Michael Katz

AQR Capital Management, LLC

Principal

Two Greenwich Plaza, 3rd Floor

Greenwich, CT 06830

United States

http://www.aqr.com

SCHOLARLY PAPERS

4

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Top 20,349

in Total Papers Downloads

2,278

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Scholarly Papers (4)

1.

Risky Value

Number of pages: 55 Posted: 17 Sep 2013 Last Revised: 15 May 2019
Atif Ellahie, Michael Katz and Scott A. Richardson
University of Utah - David Eccles School of Business, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,193 (16,130)

Abstract:

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equity risk premium, country returns, earnings growth, book-to-price, earnings yield

2.

Are Stocks Real Assets? Sticky Discount Rates in Stock Markets

Review of Financial Studies (Forthcoming)
Number of pages: 60 Posted: 12 Jan 2015 Last Revised: 14 Aug 2016
Michael Katz, Hanno N. Lustig and Lars N Nielsen
AQR Capital Management, LLC, Stanford Graduate School of Business and AQR Capital Management, LLC
Downloads 749 (31,771)

Abstract:

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inflation hedging, inflation expectations

Post-FOMC Announcement Drift in U.S. Bond Markets

Stanford University Graduate School of Business Research Paper No. 18-2
Number of pages: 85 Posted: 15 Dec 2017 Last Revised: 31 Mar 2019
Jordan Brooks, Michael Katz and Hanno N. Lustig
AQR Capital Management, LLC, AQR Capital Management, LLC and Stanford Graduate School of Business
Downloads 327 (88,968)

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monetary policy, mutual funds, FOMC announcements, slow-moving capital, term structure

Post-Fomc Announcement Drift in U.S. Bond Markets

NBER Working Paper No. w25127
Number of pages: 86 Posted: 08 Oct 2018 Last Revised: 26 Oct 2018
Jordan Brooks, Michael Katz and Hanno Lustig
AQR Capital Management, LLC, AQR Capital Management, LLC and Stanford University
Downloads 9 (597,786)
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To Trade or Not to Trade? Informed Trading with Short-Term Signals for Long-Term Investors

Financial Analysts Journal, Vol. 67, No. 5, 2011
Posted: 30 Sep 2011
Roni Israelov and Michael Katz
AQR Capital Management, LLC and AQR Capital Management, LLC

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Portfolio Management, Portfolio Construction and Revision, Portfolio Monitoring and Rebalancing, Equity Investments

To Trade or Not to Trade? Informed Trading with Short-Term Signals for Long-Term Investors

Posted: 08 Apr 2010 Last Revised: 27 Jan 2017
Roni Israelov and Michael Katz
AQR Capital Management, LLC and AQR Capital Management, LLC

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High Frequency, Short-Term, Long-Term, Trading, Trading Costs, Transaction Costs, Turnover, Liquidity, Informed Trading, Optimal Portfolio, Portfolio Choice, Rebalance