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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

A New Core Equity Paradigm

Combining successful investing styles to magnify their effects represents a new paradigm in active equity-portfolio management. Core Equities integrates value, momentum and profitability styles to offer a more persistent, systematic approach.

Working Paper

Decision-Making Under the Gambler's Fallacy

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.

White Paper

Explanations for the Momentum Premium

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

Trading Costs of Asset Pricing Anomalies

We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.

Working Paper

Trading Costs

Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.

Journal Article

Size Matters, If You Control Your Junk

When it comes to equity investing, size matters—and in a bigger way than once thought—but only when controlling for junk. We examine seven challenges that have been hurled at the size effect and dismantle each one by controlling for a firm's quality.

Working Paper

Implementing Momentum: What Have We Learned?

We use seven years of live data to evaluate the implementability of momentum investing.

Working Paper

The Political Economy of Financial Regulation: Evidence from U.S. State Usury Laws in the 19th Century

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.