Tobias J. Moskowitz

Yale University, Yale SOM

Professor

New Haven, CT 06520

United States

http://som.yale.edu/tobias-j-moskowitz

AQR Capital

Greenwich, CT

United States

National Bureau of Economic Research (NBER)

Research Associate

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

42

DOWNLOADS
Rank 38

SSRN RANKINGS

Top 38

in Total Papers Downloads

156,580

SSRN CITATIONS
Rank 307

SSRN RANKINGS

Top 307

in Total Papers Citations

1,634

CROSSREF CITATIONS

975

Scholarly Papers (42)

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
Clifford S. Asness, Andrea Frazzini, Ronen Israel and Tobias J. Moskowitz
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 30,627 (68)
Citation 14

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Momentum, Value, Market efficiency

2.
Downloads 20,146 ( 133)
Citation 404

Value and Momentum Everywhere

AFA 2010 Atlanta Meetings Paper
Number of pages: 54 Posted: 20 Mar 2009
Clifford S. Asness, Tobias J. Moskowitz and Lasse Heje Pedersen
AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 12,031 (354)
Citation 345

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value effect, momentum, commonality, liquidity risk

Value and Momentum Everywhere

Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72 Posted: 14 Nov 2012
Clifford S. Asness, Tobias J. Moskowitz and Lasse Heje Pedersen
AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 8,115 (745)
Citation 111

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3.
Downloads 17,465 ( 179)
Citation 34

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 16,417 (199)
Citation 10

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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 1,048 (22,695)
Citation 5

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4.
Downloads 12,700 ( 318)
Citation 13

Carry

Fama-Miller Working Paper
Number of pages: 67 Posted: 26 Jul 2013 Last Revised: 01 Nov 2016
University of Chicago - Booth School of Business, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 11,801 (369)
Citation 4

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Carry Trade, Stocks, Bonds, Currencies, Commodities, Corporate Bonds, Options, Global Recessions

Carry

Chicago Booth Research Paper No. 15-20
Number of pages: 67 Posted: 19 Jul 2015 Last Revised: 01 Nov 2016
University of Chicago - Booth School of Business, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 731 (37,679)
Citation 10

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Carry Trade, Predictability, Stocks, Bonds, Currencies, Commodities, Corporate Bonds, Options, Global Recessions, Liquidity Risk, Volatility Risk

Carry

NBER Working Paper No. w19325
Number of pages: 65 Posted: 17 Aug 2013 Last Revised: 07 Sep 2013
University of Chicago - Booth School of Business, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 163 (203,547)

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Carry

CEPR Discussion Paper No. DP9771
Number of pages: 66 Posted: 02 Dec 2013
University of Chicago - Booth School of Business, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 5 (713,134)
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bonds, carry trade, commodities, corporate bonds, currencies, global recessions, liquidity risk, options, predictability stocks, volatility risk

5.
Downloads 8,963 ( 394)
Citation 147

Momentum Crashes

Swiss Finance Institute Research Paper No. 13-61, Columbia Business School Research Paper No. 14-6, Fama-Miller Working Paper
Number of pages: 57 Posted: 24 Dec 2013
Kent D. Daniel and Tobias J. Moskowitz
Columbia Business School - Finance and Economics and Yale University, Yale SOM
Downloads 7,501 (845)
Citation 70

Abstract:

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Momentum Crashes

Columbia Business School Research Paper No. 14-36
Number of pages: 51 Posted: 26 Aug 2014
Kent D. Daniel and Tobias J. Moskowitz
Columbia Business School - Finance and Economics and Yale University, Yale SOM
Downloads 801 (33,241)
Citation 7

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Momentum Crashes

Chicago Booth Research Paper No. 15-22
Number of pages: 52 Posted: 19 Jul 2015 Last Revised: 21 Jul 2015
Kent D. Daniel and Tobias J. Moskowitz
Columbia Business School - Finance and Economics and Yale University, Yale SOM
Downloads 580 (51,353)

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Momentum Crashes

NBER Working Paper No. w20439
Number of pages: 52 Posted: 02 Sep 2014 Last Revised: 06 Jan 2015
Kent D. Daniel and Tobias J. Moskowitz
Columbia Business School - Finance and Economics and Yale University, Yale SOM
Downloads 81 (339,756)
Citation 13

Abstract:

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6.

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
Clifford S. Asness, Andrea Frazzini, Ronen Israel and Tobias J. Moskowitz
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 10,731 (459)
Citation 11

Abstract:

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Value, momentum, market efficiency, behavioral finance

7.

Time Series Momentum

Chicago Booth Research Paper No. 12-21, Fama-Miller Working Paper
Number of pages: 62 Posted: 23 Jun 2012
Tobias J. Moskowitz, Yao Hua Ooi and Lasse Heje Pedersen
Yale University, Yale SOM, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 9,484 (579)
Citation 132

Abstract:

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8.

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
Office of Financial Research, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 5,715 (1,396)
Citation 9

Abstract:

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

9.

Implementing Momentum: What Have We Learned?

Number of pages: 24 Posted: 11 Dec 2017
Adrienne Ross, Tobias J. Moskowitz, Ronen Israel and Laura Serban
AQR Capital Management, LLC, Yale University, Yale SOM, AQR Capital Management, LLC and AQR Capital Management
Downloads 5,627 (1,422)
Citation 3

Abstract:

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

10.

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 4,615 (2,035)
Citation 4

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11.

Trading Costs

Number of pages: 88 Posted: 22 Aug 2018
Andrea Frazzini, Ronen Israel and Tobias J. Moskowitz
AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 4,118 (2,478)
Citation 19

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12.

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
Andrea Frazzini, Ronen Israel and Tobias J. Moskowitz
AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 3,737 (2,923)
Citation 86

Abstract:

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13.

Yield Curve Premia

Number of pages: 67 Posted: 22 Apr 2017 Last Revised: 07 Jul 2017
Jordan Brooks and Tobias J. Moskowitz
AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 2,377 (6,279)
Citation 5

Abstract:

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fixed income, asset pricing, international financial markets

14.

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 2,193 (7,185)
Citation 17

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15.

The Private Equity Premium Puzzle

Number of pages: 51 Posted: 21 Feb 2001
Annette Vissing-Jorgensen and Tobias J. Moskowitz
National Bureau of Economic Research (NBER) and Yale University, Yale SOM
Downloads 1,824 (9,781)
Citation 3

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16.

Asset Pricing and Sports Betting

Chicago Booth Research Paper No. 15-26
Number of pages: 78 Posted: 25 Jul 2015 Last Revised: 08 Nov 2018
Tobias J. Moskowitz
Yale University, Yale SOM
Downloads 1,659 (11,368)
Citation 7

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17.

The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence

Number of pages: 42 Posted: 20 Oct 1999
Mark Grinblatt and Tobias J. Moskowitz
University of California, Los Angeles (UCLA) - Finance Area and Yale University, Yale SOM
Downloads 1,589 (12,149)
Citation 21

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The Geography of Investment: Informed Trading and Asset Prices

CRSP Working Paper No. 502
Number of pages: 40 Posted: 15 Mar 2000
Joshua D. Coval and Tobias J. Moskowitz
Harvard Business School - Finance Unit and Yale University, Yale SOM
Downloads 1,223 (17,975)
Citation 17

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The Geography of Investment: Informed Trading and Asset Prices

Journal of Political Economy, Vol. 109, August 2001
Posted: 21 Aug 2001
Joshua D. Coval and Tobias J. Moskowitz
Harvard Business School - Finance Unit and Yale University, Yale SOM

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19.

An Analysis of Risk and Pricing Anomalies

Number of pages: 40 Posted: 15 Mar 2000
Tobias J. Moskowitz
Yale University, Yale SOM
Downloads 1,144 (20,200)
Citation 1

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20.

Market Frictions, Price Delay, and the Cross-Section of Expected Returns

Number of pages: 42 Posted: 27 May 2003
Kewei Hou and Tobias J. Moskowitz
Ohio State University (OSU) - Department of Finance and Yale University, Yale SOM
Downloads 1,121 (20,810)
Citation 104

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21.

Fake News: Evidence from Financial Markets

Number of pages: 84 Posted: 31 Aug 2018 Last Revised: 22 Apr 2019
Shimon Kogan, Tobias J. Moskowitz and Marina Niessner
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Yale University, Yale SOM and Yale School of Management
Downloads 1,071 (22,365)
Citation 10

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22.

What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?

Number of pages: 50 Posted: 25 Jan 2002
Mark Grinblatt and Tobias J. Moskowitz
University of California, Los Angeles (UCLA) - Finance Area and Yale University, Yale SOM
Downloads 1,071 (22,306)

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23.

Why Do Entrepreneurs Hold Large Ownership Shares? Testing Agency Theory Using Entrepreneur Effort and Wealth

CRSP Working Paper No. 544
Number of pages: 54 Posted: 17 Dec 2002
University of California, Davis - Departments of Economics and Agricultural Resource Economics, National Bureau of Economic Research (NBER) and Yale University, Yale SOM
Downloads 1,037 (23,366)
Citation 5

Abstract:

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24.

Value and Interest Rates: Are Rates to Blame for Value’s Torments?

Number of pages: 30 Posted: 16 Jun 2020
Thomas Maloney and Tobias J. Moskowitz
AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 1,015 (24,187)

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The Effects of Stock Lending on Security Prices: An Experiment

Journal of Finance, Forthcoming, Chicago Booth Research Paper No. 09-39, Chicago Booth Initiative on Global Markets Working Paper No. 42, Fisher College of Business Working Paper No. 2009-03-020, Charles A. Dice Center Working Paper No. 2009-20, AFA 2011 Meetings Paper
Number of pages: 73 Posted: 22 Oct 2009 Last Revised: 30 Apr 2013
Steven N. Kaplan, Tobias J. Moskowitz and Berk A. Sensoy
University of Chicago - Booth School of Business, Yale University, Yale SOM and Vanderbilt University - Finance
Downloads 825 (31,940)
Citation 16

Abstract:

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Short Selling, Securities Lending, Stock Prices

The Effects of Stock Lending on Security Prices: an Experiment

NBER Working Paper No. w16335
Number of pages: 58 Posted: 07 Sep 2010 Last Revised: 30 Apr 2013
Steven N. Kaplan, Tobias J. Moskowitz and Berk A. Sensoy
University of Chicago - Booth School of Business, Yale University, Yale SOM and Vanderbilt University - Finance
Downloads 55 (419,215)

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26.

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 850 (31,216)
Citation 14

Abstract:

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27.

Can Machines 'Learn' Finance?

Number of pages: 21 Posted: 02 Jul 2020
Ronen Israel, Bryan T. Kelly and Tobias J. Moskowitz
AQR Capital Management, LLC, Yale SOM and Yale University, Yale SOM
Downloads 715 (39,542)

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28.

Understanding Momentum and Reversals

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 42 Posted: 19 Jun 2020 Last Revised: 08 Jul 2020
Bryan T. Kelly, Tobias J. Moskowitz and Seth Pruitt
Yale SOM, Yale University, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 496 (63,456)

Abstract:

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momentum, reversal, factor model, conditional betas, conditional ex- pected returns, IPCA

Confronting Information Asymmetries: Evidence from Real Estate Markets

Number of pages: 45 Posted: 03 Feb 2000
Mark J. Garmaise and Tobias J. Moskowitz
University of California, Los Angeles (UCLA) - Anderson School of Management and Yale University, Yale SOM
Downloads 424 (75,898)
Citation 1

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Confronting Information Asymmetries: Evidence from Real Estate Markets

NBER Working Paper No. w8877
Number of pages: 46 Posted: 04 Apr 2002 Last Revised: 15 Aug 2014
Mark J. Garmaise and Tobias J. Moskowitz
University of California, Los Angeles (UCLA) - Anderson School of Management and Yale University, Yale SOM
Downloads 54 (422,778)
Citation 8

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30.

Brokerage, Intermediation, and Agency: The Financing and Pricing of Commercial Properties

Number of pages: 39 Posted: 19 Jun 2000
Mark J. Garmaise and Tobias J. Moskowitz
University of California, Los Angeles (UCLA) - Anderson School of Management and Yale University, Yale SOM
Downloads 337 (99,799)

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31.

More Banks, Less Crime? The Real and Social Effects of Bank Competition

Number of pages: 42 Posted: 13 Jan 2005
Mark J. Garmaise and Tobias J. Moskowitz
University of California, Los Angeles (UCLA) - Anderson School of Management and Yale University, Yale SOM
Downloads 278 (122,884)
Citation 6

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32.

The Political Economy of Financial Regulation: Evidence from U.S. State Usury Laws in the 18th and 19th Century

AFA 2007 Chicago Meetings Paper
Number of pages: 57 Posted: 17 Mar 2006
Efraim Benmelech and Tobias J. Moskowitz
Downloads 251 (136,649)
Citation 19

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Financial Development, Regulation, Usury

The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?

NBER Working Paper No. w8876
Number of pages: 54 Posted: 04 Apr 2002 Last Revised: 15 Aug 2014
Annette Vissing-Jorgensen and Tobias J. Moskowitz
National Bureau of Economic Research (NBER) and Yale University, Yale SOM
Downloads 226 (150,916)
Citation 27

Abstract:

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The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?

University of Illinois at Urbana-Champaign's Academy for Entrepreneurial Leadership Historical Research Reference in Entrepreneurship
Posted: 24 Nov 2009
Tobias J. Moskowitz and Annette Vissing-Jorgensen
Yale University, Yale SOM and National Bureau of Economic Research (NBER)

Abstract:

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Survey of Consumer Finances, Flow of Funds Accounts, National Income & Product Accounts (U.S. Dept of Commerce), Equity financing, Risk orientation, Return on investment, Venture capital

34.

Long-Run Stockholder Consumption Risk and Asset Returns

Harvard Business School Finance Working Paper No. 08-060
Number of pages: 71 Posted: 01 Feb 2008
National Bureau of Economic Research (NBER), Harvard Business School and Yale University, Yale SOM
Downloads 215 (158,533)
Citation 41

Abstract:

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Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price

Number of pages: 95 Posted: 24 Sep 2020
Todd M. Hazelkorn, Tobias J. Moskowitz and Kaushik Vasudevan
AQR Capital Management, LLC, Yale University, Yale SOM and Yale University
Downloads 93 (311,450)

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Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price

NBER Working Paper No. w26773
Number of pages: 96 Posted: 24 Feb 2020
Todd M. Hazelkorn, Tobias J. Moskowitz and Kaushik Vasudevan
AQR Capital Management, LLC, Yale University, Yale SOM and Yale University
Downloads 8 (689,072)
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36.

Informal Financial Networks: Theory and Evidence

NBER Working Paper No. w8874
Number of pages: 51 Posted: 04 Apr 2002 Last Revised: 15 Aug 2014
Mark J. Garmaise and Tobias J. Moskowitz
University of California, Los Angeles (UCLA) - Anderson School of Management and Yale University, Yale SOM
Downloads 100 (294,966)
Citation 1

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Decision-Making Under the Gambler's Fallacy: Evidence from Asylum Judges, Loan Officers, and Baseball Umpires

NBER Working Paper No. w22026
Number of pages: 61 Posted: 01 Mar 2016 Last Revised: 14 Apr 2016
Daniel L. Chen, Tobias J. Moskowitz and Kelly Shue
Directeur de Recherche, Centre National de la Recherche Scientifique, Toulouse School of Economics, Institute for Advanced Study in Toulouse, University of Toulouse Capitole, Toulouse, France, Yale University, Yale SOM and Yale School of Management
Downloads 91 (315,805)
Citation 15

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Decision-Making Under the Gambler's Fallacy: Evidence from Asylum Judges, Loan Officers, and Baseball Umpires

Quarterly Journal of Economics, 131(3): 1181-1241, 2016
Posted: 22 Jun 2015 Last Revised: 20 Apr 2020
Daniel L. Chen, Tobias J. Moskowitz and Kelly Shue
Directeur de Recherche, Centre National de la Recherche Scientifique, Toulouse School of Economics, Institute for Advanced Study in Toulouse, University of Toulouse Capitole, Toulouse, France, Yale University, Yale SOM and Yale School of Management

Abstract:

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gambler's fallacy, law of small numbers, decision-making

38.

The Political Economy of Financial Regulation: Evidence from U.S. State Usury Laws in the 19th Century

NBER Working Paper No. w12851
Number of pages: 53 Posted: 24 Jan 2007 Last Revised: 30 Apr 2013
Tobias J. Moskowitz and Efraim Benmelech
Downloads 83 (331,699)
Citation 4

Abstract:

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39.

What Do We Really Know About the Cross-Sectional Relation between Past and Expected Returns?

NBER Working Paper No. w8744
Number of pages: 49 Posted: 24 Jan 2002 Last Revised: 15 Aug 2014
Mark Grinblatt and Tobias J. Moskowitz
University of California, Los Angeles (UCLA) - Finance Area and Yale University, Yale SOM
Downloads 82 (334,095)

Abstract:

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40.

Bank Mergers and Crime: The Real and Social Effects of Credit Market Competition

NBER Working Paper No. w11006
Number of pages: 48 Posted: 25 Jan 2005 Last Revised: 15 Aug 2014
Mark J. Garmaise and Tobias J. Moskowitz
University of California, Los Angeles (UCLA) - Anderson School of Management and Yale University, Yale SOM
Downloads 81 (336,577)
Citation 14

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41.

Do Liquidation Values Affect Financial Contracts? Evidence from Commercial Loan Contracts and Zoning Regulation

NBER Working Paper No. w11004
Number of pages: 50 Posted: 20 Jan 2005 Last Revised: 15 Aug 2014
Efraim Benmelech, Tobias J. Moskowitz and Mark J. Garmaise
Northwestern University - Kellogg School of Management, Yale University, Yale SOM and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 64 (383,123)
Citation 19

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42.

Testing Agency Theory with Entrepreneur Effort and Wealth

University of Illinois at Urbana-Champaign's Academy for Entrepreneurial Leadership Historical Research Reference in Entrepreneurship
Posted: 17 Nov 2009
University of California, Davis - Departments of Economics and Agricultural Resource Economics, Yale University, Yale SOM and National Bureau of Economic Research (NBER)

Abstract:

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Risks, Survey of Small Business Finances (Federal Reserve Board), Principal agent model, Survey of Consumer Finances, National Survey of Small Business Finances (Federal Reserve Board), Firm performance, Wealth, Agency theory, Private firms, Firm ownership, Equity, Contracts & agreements, Incentives