Ronen Israel

Yale School of Management

165 Whitney Ave

New Haven, CT 06511

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 91

SSRN RANKINGS

Top 91

in Total Papers Downloads

155,087

TOTAL CITATIONS
Rank 2,658

SSRN RANKINGS

Top 2,658

in Total Papers Citations

484

Scholarly Papers (19)

1.

Fact, Fiction and Momentum Investing

Journal of Portfolio Management, Fall 2014 (40th Anniversary Issue), Fama-Miller Working Paper
Number of pages: 26 Posted: 12 May 2014 Last Revised: 03 Oct 2014
AQR Capital Management, LLC, AQR Capital Management, LLC, Yale School of Management and Yale University, Yale SOMAQR Capital
Downloads 37,702 (105)
Citation 17

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Momentum, Value, Market efficiency

2.
Downloads 20,718 ( 316)
Citation 33

Size Matters, If You Control Your Junk

Fama-Miller Working Paper
Number of pages: 59 Posted: 23 Jan 2015 Last Revised: 16 Apr 2015
AQR Capital Management, LLC, AQR Capital Management, LLC, Yale School of Management, Yale University, Yale SOMAQR Capital and AQR Capital Management, LLC
Downloads 19,326 (357)
Citation 11

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Size, Size effect, Size Anomaly, Small Cap, Microcap, Quality, Junk, Profitability, Market efficiency, January Effect, Illiquidity, Value, Momentum, Low volatility

Size Matters, If You Control Your Junk

Chicago Booth Research Paper No. 15-21
Number of pages: 73 Posted: 19 Jul 2015 Last Revised: 24 Feb 2017
AQR Capital Management, LLC, AQR Capital Management, LLC, Yale School of Management, Yale University, Yale SOMAQR Capital and AQR Capital Management, LLC
Downloads 1,379 (29,437)
Citation 7

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Size Matters, If You Control Your Junk

CEPR Discussion Paper No. DP12684
Number of pages: 62 Posted: 14 Feb 2018
AQR Capital Management, LLC, AQR Capital Management, LLC, Yale School of Management and AQR Capital Management, LLC
Downloads 13 (1,196,158)
Citation 15
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Junk, Microcap, Quality, Size, Size Anomaly, Size effect, Small Cap

3.

Fact, Fiction, and Value Investing

Published in Journal of Portfolio Management, Fall 2015, Vol. 42, No. 1
Number of pages: 31 Posted: 05 Jul 2017 Last Revised: 07 Jul 2017
AQR Capital Management, LLC, AQR Capital Management, LLC, Yale School of Management and Yale University, Yale SOMAQR Capital
Downloads 13,801 (680)
Citation 13

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Value, momentum, market efficiency, behavioral finance

4.

Is (Systematic) Value Investing Dead?

Journal of Portfolio Management, Forthcoming
Number of pages: 57 Posted: 09 Apr 2020 Last Revised: 12 Oct 2020
Yale School of Management, AQR Capital Management, LLC and London Business School
Downloads 10,372 (1,116)
Citation 8

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value investing, fundamental analysis, valuation

5.

Trading Costs

Number of pages: 88 Posted: 22 Aug 2018
AQR Capital Management, LLC, Yale School of Management and Yale University, Yale SOMAQR Capital
Downloads 10,371 (1,118)
Citation 59

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6.

How Do Factor Premia Vary Over Time? A Century of Evidence

Number of pages: 55 Posted: 17 Jun 2019 Last Revised: 24 Feb 2021
AQR Capital Management, Yale School of Management, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and Vice President
Downloads 8,288 (1,611)
Citation 36

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Factor premia, factor timing, multi-asset class, overfitting bias, arbitrage activity

7.

Fact, Fiction, and the Size Effect

Number of pages: 54 Posted: 24 May 2018 Last Revised: 10 Aug 2018
Managed Funds Association, Yale School of Management and Yale University, Yale SOMAQR Capital
Downloads 7,883 (1,766)
Citation 28

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Size, Size effect, Size anomaly, Small Cap, Microcap, Market efficiency, Illiquidity, January effect

8.

Implementing Momentum: What Have We Learned?

Number of pages: 24 Posted: 11 Dec 2017
AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital, Yale School of Management and AQR Capital Management
Downloads 7,322 (1,989)
Citation 6

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Factors, styles, implementation, trading costs, taxes, momentum

9.

Trading Costs of Asset Pricing Anomalies

Fama-Miller Working Paper, Chicago Booth Research Paper No. 14-05
Number of pages: 68 Posted: 19 Feb 2014 Last Revised: 28 Mar 2014
AQR Capital Management, LLC, Yale School of Management and Yale University, Yale SOMAQR Capital
Downloads 6,068 (2,732)
Citation 106

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10.

Common factors in corporate bond returns

Forthcoming in the Journal of Investment Management
Number of pages: 51 Posted: 13 Mar 2015 Last Revised: 31 Aug 2017
Yale School of Management, Independent and London Business School
Downloads 5,963 (2,814)
Citation 53

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corporate bonds, mispricing

11.

Can Machines 'Learn' Finance?

Journal of Investment Management
Number of pages: 21 Posted: 02 Jul 2020 Last Revised: 05 Mar 2021
Yale School of Management, Yale SOM and Yale University, Yale SOMAQR Capital
Downloads 5,483 (3,269)
Citation 25

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12.

Contrarian Factor Timing is Deceptively Difficult

Journal of Portfolio Management, Forthcoming
Number of pages: 29 Posted: 09 Mar 2017
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management and Yale School of Management
Downloads 5,176 (3,622)
Citation 13

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factor investing, factor timing, styles, value timing, value spreads, contrarian timing, value, momentum, defensive, tactical timing, smart beta, low beta, BAB, low volatility

13.

Craftsmanship Alpha: An Application to Style Investing

Number of pages: 24 Posted: 11 Sep 2017
Ronen Israel, Sarah Jiang and Adrienne Ross
Yale School of Management, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 5,144 (3,648)
Citation 10

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Asset Pricing, Style Premia, Equities, Factor-Based Investing, Portfolio Construction

14.

Long Horizon Predictability: A Cautionary Tale

Number of pages: 21 Posted: 18 Mar 2018 Last Revised: 02 Aug 2018
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Yale School of Management and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 4,421 (4,720)
Citation 14

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Long Horizon Regressions, Predictability, T-Statistics, CAPE

15.

The Role of Shorting, Firm Size, and Time on Market Anomalies

Chicago Booth Research Paper No. 12-22, Fama-Miller Working Paper
Number of pages: 49 Posted: 23 Jun 2012
Yale School of Management and Yale University, Yale SOMAQR Capital
Downloads 2,745 (10,218)
Citation 40

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16.

How Tax Efficient are Equity Styles?

Chicago Booth Research Paper No. 12-20, Fama-Miller Working Paper
Number of pages: 71 Posted: 23 Jun 2012 Last Revised: 15 May 2014
Yale School of Management and Yale University, Yale SOMAQR Capital
Downloads 1,399 (29,321)
Citation 15

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17.

Measuring Factor Exposures: Uses and Abuses

Journal of Alternative Investments, Forthcoming
Number of pages: 36 Posted: 22 Sep 2016
Ronen Israel and Adrienne Ross
Yale School of Management and AQR Capital Management, LLC
Downloads 1,203 (36,504)

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Risk factors, regression, beta, portfolio exposures, diversification

18.
Downloads 585 (97,007)
Citation 7

Biases in Long-Horizon Predictive Regressions

NYU Stern School of Business
Number of pages: 40 Posted: 04 Jun 2020
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Yale School of Management and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 486 (120,483)
Citation 4

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Bias in OLS regressions, Predictability, Long Horizon Regressions

Biases in Long-Horizon Predictive Regressions

NBER Working Paper No. w27410
Number of pages: 41 Posted: 22 Jun 2020 Last Revised: 25 May 2023
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Yale School of Management and Department of Finance, Leonard N. Stern School of Business, New York University
Downloads 99 (556,285)
Citation 3

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19.

Should Taxable Investors Shun Dividends?

The Journal of Wealth Management, Winter 2019, 22 (3) 49-69; DOI: org/10.3905/jwm.2019.1.080
Number of pages: 42 Posted: 24 Jun 2019 Last Revised: 07 Nov 2019
Yale School of Management, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 443 (135,930)
Citation 1

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Tax-Aware Portfolio Management, Active Management, Quantitative Strategies, Long-only Investing, Dividend Yield, Capital Gains