Literature: authors starting with P

Page and Clemen (2013) · Do Prediction Markets Produce Well-Calibrated Probability Forecasts?

Page, Lionel; Clemen, Robert T.. The Economic Journal 123 (568), pp. 491–513. doi:10.1111/j.1468-0297.2012.02561.x

Close to expiry, prediction markets are fairly well calibrated, but for distant events they are biased in line with the favorite-longshot bias; allowing for the time value of money, exploiting this pays off only at a low discount rate.

Cited in: Prediction markets as bets on events: what they can and cannot do · Glossary: Favorite-longshot bias

Pagliari et al. (2005) · Public Versus Private Real Estate Equities: A More Refined, Long-Term Comparison

Pagliari, Joseph L.; Scherer, Kevin A.; Monopoli, Richard T.. Real Estate Economics 33 (1), pp. 147–187. doi:10.1111/j.1080-8620.2005.00115.x

After adjusting for property mix, leverage and appraisal smoothing, the mean returns and volatilities of REITs and private real estate do not differ statistically; in 1993–2001 the gap was about 60 basis points.

Cited in: Real estate as an investment: rental property, REITs, open-end funds and private real estate

Pal and Wong (2016) · The geometry of relative arbitrage

Pal, Soumik; Wong, Ting-Kam Leonard. Mathematics and Financial Economics 10 (3), pp. 263–293. doi:10.1007/s11579-015-0159-z

Under diversity and sufficient volatility, Fernholz's functionally generated portfolios are the only portfolio maps that beat the market portfolio in the long run; a second characterization is obtained through an optimal transport problem.

Cited in: Beyond Markowitz: estimation error, noise and true diversification · Glossary: Functionally generated portfolio

Pan and Poteshman (2006) · The Information in Option Volume for Future Stock Prices

Pan, Jun; Poteshman, Allen M.. Review of Financial Studies 19 (3), pp. 871–908. doi:10.1093/rfs/hhj024

Stocks with a low put/call ratio in newly opened buy positions outperform those with a high ratio over the next day and the following week.

Cited in: Sentiment: methodology for the fear and greed index, put/call ratio and COT · Glossary: Put/call ratio

Paolo et al. (2024) · Satellite mapping reveals extensive industrial activity at sea

Paolo, Fernando S.; Kroodsma, David; Raynor, Jennifer; Hochberg, Tim; Davis, Pete; Cleary, Jesse et al.. Nature 625 (7993), pp. 85–91. doi:10.1038/s41586-023-06825-8

Combines satellite imagery, vessel tracking and machine learning (2017–2021): a large share of fishing and between a fifth and almost a third of transport and energy shipping is missing from public tracking systems.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Ships at chokepoints (beta): methodology · Glossary: Shadow fleet

Park and Irwin (2007) · What Do We Know About the Profitability of Technical Analysis?

Park, Cheol-Ho; Irwin, Scott H.. Journal of Economic Surveys 21 (4), pp. 786–826. doi:10.1111/j.1467-6419.2007.00519.x

A survey of early and modern studies on the profitability of technical analysis, including their methodological weaknesses.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective

Bloomberg (2025) · Growing List of Hedge Fund Passthrough Fees Cuts Into Client Profits

Parmar, Hema; Li, Weihua; Kim, Kyle; Emamdjomeh, Armand. Bloomberg, 2025; abgerufen am 31.10.2026. Source

Balyasny main fund 2023: 15.2% gross, 2.8% for investors, fees above $768 million; Citadel's three largest funds about $12.5 billion in pass-through fees from 2022 to September 2024; according to Blackstone, about 6.5% of fund assets on average.

Cited in: Glossary: Pass-through fee

PCAF (2022) · The Global GHG Accounting and Reporting Standard Part A: Financed Emissions. Second Edition

Partnership for Carbon Accounting Financials. PCAF, December 2022; accessed October 25, 2026. Source

Standard for financed emissions: for listed equity and corporate bonds, the amount invested is divided by enterprise value including cash (EVIC) and multiplied by the company's emissions.

Cited in: ESG methodology: sustainability in the look-through

Pástor and Stambaugh (2003) · Liquidity Risk and Expected Stock Returns

Pástor, Ľuboš; Stambaugh, Robert F.. Journal of Political Economy 111 (3), pp. 642–685. doi:10.1086/374184

Market-wide liquidity is a priced risk factor: stocks with high sensitivity to liquidity fluctuations earned 7.5% per year more in 1966–1999, and a liquidity factor explains half of momentum profits.

Cited in: Liquidity risk: measuring market liquidity, liquidity premiums and the tools of open-ended funds · Momentum crashes: why momentum collapses rarely but violently, and what volatility scaling and crowding measures show

Pástor et al. (2021) · Sustainable investing in equilibrium

Pástor, Ľuboš; Stambaugh, Robert F.; Taylor, Lucian A.. Journal of Financial Economics 142 (2), pp. 550–571. doi:10.1016/j.jfineco.2020.12.011

Equilibrium model: green assets have lower expected returns but perform better when the taste for sustainability rises unexpectedly.

Cited in: ESG ETFs: index rules, ratings, returns and the limits of sustainable funds

Pástor et al. (2022) · Dissecting green returns

Pástor, Ľuboš; Stambaugh, Robert F.; Taylor, Lucian A.. Journal of Financial Economics 146 (2), pp. 403–424. doi:10.1016/j.jfineco.2022.07.007

The high returns of green stocks and bonds in recent years reflect unexpectedly heightened climate concerns, not higher expected returns.

Cited in: ESG ETFs: index rules, ratings, returns and the limits of sustainable funds · Glossary: Greenium

Patel and Welch (2017) · Extended Stock Returns in Response to S&P 500 Index Changes

Patel, Nimesh; Welch, Ivo. The Review of Asset Pricing Studies 7 (2), pp. 172–208. doi:10.1093/rapstu/rax012

Examines longer return windows after S&P 500 changes from 1979 to 2015; since the 2000s the effects have reversed, and permanent shifts in demand no longer occur.

Cited in: Smart indexing: added value for index funds around corporate actions and index changes

Patell (1976) · Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test

Patell, James M.. Journal of Accounting Research 14 (2), pp. 246–276. doi:10.2307/2490543

Examines 336 published earnings forecasts from 1963 to 1967 using standardized abnormal returns (Patell test).

Cited in: Event studies: how to measure and test price reactions to events

Pawar and Vedantam (2024) · Fixed income ETFs: when market structure affects pricing

Pawar, Varun; Vedantam, Satish. ICE, February 2024; accessed October 25, 2026. Source

On days when the US bond market closes early, index prices rolled forward to 16:00 reduce the tracking error relative to bond ETFs whose net asset value is struck at 16:00.

Cited in: Index providers and valuation points: why the same index is calculated differently

Pearson (1901) · On lines and planes of closest fit to systems of points in space

Pearson, Karl. The London, Edinburgh, and Dublin Philosophical Magazine and Journal of Science 2 (11), pp. 559–572. doi:10.1080/14786440109462720

The origin of principal component analysis: lines and planes that best describe a cloud of points.

Cited in: Asset analysis: methodology from correlation to cointegration · Glossary: Eigenvalue

Pedersen et al. (2021) · Responsible investing: The ESG-efficient frontier

Pedersen, Lasse Heje; Fitzgibbons, Shaun; Pomorski, Lukasz. Journal of Financial Economics 142 (2), pp. 572–597. doi:10.1016/j.jfineco.2020.11.001

ESG-efficient frontier: the highest attainable Sharpe ratio for each ESG level; depending on the role of ESG data, ESG lowers or raises the required return.

Cited in: ESG ETFs: index rules, ratings, returns and the limits of sustainable funds

PLSA (2023) · Cashflow Driven Investment Made Simple

Pensions and Lifetime Savings Association. Pensions and Lifetime Savings Association, London, September 2023; accessed October 25, 2026. Source

The UK pensions association's guide to CDI: buy-and-maintain credit as the core, LDI as the foundation and liquidity reserve, and risks such as default, reinvestment and liquidity.

Cited in: Liability-driven investing and cash flow driven investing: covering liabilities with bonds · Glossary: Cash flow driven investing · Glossary: Buy and maintain

Perold and Schulman (1988) · The Free Lunch in Currency Hedging: Implications for Investment Policy and Peformance Standards

Perold, Andre F.; Schulman, Evan C.. Financial Analysts Journal 44 (3), pp. 45–50. doi:10.2469/faj.v44.n3.45

Argues that hedging the foreign currency exposure of an equity portfolio reduces risk without costing expected return.

Cited in: Currency risk: how exchange rates change your return · Overlay management with futures: beta, duration and currency overlays, contract numbers and liquidity needs · Glossary: Currency hedging

Perold and Sharpe (1988) · Dynamic Strategies for Asset Allocation

Perold, Andre F.; Sharpe, William F.. Financial Analysts Journal 44 (1), pp. 16–27. doi:10.2469/faj.v44.n1.16

Compares buy and hold, constant mix and portfolio insurance: rebalancing wins in volatile markets and loses in trending ones.

Cited in: 60/40 portfolio: the classic mix of equities and bonds · Rebalancing: getting your portfolio back on course · CPPI: portfolio insurance with cushion, floor and multiplier · Equal weight vs cap weight: weighting, rebalancing and factor tilts · Backtest methodology: data, process, rebalancing and costs · CPPI backtest: methodology · Glossary: Calendar rebalancing · Glossary: Constant mix · Glossary: Buy and hold · Glossary: Convex strategy

Perold (1988) · The implementation shortfall: Paper versus reality

Perold, André F.. The Journal of Portfolio Management 14 (3), pp. 4–9. doi:10.3905/jpm.1988.409150

Measures the cost of implementation as the gap between a paper portfolio that trades at decision prices without costs and the portfolio actually implemented.

Cited in: Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC · Glossary: Implementation shortfall

Petajisto (2011) · The index premium and its hidden cost for index funds

Petajisto, Antti. Journal of Empirical Finance 18 (2), pp. 271–288. doi:10.1016/j.jempfin.2010.10.002

Measures the index premium for the S&P 500 and Russell 2000 from 1990 to 2005 and estimates the hidden turnover costs it imposes on index funds and indices.

Cited in: Smart indexing: added value for index funds around corporate actions and index changes · The index effect: what happens to prices when stocks join or leave an index

Petajisto (2017) · Inefficiencies in the Pricing of Exchange-Traded Funds

Petajisto, Antti. Financial Analysts Journal 73 (1), pp. 24–54. doi:10.2469/faj.v73.n1.7

ETF market prices deviate markedly from NAV despite arbitrage, especially for foreign equities and illiquid securities; part of the gap stems from stale prices of the holdings.

Cited in: Index providers and valuation points: why the same index is calculated differently · Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC

Pfau and Kitces (2013) · Reducing Retirement Risk with a Rising Equity Glide-Path

Pfau, Wade D.; Kitces, Michael E.. SSRN. doi:10.2139/ssrn.2324930

A rising equity share in retirement (reverse glide path) can reduce the risk of running out of money early.

Cited in: Safe withdrawal rate: how good is the 4% rule? · Equity allocation by age: rules of thumb, glide paths and what theory says · FIRE (Financial Independence, Retire Early): Lean, Fat, Coast and Barista FIRE · Sequence risk: when the order of returns decides your retirement · Financial goals methodology: how Portfolio Lab simulates a life plan

Phalippou and Gottschalg (2009) · The Performance of Private Equity Funds

Phalippou, Ludovic; Gottschalg, Oliver. Review of Financial Studies 22 (4), pp. 1747–1776. doi:10.1093/rfs/hhn014

Shows that reported private equity returns are overstated: after fees, they are on average 3% a year below the S&P 500, or 6% on a risk-adjusted basis, with fees of about 6% a year.

Cited in: Private equity explained: strategies, fund structure, fees and what research shows about returns · Measuring private markets: J-curve, cash flows, smoothing and public proxies

Phalippou (2009) · Beware of Venturing into Private Equity

Phalippou, Ludovic. Journal of Economic Perspectives 23 (1), pp. 147–166. doi:10.1257/jep.23.1.147

Describes the fee contracts of private equity funds: returns above the stock market before fees and below it after fees, with opaque contracts.

Cited in: Private equity explained: strategies, fund structure, fees and what research shows about returns

Phalippou (2014) · Performance of Buyout Funds Revisited?

Phalippou, Ludovic. Review of Finance 18 (1), pp. 189–218. doi:10.1093/rof/rft002

Buyout funds beat the S&P 500 but invest mainly in small value companies; against a levered small-value benchmark they trail by 3.1% a year.

Cited in: Buyout funds and management buyouts: how LBOs, MBOs and MBIs work · Private equity explained: strategies, fund structure, fees and what research shows about returns · Measuring private markets: J-curve, cash flows, smoothing and public proxies · Glossary: Public proxy

Phalippou (2020) · An Inconvenient Fact: Private Equity Returns and the Billionaire Factory

Phalippou, Ludovic. The Journal of Investing 30 (1), pp. 11–39. doi:10.3905/joi.2020.1.153

Since about 2006, private equity funds have earned roughly the return of stock indices (net about 1.55 to 1.63 times the capital invested), while carried interest of an estimated $230 billion accrued.

Cited in: Private equity explained: strategies, fund structure, fees and what research shows about returns

Phillips, Wu and Yu (2011) · Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?

Phillips, Peter C. B.; Wu, Yangru; Yu, Jun. International Economic Review 52 (1), pp. 201–226. doi:10.1111/j.1468-2354.2010.00625.x

Recursive right-tailed unit root test for explosive prices; dates the start of exuberance in the Nasdaq to mid-1995.

Cited in: Speculative bubbles: what they are and how the LPPLS model detects them · Glossary: Explosive price behavior

Phillips, Shi and Yu (2015) · Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500

Phillips, Peter C. B.; Shi, Shuping; Yu, Jun. International Economic Review 56 (4), pp. 1043–1078. doi:10.1111/iere.12132

Generalized test with flexible windows (GSADF) that detects and dates multiple bubbles, applied to the S&P 500 from 1871 to 2010.

Cited in: Speculative bubbles: what they are and how the LPPLS model detects them · Glossary: Explosive price behavior

Piazzesi and Swanson (2004) · Futures Prices as Risk-adjusted Forecasts of Monetary Policy

Piazzesi, Monika; Swanson, Eric. National Bureau of Economic Research, Working Paper 10547 (published in 2008 in the Journal of Monetary Economics, 55, 677-691). doi:10.3386/w10547

Excess returns on fed funds futures were positive on average, strongly countercyclical and predictable from employment growth and yield spreads; ignoring this premium means reading a distorted path of monetary policy from the futures.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Glossary: Fed funds futures

Pinter (2023) · An anatomy of the 2022 gilt market crisis

Pinter, Gabor. Bank of England, Staff Working Paper No. 1019, March 31, 2023. Source

Transaction data from the gilt, repo and swap markets: forced sales by LDI investors, rapidly rising trading costs and illiquidity spreading to other investors.

Cited in: Liability-driven investing and cash flow driven investing: covering liabilities with bonds · Overlay management with futures: beta, duration and currency overlays, contract numbers and liquidity needs

Piotroski (2000) · Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers

Piotroski, Joseph D.. Journal of Accounting Research 38 (Supplement), pp. 1–41. doi:10.2307/2672906

A simple score based on nine financial statement signals (F-Score) separates winners from losers among stocks with a high book-to-market ratio, especially among small, little-followed firms.

Cited in: Fundamental analysis: valuing a company like an investor · Glossary: F-score

Plerou et al. (1999) · Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series

Plerou, Vasiliki; Gopikrishnan, Parameswaran; Rosenow, Bernd; Nunes Amaral, Luís A.; Stanley, H. Eugene. Physical Review Letters 83 (7), pp. 1471–1474. doi:10.1103/PhysRevLett.83.1471

Correlation matrix of price changes of the 1,000 largest US stocks 1994–1995: most eigenvalues follow random matrix theory, and only a few of the largest deviate from it.

Cited in: Beyond Markowitz: estimation error, noise and true diversification · Glossary: Random matrix theory

Plyakha et al. (2014) · Equal or Value Weighting? Implications for Asset-Pricing Tests

Plyakha, Yuliya; Uppal, Raman; Vilkov, Grigory. EDHEC, working paper, July 2014; published in 2021 as a chapter in Risk, Systems and Decisions (Springer), pp. 295-347. Source

With monthly rebalancing, equal weighting beats value weighting in return, four-factor alpha and Sharpe ratio; 42% of the outperformance comes from the alpha of rebalancing.

Cited in: Equal weight vs cap weight: weighting, rebalancing and factor tilts

Bridgewater (2012) · The All Weather Story

Podolsky, Paul; Johnson, Ryan; Jennings, Owen. Bridgewater Associates. Source

The origins of the All Weather strategy (launched in 1996): equal risk across four economic scenarios defined by growth and inflation, using leverage and inflation-linked bonds.

Cited in: All Weather portfolio: ready for every economic climate? · Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Politis and Romano (1994) · The Stationary Bootstrap

Politis, Dimitris N.; Romano, Joseph P.. Journal of the American Statistical Association 89 (428), pp. 1303–1313. doi:10.1080/01621459.1994.10476870

The stationary bootstrap with random block lengths; it preserves the dependence in time series and is itself stationary.

Cited in: Monte Carlo simulation: how safe is your plan? · Bootstrap: future scenarios from your own history · Monte Carlo methodology: how Portfolio Lab simulates wealth paths · Glossary: Stationary bootstrap

Poterba (1984) · Tax Subsidies to Owner-Occupied Housing: An Asset-Market Approach

Poterba, James M.. The Quarterly Journal of Economics 99 (4), pp. 729. doi:10.2307/1883123

Asset-market model of user cost: in the US tax system, inflation lowered the cost of ownership and could explain up to 30% of the real rise in house prices in the 1970s.

Cited in: Glossary: User cost of housing

Pratt (1964) · Risk Aversion in the Small and in the Large

Pratt, John W.. Econometrica 32 (1/2), pp. 122–136. doi:10.2307/1913738

Introduces the measure of absolute risk aversion −u″(w) / u′(w) and shows how it determines risk premiums for small and large risks.

Cited in: Glossary: Absolute risk aversion

ProShares (2026) · ProShares Short VIX Short-Term Futures ETF (SVXY): fund page with investment objective

ProShares. ProShare Advisors; accessed October 26, 2026. Source

Investment objective of −0.5 times the daily return of an index of short-term VIX futures; until the close of trading on February 27, 2018, the objective was −1 times.

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

Proskauer Rose (2022) · hiQ and LinkedIn Reach Proposed Settlement in Landmark Scraping Case

Proskauer Rose LLP. New Media and Technology Law Blog, December 8, 2022; accessed October 25, 2026. Source

The end of the hiQ v. LinkedIn case: scraping public data probably does not fall under the US anti-hacking law, the CFAA, but it breached the terms of use; the case was settled with a payment and an injunction.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Web scraping