Ronen Israel

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 207

SSRN RANKINGS

Top 207

in Total Papers Downloads

50,072

CITATIONS
Rank 21,922

SSRN RANKINGS

Top 21,922

in Total Papers Citations

13

Scholarly Papers (9)

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 (70)
Citation 1

Abstract:

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 11,900 (209)

Abstract:

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: 68 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 364 (63,907)

Abstract:

3.

Fact, Fiction, and Value Investing

Forthcoming, Journal of Portfolio Management, Fall 2015
Number of pages: 31 Posted: 19 Apr 2015 Last Revised: 21 Jul 2015
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 4,728 (540)
Citation 1

Abstract:

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 (7,067)
Citation 3

Abstract:

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 (6,159)
Citation 7

Abstract:

6.

Common Factors in Corporate Bond and Bond Fund Returns

Number of pages: 48 Posted: 13 Mar 2015 Last Revised: 23 Jul 2016
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 539 (4,367)

Abstract:

corporate bonds, style investing, credit mutual funds, credit hedge funds

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 (44,117)
Citation 1

Abstract:

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 0 (6,216)

Abstract:

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

9.

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 (70,362)

Abstract:

Risk factors, regression, beta, portfolio exposures, diversification