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Principal AQR
Capital Management, LLC Two
Greenwich Plaza, 3rd Floor Greenwich, Connecticut 06830 Adjunct
Associate Professor of Finance Leonard N.
Stern School of Business 44 West 4th Street,
9-150 New York, NY
10012 Email: |
Research
My research focuses on Behavioral Finance, Asset Pricing and
Asset Management. It shows stock prices‛ reaction to corporate
news, the dumb
money effect, the earnings
announcement premium, customer
momentum, social networks in mutual
funds, sell
side analysts and board
of directors, the low beta anomaly and betting
against beta, risk
parity portfolios, embedded
leverage in derivatives markets, quality minus junk
factors, trading
costs of asset pricing anomalies and efficient construction of value
portfolios.
The small world of investing:
Quantifying the Role of School Ties in Investing, New York Times.
You can download research data including betting against beta
factors and global factor returns here.
Other
Links
Published
and Forthcoming Papers (Google Scholar)
Low-Risk
Investing Without Industry Bets, Cliff
Asness, Andrea Frazzini, Lasse Heje Pedersen. Financial Analysts Journal, 70(4).
We show that a betting
against beta (BAB) strategy has delivered positive returns both as an
industry-neutral bet within each industry and as a pure bet across industries
The Devil in
HML‛s Details, Cliff Asness and Andrea Frazzini (2013), Journal of Portfolio
Management,
39, 49-68.
Value
portfolios based on a timely measures of book to price earn statistically
significant alphas ranging between 305 and 378 basis point per year against a
5-factor model itself containing the standard measure of value
Bernstein
Fabozzi/Jacobs Levy Awards
Betting
Against Beta, Andrea Frazzini and Lasse Heje Pedersen (2013). Journal of
Financial Economics, 111,
1-25.
A model of
leverage and margin constraints help explain the relation between risk and
return in each of the major asset classes, including why high beta equals low
alpha.
Swiss Finance
Institute Outstanding Paper Award, 2011.
Roger F. Murray Prize,
2011.
Featured in the Financial Times.
Leverage
Aversion and Risk Parity, Cliff
Asness, Andrea Frazzini, and Lasse Heje Pedersen (2012), Financial Analysts Journal, 68(1),
47-59.
A Risk Parity
portfolio that over-weights safer asset classes outperforms the market. RP+BAB:
This across-asset-class evidence complements the within-asset-class evidence on
Betting Against Beta.
Hiring
Cheerleaders: Board Appointments of "Independent"
Directors, Lauren Cohen, Christopher Malloy and Andrea Frazzini (2012) Management Science, 58(6), 1039-1058 Appendix
We look at
sell-side analysts who are subsequently appointed to the boards of companies
they previously covered and find that boards appoint overly optimistic analysts
who are also poor relative performers.
Sell
Side School Ties, Lauren Cohen, Christopher Malloy and Andrea Frazzini (2010), Journal of Finance, 65,
1409-1437
We find that
analysts outperform by up to 6.60% per year on their stock recommendations when
they have an educational link to the company.
Smith Breeden Distinguished
Paper Prize
The
Small World of Investing: Board
Connections and Mutual Fund Returns, Lauren Cohen, Christopher Malloy
and Andrea Frazzini
(2008), Journal of Political Economy, 116, 951-979
We find that
portfolio managers place larger bets on firms when they went to school with
senior managements or a board member and perform significantly better on these
holdings
Global Investors Award, Best Paper in Asset
Pricing
Featured in the New
York Times and the Economist
Economic
Links and Predictable Returns, Lauren Cohen and Andrea Frazzini (2008), Journal of Finance,
63, 1977-2011. Appendix
Stock prices do
not promptly incorporate news about economically related firms, generating
return predictability across asset
Smith Breeden Distinguished Paper Prize
First Prize, Chicago Quantitative Alliance
Academic Paper Competition
BSI Gamma Foundation Grant
Dumb
Money: Mutual Fund Flows and the
Cross-Section of Stock Returns, Andrea Frazzini and Owen
Lamont (2008), Journal of Financial Economics, 88(2), 299-322
We use mutual
fund flows as a measure for individual investor sentiment for different stocks,
and find that high sentiment predicts low future returns at long horizons
DFA Prize for Capital Markets and Asset
Pricing
Featured in Forbes and
the New
York Times
The
Disposition Effect and Under-reaction to
News, Andrea Frazzini
(2006), Journal of Finance, 61(4), 2017-2046
I show that the
disposition effect induces under-reaction to news, leading to return
predictability and post-earnings announcement drift
First Prize, Chicago Quantitative Alliance
Academic Paper Competition
First Prize, PanAgora Asset Management
Crowell Memorial Prize Competition
Quality Minus
Junk, Cliff Asness, Andrea Frazzini, Lasse Heje Pedersen.
We show that a
quality-minus-junk (QMJ) factor that goes long high-quality stocks and shorts
low-quality stocks earns significant risk-adjusted returns.
Trading
Costs of Asset Pricing Anomalies, Andrea
Frazzini, Ronen
Israel and Tobias
Moskowitz
Using nearly a
trillion dollars of live trading data we measure the real-world transactions
costs of size, value, momentum, and short-term reversal strategies.
Buffett‛s Alpha, Andrea
Frazzini, David Kabiller and Lasse
Heje Pedersen.
We estimate
that Berkshires‛ leverage is about 1.6-to-1 on average. Berkshires‛
returns can thus largely be explained by the use of leverage combined with
exposures to Betting-Against-Beta and quality minus junk factors
Featured
in The Economist, Reuters, Video, CBS, Pensions and Investments, Forbes.
Embedded Leverage, Andrea
Frazzini and Lasse Heje Pedersen.
Securities that
embed leverage alleviate investors' leverage constraints and therefore have
lower required returns: Strong evidence from index options, equity options, and
leveraged ETFs.
Featured in Barron‛s
The
Earnings Announcement Premium and
Trading Volume, Andrea Frazzini and Owen Lamont (2006).
NBER Working paper 13090.
On
average, stock prices rise around scheduled earnings announcement dates. We
show that this earnings announcement premium is large, robust, and strongly
related to the fact that volume surges around announcement date
Under Revision,
Journal of Finance
Work
in progress
Too Big to Report, Andrea
Frazzini and Lasse Heje Pedersen.
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