Michael Schwert

AQR Arbitrage, LLC

Two Greenwich Plaza

Greenwich, CT 06830

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 3,469

SSRN RANKINGS

Top 3,469

in Total Papers Downloads

20,262

SSRN CITATIONS
Rank 3,884

SSRN RANKINGS

Top 3,884

in Total Papers Citations

450

CROSSREF CITATIONS

32

Scholarly Papers (15)

1.
Downloads 2,326 (12,569)
Citation 13

CLO Performance

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper, Journal of Finance, Forthcoming
Number of pages: 64 Posted: 15 Aug 2020 Last Revised: 15 Dec 2021
Larry Cordell, Michael R. Roberts and Michael Schwert
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER) and AQR Arbitrage, LLC
Downloads 2,278 (12,778)
Citation 2

Abstract:

Loading...

collateralized loan obligations, leveraged loans, securitization

Clo Performance

NBER Working Paper No. w29410
Number of pages: 62 Posted: 01 Nov 2021 Last Revised: 17 Jul 2023
Larry Cordell, Michael R. Roberts and Michael Schwert
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER) and AQR Arbitrage, LLC
Downloads 48 (770,479)
Citation 11

Abstract:

Loading...

2.

Municipal Bond Liquidity and Default Risk

Journal of Finance, Forthcoming, Fisher College of Business Working Paper No. 2016-03-16, Charles A. Dice Center Working Paper No. 2016-16
Number of pages: 55 Posted: 15 Mar 2014 Last Revised: 08 Nov 2016
Michael Schwert
AQR Arbitrage, LLC
Downloads 2,252 (13,268)
Citation 25

Abstract:

Loading...

municipal bonds, credit risk

3.

Bank Capital and Lending Relationships

Journal of Finance, Forthcoming, Fisher College of Business Working Paper No. 2016-03-17, Charles A. Dice Center Working Paper No. 2016-17
Number of pages: 63 Posted: 15 Nov 2015 Last Revised: 11 Apr 2017
Michael Schwert
AQR Arbitrage, LLC
Downloads 2,112 (14,643)
Citation 53

Abstract:

Loading...

banks, bank capital, lending relationships, syndicated loans

4.
Downloads 2,092 (14,849)
Citation 37

Sea Level Rise Exposure and Municipal Bond Yields

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 60 Posted: 11 Nov 2019 Last Revised: 10 Nov 2022
Yale School of Management, Pennsylvania State University - Smeal College of Business, University of Colorado, Boulder and AQR Arbitrage, LLC
Downloads 2,079 (14,717)
Citation 17

Abstract:

Loading...

climate change, sea level rise, asset prices, municipal bonds, credit risk

Sea Level Rise Exposure and Municipal Bond Yields

NBER Working Paper No. w30660
Number of pages: 89 Posted: 21 Nov 2022 Last Revised: 14 Apr 2023
Yale School of Management, Pennsylvania State University - Smeal College of Business, University of Colorado, Boulder and AQR Arbitrage, LLC
Downloads 13 (1,101,384)
Citation 26
  • Add to Cart

Abstract:

Loading...

5.

Duration-Based Valuation of Corporate Bonds

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 73 Posted: 01 Sep 2021 Last Revised: 12 Oct 2023
Jules H. van Binsbergen, Yoshio Nozawa and Michael Schwert
University of Pennsylvania - The Wharton School, University of Toronto and AQR Arbitrage, LLC
Downloads 2,075 (15,026)
Citation 6

Abstract:

Loading...

corporate bonds, duration, capital asset pricing model

6.

Does Borrowing from Banks Cost More than Borrowing from the Market?

Journal of Finance, Forthcoming
Number of pages: 62 Posted: 27 Oct 2017 Last Revised: 20 Aug 2019
Michael Schwert
AQR Arbitrage, LLC
Downloads 2,020 (15,694)
Citation 17

Abstract:

Loading...

credit spreads, syndicated loans, corporate bonds, banking

7.

Capital Structure and Systematic Risk

Rock Center for Corporate Governance at Stanford University Working Paper No. 178
Number of pages: 34 Posted: 08 Apr 2014 Last Revised: 14 Apr 2014
Michael Schwert and Ilya A. Strebulaev
AQR Arbitrage, LLC and Stanford University - Graduate School of Business
Downloads 1,903 (17,279)
Citation 11

Abstract:

Loading...

capital structure, systematic risk

8.

The Factor Multiverse: The Role of Interest Rates in Factor Return Measurement

Number of pages: 71 Posted: 28 Sep 2022 Last Revised: 30 Jan 2024
Jules H. van Binsbergen, Liang Ma and Michael Schwert
University of Pennsylvania - The Wharton School, University of South Carolina - Darla Moore School of Business and AQR Arbitrage, LLC
Downloads 1,559 (23,545)

Abstract:

Loading...

anomalies, factor zoo, duration, excess returns, interest rates

9.
Downloads 1,341 (29,416)
Citation 21

The Economics of PIPEs

Jongha Lim, Michael Schwert and Michael S. Weisbach, Journal of Financial Intermediation (Forthcoming)
Number of pages: 54 Posted: 21 Oct 2017 Last Revised: 29 Aug 2019
Jongha Lim, Michael Schwert and Michael S. Weisbach
California State University, Fullerton - Department of Finance, AQR Arbitrage, LLC and Ohio State University (OSU) - Department of Finance
Downloads 1,284 (30,883)
Citation 19

Abstract:

Loading...

PIPE, private placement, alternative investment, hedge fund, private equity fund, warrant

The Economics of Pipes

NBER Working Paper No. w23967
Number of pages: 52 Posted: 30 Oct 2017 Last Revised: 28 Jun 2023
Jongha Lim, Michael Schwert and Michael S. Weisbach
California State University, Fullerton - Department of Finance, AQR Arbitrage, LLC and Ohio State University (OSU) - Department of Finance
Downloads 57 (712,510)
Citation 3

Abstract:

Loading...

Interest Rates and the Design of Financial Contracts

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 44 Posted: 13 Jan 2020 Last Revised: 21 Jan 2022
Michael R. Roberts and Michael Schwert
The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER) and AQR Arbitrage, LLC
Downloads 662 (76,905)

Abstract:

Loading...

financial contracts, interest rates, banking, commercial lending

Interest Rates and the Design of Financial Contracts

NBER Working Paper No. w27195
Number of pages: 45 Posted: 26 May 2020 Last Revised: 23 Apr 2023
Michael R. Roberts and Michael Schwert
The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER) and AQR Arbitrage, LLC
Downloads 61 (689,543)

Abstract:

Loading...

11.

Proactive Capital Structure Adjustments: Evidence from Corporate Filings

Stanford University Graduate School of Business Research Paper No. 18-31
Number of pages: 59 Posted: 21 Jun 2018 Last Revised: 18 Aug 2020
Arthur G. Korteweg, Michael Schwert and Ilya A. Strebulaev
University of Southern California - Marshall School of Business, AQR Arbitrage, LLC and Stanford University - Graduate School of Business
Downloads 615 (85,491)
Citation 2

Abstract:

Loading...

capital structure, leverage, adjustment costs

12.

The Effects of Transparency on OTC Market-Making

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 49 Posted: 12 Dec 2018 Last Revised: 12 Aug 2021
Ryan Lewis and Michael Schwert
University of Colorado, Boulder and AQR Arbitrage, LLC
Downloads 554 (97,601)
Citation 2

Abstract:

Loading...

over-the-counter markets, price transparency, corporate bonds

13.

The Marginal Value of Public Pension Wealth: Evidence From Border House Prices

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 72 Posted: 09 Mar 2021 Last Revised: 26 Mar 2024
Brigham Young University, University of Colorado at Boulder, University of Illinois at Urbana-Champaign, University of Colorado, Boulder and AQR Arbitrage, LLC
Downloads 416 (137,517)

Abstract:

Loading...

Public finance, pensions, house prices

14.

Hop, Skip and Jump - What are Modern 'Jump' Tests Finding in Stock Returns?

Number of pages: 39 Posted: 27 Jul 2010
Michael Schwert
AQR Arbitrage, LLC
Downloads 259 (228,477)
Citation 5

Abstract:

Loading...

jump testing, coherence, intraday stock returns

15.

The Marginal Value of Public Pension Wealth: Evidence from Border House Prices

NBER Working Paper No. w29405
Number of pages: 73 Posted: 25 Oct 2021 Last Revised: 07 May 2023
Brigham Young University, University of Colorado at Boulder, University of Illinois at Urbana-Champaign, University of Colorado, Boulder and AQR Arbitrage, LLC
Downloads 15 (1,042,224)
Citation 1

Abstract:

Loading...