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Working Paper

The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?

Entrepreneurs tend to concentrate investments in private equity. However, research shows that private equity returns are generally no higher than the market return on all publicly traded equity. We delve into explanations for this here.

Working Paper

Acting on the Most Valuable Information: “Best Idea” Trades of Mutual Fund Managers

This paper proposes an ex ante proxy for the ranking of mutual fund trades. We find that the most attractive trades—the “best ideas"—beat the benchmarks by up to about 0.30% per month and outperform other fund trades by even higher margins.

Working Paper

When Is Bargaining Successful? Negotiated Division of Tournament Prizes

High-stakes poker players often negotiate the distribution among a small number of finalists rather than playing through until only one player remains. We find that this setting is ideal for studying bargaining—this paper documents our findings.

Journal Article

A Data Science Solution to the Multiple-Testing Crisis in Financial Research

In this paper, we present a real example of how multiple testing information can be reported. We use that information to estimate the Deflated Sharpe Ratio of an investment strategy.

Book

Global Perspectives on Investment Management: Learning From the Leaders

This book features an array of perspectives from financial industry luminaries to cover topics at the forefront of the global asset management industry, including risk management and ethics.

Journal Article

The Pitfalls of Leveraged and Inverse ETFs

As market volatility reaches historic highs, investors have responded in various ways, including investing in funds that aim to deliver returns that are either a positive or inverse multiple of a stated index.

Journal Article

A Historical Perspective on Time-Varying Expected Returns

Investors naturally think about the expected returns of bonds based on their market yields, thus assuming time-varying expected returns.

Journal Article

When Everyone Runs for the Exit

The severe consequences for the global economy brought about by the 2008 liquidity crisis highlight the importance of liquidity risk.

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.

Interview

Words from the Wise: An Interview with Richard Thaler

Richard Thaler, a founding father of behavioral finance and the 2017 recipient of the Nobel Prize in Economics, discusses his pioneering research, including how our behaviors influence decision making and investing and what to do about it.