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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
Rotando & Thorp (1992)The Kelly Criterion and the Stock Market
American Mathematical Monthly
Risk and position sizingPaywalledModerate0
Fama (1991)Efficient Capital Markets: II
Journal of Finance
Market efficiencyPaywalledModerate0
Hasbrouck (1991)Measuring the Information Content of Stock Trades
Journal of Finance
Market microstructurePaywalledTechnical0
Jegadeesh (1990)Evidence of Predictable Behavior of Security Returns
Journal of Finance
Mean reversion and overreactionPaywalledModerate0
Lo & MacKinlay (1990)When Are Contrarian Profits Due to Stock Market Overreaction?
Review of Financial Studies
Mean reversion and overreactionFreeTechnical0
Thaler & Johnson (1990)Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice
Management Science
Behavioral financePaywalledEasy read0
Lehmann (1990)Fads, Martingales, and Market Efficiency
Quarterly Journal of Economics
Mean reversion and overreactionPaywalledTechnical0
Schwert (1989)Why Does Stock Market Volatility Change Over Time?
Journal of Finance
VolatilityPaywalledModerate0
Fama & French (1988)Permanent and Temporary Components of Stock Prices
Journal of Political Economy
Mean reversion and overreactionPaywalledTechnical0
Poterba & Summers (1988)Mean Reversion in Stock Prices: Evidence and Implications
Journal of Financial Economics
Mean reversion and overreactionFreeTechnical0
Lo & MacKinlay (1988)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
Review of Financial Studies
Mean reversion and overreactionFreeTechnical0
Bollerslev (1986)Generalized Autoregressive Conditional Heteroskedasticity
Journal of Econometrics
VolatilityPaywalledTechnical0
Kyle (1985)Continuous Auctions and Insider Trading
Econometrica
Market microstructurePaywalledTechnical0
Shefrin & Statman (1985)The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence
Journal of Finance
Behavioral financePaywalledModerate0
Glosten & Milgrom (1985)Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders
Journal of Financial Economics
Market microstructurePaywalledTechnical0
Gilovich et al. (1985)The Hot Hand in Basketball: On the Misperception of Random Sequences
Cognitive Psychology
Behavioral financePaywalledEasy read0
Bondt & Thaler (1985)Does the Stock Market Overreact?
Journal of Finance
Mean reversion and overreactionPaywalledEasy read0
Fama (1984)Forward and Spot Exchange Rates
Journal of Monetary Economics
Forex and carryPaywalledTechnical0
Roll (1984)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market
Journal of Finance
Market microstructurePaywalledModerate0
Meese & Rogoff (1983)Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?
Journal of International Economics
Forex and carryPaywalledModerate0
Engle (1982)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Econometrica
VolatilityPaywalledTechnical0
Shiller (1981)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?
American Economic Review
Market efficiencyFreeTechnical0
Banz (1981)The Relationship Between Return and Market Value of Common Stocks
Journal of Financial Economics
Factors and anomaliesPaywalledModerate0
Grossman & Stiglitz (1980)On the Impossibility of Informationally Efficient Markets
American Economic Review
Market efficiencyPaywalledTechnical0
Kahneman & Tversky (1979)Prospect Theory: An Analysis of Decision under Risk
Econometrica
Behavioral financePaywalledModerate0
Tversky & Kahneman (1974)Judgment under Uncertainty: Heuristics and Biases
Science
Behavioral financePaywalledEasy read0
Merton (1973)Theory of Rational Option Pricing
Bell Journal of Economics and Management Science
OptionsPaywalledTechnical0
Black & Scholes (1973)The Pricing of Options and Corporate Liabilities
Journal of Political Economy
OptionsPaywalledTechnical0
Samuelson (1971)The 'Fallacy' of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling
Proceedings of the National Academy of Sciences
Risk and position sizingFreeTechnical0
Fama (1970)Efficient Capital Markets: A Review of Theory and Empirical Work
Journal of Finance
Market efficiencyPaywalledModerate0