Diogo Palhares

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 5,427

SSRN RANKINGS

Top 5,427

in Total Papers Downloads

7,647

CITATIONS
Rank 47,749

SSRN RANKINGS

Top 47,749

in Total Papers Citations

6

Scholarly Papers (5)

1.

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
Ronen Israel, Diogo Palhares and Scott A. Richardson
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 4,293 (1,925)
Citation 3

Abstract:

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corporate bonds, mispricing

2.

Credit-Implied Volatility

Number of pages: 47 Posted: 11 Mar 2015 Last Revised: 05 Jun 2019
Bryan T. Kelly, Gerardo Manzo and Diogo Palhares
Yale SOM, AQR Capital Management and AQR Capital Management, LLC
Downloads 1,278 (14,680)
Citation 1

Abstract:

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CDS, credit risk, implied volatility

3.

(Il)liquidity Premium in Credit Markets: A Myth?

Journal of Fixed Income, Forthcoming
Number of pages: 45 Posted: 06 Mar 2018 Last Revised: 30 Aug 2018
Diogo Palhares and Scott A. Richardson
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,062 (19,475)
Citation 2

Abstract:

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corporate bonds, liquidity, risk premium

4.

Style Investing in Fixed Income

Journal of Portfolio Management, Forthcoming
Number of pages: 36 Posted: 06 Mar 2018
Jordan Brooks, Diogo Palhares and Scott A. Richardson
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 780 (30,382)

Abstract:

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fixed income, style investing, government bonds, corporate bonds

5.

Looking under the Hood of Active Credit Managers

Number of pages: 35 Posted: 21 Jun 2019
Diogo Palhares and Scott A. Richardson
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 234 (129,077)

Abstract:

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corporate bonds, fixed income mutual funds, fixed income hedge funds