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Papers written by AQR Personnel
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- Andrade, Gregor. “Do Appearances Matter? The Impact of EPS Accretion and Dilution on Stock Prices”, Harvard Business School Working Paper Series, No. 00-007, 1999.
- Andrade, Gregor M., Stuart C. Gilson, and Todd C. Pulvino. “Seagate Technology Buyout”, Harvard Business School Case 201-063.
- Andrade, Gregor M., Paul A. Gompers and Jonathan Man. “Ocular”, Harvard Business School Case 202-118.
- Andrade, Gregor, and Steven Kaplan. “How Costly is Financial (Not Economic) Distress? Evidence from Highly Leveraged Transactions That Became Distressed”, Journal of Finance 53 (October 1998).
- Andrade, Gregor, Mark Mitchell and Erik Stafford, 2001, “New Evidence and Perspectives on Mergers”, Journal of Economic Perspectives.
- Andrade, Gregor, and Erik Stafford. “Investigating the Economic Role of Mergers”, Harvard Business School Working Paper Series, No. 00-006, 1999.
- Andrade, Gregor M., and Peter Tufano. “Free Cash Flow Valuation Methods: Weighted Average Cost of Capital (WACC) and Adjusted Present Value (APV).” Harvard Business School Case 201-094.
- Arnott, Robert D. and Cliff Asness. “Surprise! Higher Dividends = Higher Earnings Growth”, Financial Analysts Journal, Jan/Feb 2003, Vol. 59, Number 1, AIMR Graham and Dodd Award, 2003.
- Asness, Cliff, 1992, “Changing Equity Risk Premia and Changing Betas Over the Business Cycle and January”, University of Chicago.
- Asness, Cliff, 1992, “Negative Expected Equity Returns and the Business Cycle”, University of Chicago.
- Asness, Cliff, 1992, “The Term Structure of Expected Equity Returns and the Business Cycle”, University of Chicago.
- Asness, Cliff, 1993, “OAS Models, Expected Returns, and a Steep Yield Curve”, Journal of Portfolio Management, Summer.
- Asness, Cliff, 1995, “Fundamental Differences Between Agency and Non-Agency Mortgage-backed Securities”, Whole Loan CMOs, eds. Frank Fabozzi, Chuck Ramsey and Frank Ramirez.
- Asness, Cliff, 1995, “The Power of Past Stock Returns to Explain Future Stock Returns”, Goldman Sachs Asset Management.
- Asness, Cliff, 1996, “Global Tactical Asset Allocation”, Goldman Sachs Pension and Endowment Forum, September.
- Asness, Cliff, 1996, “One Reason Not to Avoid Market Timing”, AQR Capital Management working paper.
- Asness, Cliff, 1996, “Why Not 100% Equities”, Journal of Portfolio Management, Winter.
- Asness, Cliff, 1997, “The Interaction Between Value and Momentum Strategies”, Financial Analysts Journal, March/April.
- Asness, Cliff, 1998, “Market-neutral Investing: Putting the ‘Hedge’ in ‘Hedge Funds’ ”, AQR Capital Management working paper.
- Asness, Cliff, 2000, “Bubble Logic: Or, How to Learn to Stop Worrying and Love the Bull”, AQR Capital Management working paper, 2001.
- Asness, Cliff, 2000, “Stocks vs. Bonds: Explaining the Equity Risk Premium”, Financial Analysts Journal, March/April.
- Asness, Cliff, 2003, “Fight the Fed Model”, Journal of Portfolio Management, Fall.
- Asness, Cliff, 2004, “Stock Options and the Lying Liars Who Don’t Want to Expense Them”, Financial Analysts Journal, July/August 2004
- Asness, Cliff, 2004, "An Alternative Future: An exploration of the role of hedge funds.", The Journal of Portfolio Management, 30th Anniversary Issue 2004.
- Asness, Cliff, 2004, "An Alternative Future II: An exploration of the role of hedge funds.", The Journal of Portfolio Management, Fall 2004.
- Asness, Cliff, 2005, "Rubble Logic: Or, What Did We Learn From the Great Stock Market Bubble?", Financial Analysts Journal, November/December 2005.
- Asness, Cliff, and Jonathon Beinner, 1994, “Forward Rates and CMO Portfolio Management”, CMO Portfolio Management, ed. Frank Fabozzi.
- Asness, Cliff, Jacques Friedman, Robert Krail and John Liew, 2000, “Style Timing: Value vs. Growth”, Journal of Portfolio Management, Spring.
- Asness, Cliff, Robert Krail and John Liew, 2001, “Do Hedge Funds Hedge?” AQR Capital Management
- Asness, Cliff, John Liew and Ross Stevens, 1997, “Parallels Between the Cross-sectional Predictability of Stock and Country Returns”, Journal of Portfolio Management, Spring.
- Asness, Cliff, R. Burt Porter and Ross Stevens, 2000, “Predicting Stock Returns Using Industry-relative Firm Characteristics”, On Review with the Journal of Finance.
- Asness, Cliff, and Michael Smirlock, 1991, “REIT Bankruptcy and Intra-industry Information Transfers: An Empirical Analysis”, Journal of Banking and Finance, December.
- Asness, Cliff, and Michael Smirlock, 1994, “Valuation of PAC Bonds Without Complex Models”, CMO Portfolio Management, ed. Frank Fabozzi.
- Carhart, Mark, Robert Krail, Ross Stevens and Kelly Welch, 1996, “Testing the Conditional CAPM”, University of Chicago.
- Corrigan, Gerald, and David Kabiller, 1994, “Derivatives: Improved Asset Management or Risk Creation?”, Goldman Sachs Pension and Endowment Forum.
- Diamonte, Robin, John Liew and Ross Stevens, 1996, “Political Risk in Emerging and Developed Markets”, Financial Analysts Journal, May/June.
- Ehrlich, Alex, David Kabiller, Ken Miller, Kaysie Uniacke, 1996, “Securities Lending: Minimizing Risk, Maximizing Return”, Goldman Sachs Pension and Endowment Forum.
- Goodman, Laurie, and David Kabiller, 1989, “Investment Opportunities for 1042 ESOP Investors”, Goldman Sachs Taxable Investor Flows, May.
- Hamada, Takehiro, and John Liew, 2000, “An Anomaly in the Topix-Nikkei Spread”, AQR Capital Management working paper.
- Jones, Bob, David Kabiller and Larry Kohn, 1995, “Enhanced Indexation”, Goldman Sachs Pension and Endowment Forum
- Kabiller, David, John O’Hara, Jacob Rosengarten and Blaine Tomlinson, 1998, “Hedge Funds Demystified: Their Potential Role in Institutional Portfolios”, Goldman Sachs Pension and Endowment Forum.
- Kaplan, Steven, Mark Mitchell and Karen Wruck, 2000, “A Clinical Exploration of Value Creation and Destruction in Acquisitions: Organizational Design, Incentives, and Internal Capital Markets”, in Mergers and Productivity, (National Bureau of Economic Research).
- Krail, Robert, 1992, “Bivariate GARCH Hedging”, University of Chicago.
- Krail, Robert, 1996, “Global Momentum Strategies”, University of Chicago working paper.
- Liew, John, 1993, “Stock Returns, Inflation, and the Real Money Supply: Evidence from Emerging Markets”, University of Chicago.
- Liew, John, 1994, “Stock Returns and the Real Money Supply”, University of Chicago.
- Liew, John, 1995, “Global Return Variation”, University of Chicago.
- Macey, Jonathan, Geoffrey Miller, Mark Mitchell and Jeffry Netter, 1991, “Lessons From Financial Economics: Materiality, Reliance, and Extending the Reach of Basic v. Levinson”, Virginia Law Review, August.
- Macey, Jonathan, Mark Mitchell and Jeffry Netter, 1989, “Restrictions on Short Selling: An Economic and Legal Analysis of the Uptick Rule and Its Role in the 1987 Stock Market Crash”, Cornell Law Review, July.
- Maloney, Michael, Mark Mitchell and Robert McCormick, 1993, “Managerial Decision Making and Capital Structure”, Journal of Business, April.
- Meulbroek, Lisa, Mark Mitchell, Harold Mulherin, Jeffry Netter and Annette Poulsen, 1990, “Shark Repellents and Managerial Myopia: An Empirical Test”, Journal of Political Economy, October.
- Mitchell, Mark, 1989, “The Impact of Drug Tampering on the Value of Firms: The 1982 Tylenol Poisonings and Subsequent Cases”, Economic Inquiry, October.
- Mitchell, Mark, 1991, “The Value of Corporate Takeovers”, Financial Analysts Journal, Jan/Feb.
- Mitchell, Mark and Kenneth Lehn, 1990, “Do Bad Bidders Become Good Targets?”, Journal of Political Economy, April.
- Mitchell, Mark and Michael Maloney, 1989, “Crisis in the Cockpit? The Role of Market Forces in Promoting Air Travel Safety”, Journal of Law and Economics, October.
- Mitchell, Mark and Harold Mulherin, 1989, “The Stock Price Response to Pension Terminations and the Relation of Terminations with Corporate Takeovers”, Financial Management, Autumn.
- Mitchell, Mark and Harold Mulherin, 1994, “The Impact of Public Information on the Stock Market”, Journal of Finance, July.
- Mitchell, Mark, and Harold Mulherin, 1996, “The Impact of Industry Shocks on Takeover and Restructuring Activity”, Journal of Financial Economics, June.
- Mitchell, Mark and Jeffry Netter, 1989, “Stock Repurchases and Insider Transactions in the Wake of the October 1987 Stock Market Crash”, Financial Management, Autumn.
- Mitchell, Mark and Jeffry Netter, 1989, “Triggering the 1987 Stock Market Crash: Antitakeover Provisions in the House Ways and Means Tax Bill?”, Journal of Financial Economics, September.
- Mitchell, Mark and Jeffry Netter, 1994, “The Role of Financial Economics in Securities Fraud Cases: Applications at the Securities and Exchange Commission”, The Business Lawyer, February.
- Mitchell, Mark and Todd Pulvino, 2001, "Characteristics of Risk and Return in Risk Arbitrage”, Journal of Finance, December.
- Mitchell, Mark, Todd Pulvino and Erik Stafford, 2002, “Limited Arbitrage in Equity Markets”, Journal of Finance, April.
- Mitchell, Mark and Erik Stafford, 2000, “Managerial Decisions and Long‑Term Stock‑Price Performance”, Journal of Business, July.
- Pulvino, Todd, 1999, “Effects of Bankruptcy Court Protection on Asset Sales”, Journal of Financial Economics.
- Pulvino, Todd, 1998, “Do Asset Fire-Sales Exist? An Empirical Investigation of Commercial Aircraft Transactions”, Journal of Finance.
- Weston, Fred, Mark Mitchell and Harold Mulherin, 2004, Takeovers, Restructuring and Corporate Governance, Pearson/Prentice Hall, 4th Edition.
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