Ronen Israel

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 140

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Top 140

in Total Papers Downloads

64,913

CITATIONS
Rank 19,308

SSRN RANKINGS

Top 19,308

in Total Papers Citations

16

Scholarly Papers (11)

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, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 16,043 (63)
Citation 1

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Momentum, Value, Market efficiency

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, AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 13,533 (192)

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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, AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 647 (33,721)

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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, AQR Capital Management, LLC and AQR Capital Management, LLC
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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, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 4,728 (473)
Citation 1

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Value, momentum, market efficiency, behavioral finance

4.

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
Ronen Israel and Tobias J. Moskowitz
AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 1,269 (6,952)
Citation 4

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5.

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, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 985 (4,372)
Citation 9

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6.

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
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 539 (2,339)

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corporate bonds, mispricing

7.

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
Ronen Israel and Tobias J. Moskowitz
AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 351 (38,598)
Citation 1

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8.

Implementing Momentum: What Have We Learned?

Number of pages: 24 Posted: 11 Dec 2017
AQR Capital Management, LLC, Yale University, Yale SOM, AQR Capital Management, LLC and AQR Capital Management
Downloads 0 (3,006)

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

9.

Craftsmanship Alpha: An Application to Style Investing

Number of pages: 24 Posted: 11 Sep 2017
Ronen Israel, Sarah Jiang and Adrienne Ross
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 0 (2,383)

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

10.

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 AQR Capital Management, LLC
Downloads 0 (3,269)

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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

11.

Measuring Factor Exposures: Uses and Abuses

Journal of Alternative Investments, Forthcoming
Number of pages: 36 Posted: 22 Sep 2016
Ronen Israel and Adrienne Ross
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 0 (55,296)

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Risk factors, regression, beta, portfolio exposures, diversification