December 18, 2018
20 for Twenty commemorates AQR’s anniversary with a collection of 20 papers that have formed the backbone of our investment philosophy.
February 22, 2017
April 2, 2015
Lasse H. Pedersen demystifies the secret world of active investing by exploring hedge funds' key trading strategies. This book unites research with real-world examples and interviews to reveal how hedge fund strategies work.
September 30, 2013
While the interest rate has been regarded as the single key feature of a loan, we argue that leverage is a more important measure of systemic risk. We discuss how leverage can be monitored, and highlight the benefits of doing so.
January 1, 2013
Many argue that financial regulation should focus on limiting systemic risk. This chapter examines one proposed regulatory idea: that each institution must face a "surcharge" based on the extent to which it is likely to contribute to systemic risk.
Market Risk and Efficiency
November 1, 2012
This book demonstrates the important role of liquidity in asset pricing. The analysis shows that higher illiquidity and greater liquidity risk reduce securities prices and raise the expected return that investors require as compensation.
May 1, 2012
This chapter touches on major themes in financial reporting quality. Many of the techniques described here are used by analysts to make security recommendations and by asset managers in making portfolio allocation decisions.
January 5, 2012
Expected returns are arguably the most important input into investment decisions. By broadening the traditional paradigm of expected return estimation, we think investors have the ability achive better-diversified portfolios and more forward-looking analysis.
January 1, 2012
Tobias Moskowitz teams up with Sports Illustrated writer L. Jon Wertheim, to overturn some of the most cherished truisms of sports. They reveal the hidden forces that shape how basketball, baseball, football, and hockey games are played, won and lost.
November 29, 2011
How does one regulate systemic risk in the financial sector? We propose charging each financial firm a tax based on its expected loss during a systemic crisis.