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Research library

The papers that actually matter for traders, each with a plain-English summary, what you can use from it, and what it does not prove. Most link to free full texts on SSRN, NBER or arXiv.

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CitationPaperTopicAccessDifficultyScore
Johnson (2017)Risk Premia and the VIX Term Structure
Journal of Financial and Quantitative Analysis
VolatilityFreeTechnical0
McLean & Pontiff (2016)Does Academic Research Destroy Stock Return Predictability?
Journal of Finance
Factors and anomaliesFreeModerate0
Harvey et al. (2016)... and the Cross-Section of Expected Returns
Review of Financial Studies
Factors and anomaliesFreeModerate0
Daniel & Moskowitz (2016)Momentum Crashes
Journal of Financial Economics
Momentum and trendFreeModerate0
Geczy & Samonov (2016)Two Centuries of Price-Return Momentum
Financial Analysts Journal
Momentum and trendFreeModerate0
Novy-Marx & Velikov (2016)A Taxonomy of Anomalies and Their Trading Costs
Review of Financial Studies
Systematic trading and backtestingFreeModerate0
Budish et al. (2015)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
Quarterly Journal of Economics
Market microstructureFreeModerate0
Getmansky et al. (2015)Hedge Funds: A Dynamic Industry in Transition
Annual Review of Financial Economics
Prop and professional tradersFreeModerate0
Israelov & Nielsen (2015)Covered Calls Uncovered
Financial Analysts Journal
OptionsFreeEasy read0
Lucca & Moench (2015)The Pre-FOMC Announcement Drift
Journal of Finance
Macro and the FedFreeModerate0
Harvey & Liu (2015)Backtesting
Journal of Portfolio Management
Systematic trading and backtestingFreeModerate0
Fama & French (2015)A Five-Factor Asset Pricing Model
Journal of Financial Economics
Factors and anomaliesFreeModerate0
Bailey & Prado (2014)The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting, and Non-Normality
Journal of Portfolio Management
Systematic trading and backtestingFreeModerate0
Asness et al. (2014)Fact, Fiction and Momentum Investing
Journal of Portfolio Management
Momentum and trendFreeEasy read0
Frazzini & Pedersen (2014)Betting Against Beta
Journal of Financial Economics
Factors and anomaliesFreeModerate0
Neely et al. (2014)Forecasting the Equity Risk Premium: The Role of Technical Indicators
Management Science
Technical analysisFreeTechnical0
Brogaard et al. (2014)High-Frequency Trading and Price Discovery
Review of Financial Studies
Market microstructureFreeModerate0
Barber et al. (2014)The Cross-Section of Speculator Skill: Evidence from Day Trading
Journal of Financial Markets
Retail trader performanceFreeModerate0
Savor & Wilson (2014)Asset Pricing: A Tale of Two Days
Journal of Financial Economics
Macro and the FedFreeTechnical0
Bondarenko (2014)Why Are Put Options So Expensive?
Quarterly Journal of Finance
OptionsFreeTechnical0
Bailey & Prado (2014)Drawdown-Based Stop-Outs and the 'Triple Penance' Rule
Journal of Risk
Risk and position sizingFreeModerate0
Bailey et al. (2014)Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance
Notices of the American Mathematical Society
Systematic trading and backtestingFreeModerate0
Harvey & Liu (2014)Evaluating Trading Strategies
Journal of Portfolio Management
Systematic trading and backtestingFreeEasy read0
Gorton et al. (2013)The Fundamentals of Commodity Futures Returns
Review of Finance
Futures and commoditiesFreeTechnical0
Savor & Wilson (2013)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
Journal of Financial and Quantitative Analysis
Macro and the FedFreeModerate0
Barber & Odean (2013)The Behavior of Individual Investors
Handbook of the Economics of Finance
Retail trader performanceFreeEasy read0
Novy-Marx (2013)The Other Side of Value: The Gross Profitability Premium
Journal of Financial Economics
Factors and anomaliesFreeModerate0
Asness et al. (2013)Value and Momentum Everywhere
Journal of Finance
Momentum and trendFreeModerate0
Tang & Xiong (2012)Index Investment and the Financialization of Commodities
Financial Analysts Journal
Futures and commoditiesFreeModerate0
Moskowitz et al. (2012)Time Series Momentum
Journal of Financial Economics
Momentum and trendFreeModerate0