, withdrawal and leveraged ETF · Glossary: Leveraged ETF · Glossary: Daily leverage reset · Glossary: Path dependence · Glossary: Volatility decay

Avellaneda and Lee (2010) · Statistical arbitrage in the US equities market

Avellaneda, Marco; Lee, Jeong-Hyun. Quantitative Finance 10 (7), pp. 761–782. doi:10.1080/14697680903124632

Statistical arbitrage using residuals against sector ETFs or principal components: residuals modeled as an Ornstein-Uhlenbeck process, trading based on the s-score, market-neutral.

Cited in: Pairs trading and statistical arbitrage: idea, methods, research · Long/short and statistical arbitrage: methodology · Glossary: Statistical arbitrage · Glossary: Ornstein-Uhlenbeck process · Glossary: s-score

Axelson et al. (2013) · Borrow Cheap, Buy High? The Determinants of Leverage and Pricing in Buyouts

Axelson, Ulf; Jenkinson, Tim; Strömberg, Per; Weisbach, Michael S.. The Journal of Finance 68 (6), pp. 2223–2267. doi:10.1111/jofi.12082

Buyout leverage depends hardly at all on firm characteristics and mainly on credit conditions; more leverage goes with higher purchase prices and lower fund returns.

Cited in: Buyout funds and management buyouts: how LBOs, MBOs and MBIs work · Glossary: Leveraged buyout

Ayres and Nalebuff (2008) · Life-cycle Investing and Leverage: Buying Stock on Margin Can Reduce Retirement Risk

Ayres, Ian; Nalebuff, Barry. National Bureau of Economic Research, Working Paper 14094. doi:10.3386/w14094

By using leverage when young and more cautious investments later, savers spread their equity risk more evenly over their working lives (diversification across time).

Cited in: Leverage in a portfolio: return, risk, costs and margin calls · Glossary: Diversification across time

Ayres and Nalebuff (2010) · Lifecycle Investing: A New, Safe, and Audacious Way to Improve the Performance of Your Retirement Portfolio

Ayres, Ian; Nalebuff, Barry. Basic Books.

Book version of the proposal to invest in equities with leverage when young and to reduce the leverage with age.

Cited in: Leverage in a portfolio: return, risk, costs and margin calls · Glossary: Diversification across time

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