Ronen Israel

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 92

SSRN RANKINGS

Top 92

in Total Papers Downloads

97,297

SSRN CITATIONS
Rank 4,411

SSRN RANKINGS

Top 4,411

in Total Papers Citations

68

CROSSREF CITATIONS

178

Scholarly Papers (16)

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 29,231 (61)
Citation 13

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Momentum, Value, Market efficiency

2.
Downloads 16,949 ( 165)
Citation 28

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 15,949 (188)
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, AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 993 (22,222)
Citation 6

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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
Downloads 7 (647,770)
Citation 3
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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 10,304 (432)
Citation 10

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Value, momentum, market efficiency, behavioral finance

4.

Fact, Fiction, and the Size Effect

Number of pages: 54 Posted: 24 May 2018 Last Revised: 10 Aug 2018
Ron Alquist, Ronen Israel and Tobias J. Moskowitz
AQR Capital Management LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 5,442 (1,342)
Citation 6

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

5.

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 5,310 (1,401)
Citation 2

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

6.

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 4,495 (1,896)
Citation 3

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

7.

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 4,430 (1,943)
Citation 8

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corporate bonds, mispricing

8.

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 3,822 (2,523)
Citation 2

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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

9.

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

Number of pages: 53 Posted: 17 Jun 2019 Last Revised: 20 Dec 2019
AQR Capital Management, AQR Capital Management, LLC, Yale University, Yale SOM, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3,727 (2,640)
Citation 3

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10.

Trading Costs

Number of pages: 88 Posted: 22 Aug 2018
AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 3,494 (2,919)
Citation 12

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11.

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 3,391 (3,086)
Citation 81

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12.

Long Horizon Predictability: A Cautionary Tale

Number of pages: 21 Posted: 18 Mar 2018 Last Revised: 02 Aug 2018
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 2,900 (4,035)
Citation 2

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Long Horizon Regressions, Predictability, T-Statistics, CAPE

13.

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 2,119 (6,819)
Citation 18

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14.

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 783 (31,710)
Citation 13

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15.

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 628 (42,790)

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Risk factors, regression, beta, portfolio exposures, diversification

16.

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
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 272 (115,604)

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