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Data Set

Betting Against Beta: Equity Factors, Daily

This data set is an updated and extended version of the original data set for “Betting Against Beta” (Frazzini and Pedersen, 2014). We provide daily long/short BAB equity factors for U.S. equities and 23 international equity markets.

Data Set

Quality Minus Junk: Six Portfolios Formed on Size and Quality, Monthly

We have updated data for the paper “Quality Minus Junk” (Asness, Frazzini and Pedersen, 2014). We provide 10 quality-sorted, long-only portfolios for a U.S. long sample (starting 1956) and a global broad sample (starting 1986), and update them monthly.

Data Set

Betting Against Beta: Equity Factors Data, Monthly

This data set is an updated and extended version of the original data set for “Betting Against Beta” (Frazzini and Pedersen, 2014). We provide daily long/short BAB equity factors for U.S. equities and 23 international equity markets.

Journal Article

Investing in the Asset-Growth Anomaly Across the Globe

Several studies have show that slow-growing companies return more to stock-market investors than fast-growing companies, based on the growth in the book value of companies’ assets.

Journal Article

Why Are Earnings Kinky? An Examination of the Earnings Management Explanation

An empirical regularity documented by Hayn (1995) is that there is a ‘‘kink’’ in the earnings distribution: too few firms report small losses and too many firms report small profits.

Working Paper

Time-Varying Leverage Demand and Predictability of Betting-Against-Beta

We test the predictability of betting-against-beta (BAB) strategies and find that they perform better when past market returns have been high.

Working Paper

Earnings Quality and Financial Reporting Credibility: An Empirical Investigation

Firms with extremely high accruals experience subsequent reductions in earnings and are more likely to be subject to SEC enforcement actions. Do analysts anticipate the earnings reductions in their forecasts? We investigate here.

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

Betting Against Correlation: Testing Theories of the Low-Risk Effect

What drives the low-risk effect? We test whether it's driven by leverage constraints (and thus risk should be measured using beta) or behavioral effects (and thus risk should be measured by idiosyncratic risk).

White Paper

Are Defensive Stocks Expensive? A Closer Look at Value Spreads

Investors have been concerned about the rich valuation of defensive stocks and how that may crimp returns. Using value spreads, we analyze the relative prices of defensive stocks and discuss the difficulties in predicting style returns.