Greenwich, CT
United States
AQR Capital Management, LLC
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Momentum, Value, Market efficiency
Size, Size effect, Size Anomaly, Small Cap, Microcap, Quality, Junk, Profitability, Market efficiency, January Effect, Illiquidity, Value, Momentum, Low volatility
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Junk, Microcap, Quality, Size, Size Anomaly, Size effect, Small Cap
Value, momentum, market efficiency, behavioral finance
value investing, fundamental analysis, valuation
Factor premia, factor timing, multi-asset class, overfitting bias, arbitrage activity
Size, Size effect, Size anomaly, Small Cap, Microcap, Market efficiency, Illiquidity, January effect
Factors, styles, implementation, trading costs, taxes, momentum
corporate bonds, mispricing
Asset Pricing, Style Premia, Equities, Factor-Based Investing, Portfolio Construction
factor investing, factor timing, styles, value timing, value spreads, contrarian timing, value, momentum, defensive, tactical timing, smart beta, low beta, BAB, low volatility
Long Horizon Regressions, Predictability, T-Statistics, CAPE
Risk factors, regression, beta, portfolio exposures, diversification
Bias in OLS regressions, Predictability, Long Horizon Regressions
Tax-Aware Portfolio Management, Active Management, Quantitative Strategies, Long-only Investing, Dividend Yield, Capital Gains