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White Paper
The Case for Momentum Investing
Although a powerful investment style, momentum was largely unavailable to many investors. The introduction of the AQR Momentum Indices has been a pivotal development in momentum’s acceptance as an investment strategy.
White Paper
Explanations for the Momentum Premium
June 1, 2010
The momentum premium is well-established in the historical data, but there is little consensus for why it exists. We examine two popular theories, risk and behavioral, for momentum and find both are plausible explanations for the premium to persist
Working Paper
More Banks, Less Crime? The Real and Social Effects of Bank Competition
January 13, 2005
Using a unique sample of commercial loans and mergers between large banks, this paper provides microlevel (within-county) evidence linking credit conditions to economic development and finds a spillover effect on crime.
Working Paper
The Political Economy of Financial Regulation: Evidence from U.S. State Usury Laws in the 19th Century
January 24, 2007
The authors review the development of financial regulation through the lens of U.S. state usury laws in the 19th century. Among other things, they find evidence that lending activity was affected by rate ceilings.
Journal Article
Testing Agency Theory With Entrepreneur Effort and Wealth
March 2, 2005
We apply agency theory to an entrepreneurial setting by augmenting the standard principal-agent framework.We then test the model’s implications using unique data on entrepreneurial effort and wealth in privately held firms. In the model, a risk-averse entrepreneur seeking financing wishes to sell part of his equity stake to outside investors concerned with moral hazard.
Journal Article
An Analysis of Covariance Risk and Pricing Anomalies
January 1, 2003
Much research has focused on the relation between firm characteristics and mean returns, but this article examines the link between well‐known asset pricing “anomalies” and the covariance structure of returns.
Journal Article
The Role of Shorting, Firm Size and Time on Market Anomalies
May 1, 2013
The pervasiveness, robustness and magnitude of return premia associated with size, value and momentum has made them the focal point for discussions of market efficiency, etc.
Journal Article
Carry
November 7, 2013
An asset’s “carry” is its expected return assuming that market conditions, including its price, stay the same. We find that carry predicts returns both in the cross section and time series for a variety of different asset classes.
Journal Article
Time Series Momentum
May 1, 2012
We document an asset pricing anomaly we term “time series momentum,” which is remarkably consistent across very different asset classes and markets.
Working Paper
Decision-Making Under the Gambler's Fallacy
March 11, 2015
Reviewing decisions made by judges, loan officers and umpires in high-stakes contexts, we find them to be most consistent with the "gambler's fallacy"—meaning they were based as much on their own previous decisions as on the facts they were weighing.