AQR White Papers 

AQR white papers provide insights and education on a wide range of important investment topics. Below is a sample of our recent papers.

If you would like to request copies of any of the white papers below, please click here and complete the request form.

Building a Better Core Equity Portfolio
Ronen Israel and Daniel Villalon. May 2013.

Demystifying Managed Futures
Brian Hurst, Yao Hua Ooi, and Lasse H. Pedersen. February 2013.

A Century of Evidence on Trend-Following Investing
Brian Hurst, Yao Hua Ooi, and Lasse H. Pedersen. Fall 2012.

Understanding Defensive Equity
Andrea Frazzini, Ph.D., Jacques Friedman, and Hoon Kim, Ph.D. Summer 2012.

Building a Better Commodities Portfolio
Bradley Kay, Ari Levine, Yao Hua Ooi, and Lasse H. Pedersen. Summer 2012.

Is Alpha Just Beta Waiting To Be Discovered?
Brian Crowell, CFA, Ronen Israel, David G. Kabiller, CFA, and Adam Berger, CFA. Summer 2012.

Building a Better Alternatives Portfolio: The AQR Multi-Strategy Approach
Adam Berger, Ronen Israel, and Mark McLennan. Fall 2011.

Chasing Your Own Tail (Risk): Five Alternatives to the High Cost of Tail-Hedging
Adam Berger, Lars Nielsen, and Daniel Villalon. Summer 2011.

Understanding Risk Parity
Brian Hurst, Bryan Johnson, and Yao Hua Ooi. Winter 2010.

 


 

AQR Research Papers


AQR has an extensive collection of internally-generated and frequently-cited investment research. With more than a dozen Ph.D.s on staff from some of the world’s most highly respected academic institutions including Harvard, MIT, Stanford and the University of Chicago, the AQR research team has won numerous distinguished awards.

 

Our internal library contains insightful papers covering a wide range of topics, such as value and momentum investment strategies, liquidity risk, asset allocation, the equity premium puzzle, corporate finance and accounting. Our unique research approach, which blends perceptive academic rigor with practical real-world implementation, enables us to provide innovative solutions for investors. In fact, some of our research papers have profoundly impacted the entire investment management industry.

 

If you would like to request copies of any of the research papers below, please click here and complete the request form.

 

 

Recent AQR Papers

Aghassi, Michele, Cliff Asness, Oktay Kurbanov, and Lars N. Nielsen. Avoiding Unintended Country Bets in Global Equity Portfolios, 2011.

Asness, Clifford S., Momentum in Japan: The Exception that Proves the Rule, March 3, 2011. The Journal of Portfolio Management, Forthcoming.

Asness, Clifford S., Andrea Frazzini, and Lasse H. Pedersen. Leverage Aversion and Risk Parity, 2011.

 

Asness, Clifford S., Roni Israelov, and John Liew. International Diversification Works (Eventually), Financial Analysts Journal. May/June 2011. Winner of 2011 Graham and Dodd award for Best Article.

 

Asness, Clifford S., Tobias Moskowitz, and Lasse H. Pedersen, Value and Momentum Everywhere, 2009.

 

Frazzini, Andrea, and Lasse H. Pedersen. Betting Against Beta, 2010.

 

Israel, Ronen, and Tobias J. Moskowitz. How Tax Efficient Are Equity Styles?, 2011.

 

Israel, Ronen, and Tobias J. Moskowitz. The Role of Shorting, Firm Size, and Time on Market Anomalies, 2011.

 

Israelov, Roni, and Michael Katz. To Trade or Not to Trade? Informed Trading with Short-Term Signals for Long-Term Investors, Financial Analyst Journal. September/October 2011.

 

Mitchell, Mark, and Todd Pulvino. Arbitrage Crashes and the Speed of Capital, 2010.

 

Moskowitz, Tobias, Yao Hua Ooi, and Lasse H. Pedersen. Time Series Momentum, 2010.

 

 

All AQR Papers

 

Aghassi, M., D. Bertsimas, and G. Perakis, Solving Asymmetric Variational Inequalities via Convex Optimization, Operations Research Letters, 2005.

Aghassi, M., D. Bertsimas, Robust Game Theory, Mathematical Programming, Series B, Special Issue on Robust Optimization, 2005.

Aghassi, M., D. Bertsimas, and G. Perakis, Robust Transportation Network Design, Working Paper Operations Research Center MIT, 2005.


Aghassi, M.
, Robust Optimization, Game Theory, and Variational Inequalities, Operations Research Center MIT, 2005.


Andrade, Gregor
Do Appearances Matter? The Impact of EPS Accretion and Dilution on Stock Prices, Harvard Business School Working Paper Series, No. 00-007, 1999.


Andrade, Gregor M., Stuart C. Gilson, and Todd C. Pulvino
, Seagate Technology Buyout, Harvard Business School Case 201-063.


Andrade, Gregor, and Steven Kaplan
How Costly is Financial (Not Economic) Distress? Evidence from Highly Leveraged Transactions That Became Distressed, Journal of Finance (October 1998), Smith-Breeden First Prize Award, 1998. 


Andrade, Gregor, Mark Mitchell and Erik Stafford
, New Evidence and Perspectives on Mergers, Journal of Economic Perspectives, 2001.


Andrade, Gregor, and Erik Stafford
, Investigating the Economic Role of Mergers, Harvard Business School Working Paper Series, No. 00-006, 1999.


Andrade, Gregor M., and Peter Tufano
Free Cash Flow Valuation Methods: Weighted Average Cost of Capital (WACC) and Adjusted Present Value (APV), Harvard Business School Case 201-094.


Arnott, Robert D. and Cliff Asness
Surprise!  Higher Dividends = Higher Earnings Growth, Financial Analysts Journal, 2003, AIMR Graham and Dodd Award.


Asness, Cliff
, Changing Equity Risk Premia and Changing Betas over the Business Cycle and January, University of Chicago, 1992.


Asness, Cliff
, Negative Expected Equity Returns and the Business Cycle, University of Chicago, 1992.


Asness, Cliff
, The Term Structure of Expected Equity Returns and the Business Cycle, University of Chicago, 1992.


Asness, Cliff
OAS Models, Expected Returns, and a Steep Yield CurveJournal of Portfolio Management, 1993.


Asness, Cliff
, Fundamental Differences Between Agency and Non-Agency Mortgage-backed SecuritiesWhole Loan CMOs, eds. Frank Fabozzi, et al., 1995.


Asness, Cliff
, The Power of Past Stock Returns to Explain Future Stock Returns, Goldman Sachs Asset Management, 1995.


Asness, Cliff
, Global Tactical Asset Allocation, Goldman Sachs Pension and Endowment Forum, 1996.


Asness, Cliff
, One Reason Not to Avoid Market Timing, AQR Capital Management working paper, 1998.


Asness, Cliff
, Why Not 100% Equities, Journal of Portfolio Management, 1996.


Asness, Cliff
, The Interaction Between Value and Momentum Strategies, Financial Analysts Journal, March/April, 1997.


Asness, Cliff
, Market-neutral Investing: Putting the ‘Hedge’ in ‘Hedge Funds, AQR Capital Management working paper, 1998.


Asness, Cliff
, Bubble Logic: Or, How to Learn to Stop Worrying and Love the Bull, AQR Capital Management working paper, 2001.


Asness, Cliff
, Stocks vs. Bonds: Explaining the Equity Risk Premium, Financial Analysts Journal, March/April, AIMR Graham and Dodd Excellence Award, 2000.


Asness, Cliff
, Fight the Fed Model, Journal of Portfolio Management, 2003.


Asness, Cliff
, An Alternative Future. An Exploration of the Role of Hedge Funds, Journal of Portfolio Management 30th Anniversary Issue, 2004.


Asness, Cliff
, An Alternative Future: Part II.  An Exploration of the Role of Hedge Funds, Journal of Portfolio Management, 2004.


Asness, Cliff
, Stock Options and the Lying Liars Who Don’t Want to Expense Them, Financial Analysts Journal, 2004.


Asness, Cliff
, Rubble Logic: What Did We Learn from the Great Stock Market Bubble?, Financial Analysts Journal, 2005.


Asness, Cliff, and Jonathon Beinner
, Forward rates and CMO portfolio management, CMO Portfolio Management, ed. Frank Fabozzi, 1994.


Asness, Cliff, Jacques Friedman, Robert Krail and John Liew
, Style Timing: Value vs. Growth, Journal of Portfolio Management, 2000.


Asness, Cliff, Robert Krail and John Liew
, Do Hedge Funds Hedge?, Journal of Portfolio Management, 2001, Bernstein Fabozzi/Jacobs Levy Award which is the best paper award from The Journal of Portfolio Management.


Asness, Cliff, John Liew and Ross Stevens
, Parallels Between the Cross-sectional Predictability of Stock and Country Returns, Journal of Portfolio Management, 1997.


Asness, Cliff, R. Burt Porter and Ross Stevens
, Predicting Stock Returns Using Industry-Relative Firm Characteristics, On Review with the Journal of Finance, 2000.


Asness, Cliff, and Michael Smirlock
, Valuation of PAC bonds without complex models, CMO Portfolio Management, ed. Frank Fabozzi, 1994.


Asness, Cliff, Tobias Moskowitz and Lasse Pedersen
, Value and Momentum Everywhere, AQR Capital Management working paper, 2008.  


Berger, Adam
, Loosening the Long-Only Leash: Relaxed Constraints Offer a Practical Alternative to Portable Alpha, AQR Capital Management working paper, 2008.


Berger, Adam and Kurt Winkelman
, Public and Private Real Estate: Yesterday, Today and Tomorrow, Goldman Sachs Asset Management, 2005.


Carhart, Mark, Robert Krail, Ross Stevens and Kelly Welch
, Testing the Conditional CAPM, University of Chicago, 1996.


Corrigan, Gerald, and David Kabiller
, Derivatives: Improved Asset Management or Risk Creation?, Goldman Sachs Pension and Endowment Forum, 1994.


Diamonte, Robin, John Liew and Ross Stevens
, Political Risk in Emerging and Developed Markets, Financial Analysts Journal, 1996.


Ehrlich, Alex, David Kabiller, Ken Miller, Kaysie Uniacke
, Securities Lending: Minimizing Risk, Maximizing Return, Goldman Sachs Pension & Endowment Forum, 1996.


Frazzini, Andrea
, The Disposition Effect and Under-Reaction to News, Journal of Finance, 2006. Winner of First Prize, Chicago Quantitative Alliance Academic Paper Competition 2004, Winner of First Prize, PanAgora Asset Management Crowell Memorial Prize Competition, 2004-5.


Frazzini, Andrea, and Owen Lamont
, Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns, Journal of Financial Economics, 2006.


Frazzini, Andrea, and Lauren Cohen
, Economic Links and Predictable Returns, Journal of Finance, 2008. Smith Breeden Distinguished paper prize 2008, Winner of First Prize, Chicago Quantitative Alliance Academic Paper Competition, 2006.


Frazzini, Andrea, and Owen Lamont
, The Earnings Announcement Premium and Trading Volume, NBER Working paper w13090, 2006.  


Frazzini, Andrea, Lauren Cohen and Christopher Malloy
, The Small World of Investing: Board Connections and Mutual Fund Returns, Journal of Political Economy, 2006. Winner of Barclays Global Investors Award, Best Paper in Asset Pricing, European Finance Association, 2007.


Frazzini, Andrea, Lauren Cohen and Christopher Malloy
, Sell Side School Ties, NBER Working Paper No. 13973, 2008.


Frazzini, Andrea, Lauren Cohen and Christopher Malloy
, Hiring Cheerleaders: Board Appointments of "Independent" Directors, NBER Working Paper No. 14232, 2008. 


Gamboa-Cavazos, Mario, and Pavel G. Savor
, Holding on to Your Shorts: When do Short Sellers Retreat, Harvard University working paper, 2005.  


Greenwood, Robin M., Nathan Sosner
, Trading Patterns and Excess Comovement of Stock Returns, Financial Analysts Journal, 2007. 


Hamada, Takehiro, and John Liew
, An Anomaly in the Topix-Nikkei Spread, AQR Capital Management working paper, 2000.


Israelov, Roni
, Future Liquidity, Present Value: Measuring and Pricing Liquidity Risk, Carnegie Mellon University working paper, 2007. 


Israelov, Roni
, Surprise! It's Illiquid: The January 2006 Tokyo Stock Exchange Shutdown, Carnegie Mellon University working paper, 2007. 


Israelov, Roni
, Penalized Method of Moments and Empirical Likelihood: Negative Weights and Shrinkage, Carnegie Mellon University working paper, 2007.  


Jones, Bob, David Kabiller and Larry Kohn
, Enhanced Indexation, Goldman Sachs Pension and Endowment Forum, 1995.


Kabiller, David, John O’Hara, Jacob Rosengarten and Blaine Tomlinson
, Hedge Funds Demystified: Their Potential Role in Institutional Portfolios, Goldman Sachs Pension & Endowment Forum, 1998 .


Kaplan, Steven, Mark Mitchell and Karen Wruck
, A Clinical Exploration of Value Creation and Destruction in Acquisitions: Organizational Design, Incentives, and Internal Capital Markets, Mergers and Productivity, (National Bureau of Economic Research), 2000.


Katz, Michael
R&D Expenditures and Firm Size: The Importance of Firm Level Heterogeneity, Harvard University, 2006.    


Katz, Michael
, A Drug for Cancer of a Drug for Depression? R&D Effort in a Multi-Market Setting, Harvard University, 2007.   


Katz, Michael
, Estimating Supermarket Choice Using Moment Inequalities, Harvard University, 2007.  


Katz, Michael
, Zoning Laws and Consumer Choice in the Supermarket Industry, Harvard University and USDA ERS Working Paper, 2007. 


Kim, Hoon
, Dynamic Relation Between Stock Returns and Key Financial Ratios: A Variance Decomposition Approach, Carnegie Mellon University, 2001.


Krail, Robert
, Bivariate GARCH Hedging, University of Chicago, 1992.


Krail, Robert
, Global Momentum Strategies, University of Chicago working paper, 1996.


Liew, John
, Stock Returns, Inflation, and Real Money Supply: Evidence from Emerging Markets, University of Chicago, 1993.


Liew, John
, Stock Returns and the Real Money Supply, University of Chicago, 1994.


Liew, John
, Global Return Variation, University of Chicago, 1995.


Macey, Jonathan, Geoffrey Miller, Mark Mitchell and Jeffry Netter
, Lessons From Financial Economics: Materiality, Reliance, and Extending the Reach of Basic v. Levinson, Virginia Law Review, 1991.


Macey, Jonathan, Mark Mitchell and Jeffry Netter
, Restrictions on Short Selling: An Economic and Legal Analysis of the Uptick Rule and Its Role in the 1987 Stock Market Crash, Cornell Law Review, 1989.


Maloney, Michael, Mark Mitchell and Robert McCormick
, Managerial Decision Making and Capital Structure, Journal of Business, 1993.


Meulbroek, Lisa, Mark Mitchell, Harold Mulherin, Jeffry Netter and Annette Poulsen
, Shark Repellents and Managerial Myopia: An Empirical Test, Journal of Political Economy, 1990.


Mitchell, Mark
, The Value of Corporate Takeovers, Financial Analysts Journal, 1991, Graham and Dodd Scroll Award, 1991.


Mitchell, Mark and Kenneth Lehn
, Do Bad Bidders Become Good Targets?, Journal of Political Economy,1990, Roger F. Murray Award, First Prize, 1989.


Mitchell, Mark and Michael Maloney
, Crisis in the Cockpit? The Role of Market Forces in Promoting Air Travel Safety, Journal of Law and Economics, 1989.


Mitchell, Mark and Harold Mulherin
, The Stock Price Response to Pension Terminations and the Relation of Terminations with Corporate Takeovers, Financial Management, 1989.


Mitchell, Mark and Harold Mulherin
, The Impact of Public Information on the Stock Market, Journal of Finance,1994.


Mitchell, Mark and Harold Mulherin
, The Impact of Industry Shocks on Takeover and Restructuring Activity, Journal of Financial Economics,1996.


Mitchell, Mark and Jeffry Netter
, Stock Repurchases and Insider Transactions in the Wake of the October 1987 Stock Market CrashFinancial Management,1989.


Mitchell, Mark and Jeffry Netter
, Triggering the 1987 Stock Market Crash: Antitakeover Provisions in the House Ways and Means Tax Bill?, Journal of Financial Economics,1989.


Mitchell, Mark, Todd Pulvino and Lasse Pedersen
, Slow Moving Capital, American Economic Review, 2007.


Mitchell, Mark, Todd Pulvino and Erik Stafford
, Limited Arbitrage in Equity Markets, Journal of Finance, 2002, Smith-Breeden Award, First Prize, 2002.


Mitchell, Mark, Todd Pulvino and Erik Stafford
, Price Pressure Around Mergers, Journal of Finance, 2004.


Mitchell, Mark and Erik Stafford
, Managerial Decisions and Long-Term Stock-Price Performance, Journal of Business, 2000, Merton Miller Award, First Prize 2000.


Pedersen, Lasse and Nicolae Garleanu
Dynamic Trading with Predictable Returns and Transactions Costs, working paper, 2008.    


Pedersen, Lasse and Markus Brunnermeier
Market Liquidity and Funding Liquidity, The Review of Financial Studies,22,2201-2238.


Pedersen, Lasse, Nicolae Garleanu and Allen Poteshman
Demand-Based Option Pricing, The Review of Financial Studies, 2006. Geewax, Terker & Company First Prize 2006. 


Pedersen, Lasse, Markus Brunnermeier and Stefan Nagel
Carry Trades and Currency Crashes, NBER Macroeconomics Annual, 23, 313-348. 


Pedersen, Lasse and Nicolae Garleanu
, Liquidity and Risk Management, American Economic Review, 2007.   


Pedersen, Lasse, Darrell Duffie and Nicolae Garleanu
, Valuation in Over-the-Counter Markets, The Review of Financial Studies, 2007.  


Pedersen, Lasse, Yakov Amihud, and Haim Mendelson
, Liquidity and Assets Prices, Foundations and Trends in  Finance, 2005   


Pedersen, Lasse and Viral Acharya
Asset Pricing with Liquidity Risk, Journal of Financial Economics, 2005. Fama/DFA First Prize for best paper in Journal of Financial Economics 2005, NYSE Award for best paper Western Finance Association 2003, Glucksman First Place Award for best research paper, 2002-2003.


Pedersen, Lasse and Markus Brunnermeier
Predatory Trading, Journal of Finance, 2005. Nominated for Smith-Breeden Prize for best paper, Barclays Global Investors Award for best paper at the European Finance Association, 2003. 


Pedersen, Lasse, Darrell Duffie and Nicolae Garleanu
Over-the-Counter Markets, Econometrica, 2005. 


Pedersen, Lasse, Darrell Duffie and Kenneth J. Singleton
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt, Journal of Finance, 2003. Nominated for the Smith-Breeden prize


Pedersen, Lasse, Darrell Duffie and Nicolae Garleanu
Securities Lending, Shorting, and Pricing, Journal of Financial Economics, 2002.


Pulvino, Todd
, Effects of Bankruptcy Court Protection on Asset Sales, Journal of Financial Economics, 1999.


Pulvino, Todd
, Do Asset Fire-Sales Exist?  An Empirical Investigation of Commercial Aircraft Transactions, Journal of Finance, 1998, Smith-Breeden Distinguished Paper Award.


Weston, Fred, Mark Mitchell and Harold Mulherin
, Takeovers, Restructuring and Corporate Governance, Pearson/Prentice Hall, 4th Edition, 2004.


Winkelman, Kurt, Scott McDermott, Adam Berger and Silvia Glaubach
, Liability-Driven Investment Policy: Managing to the True Benchmark, Goldman Sachs Asset Management, 2006.


Winkelman, Kurt, Adam Berger, et al.
, The Future of Defined-Benefit Plans: Using LDI Policy to Adapt to New US Pension Regulation, Goldman Sachs Asset Management, 2006.