Tobias J. Moskowitz

AQR Capital

Greenwich, CT

United States

University of Chicago - Booth School of Business

Fama Family Professor of Finance

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

National Bureau of Economic Research (NBER)

Research Associate

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

32

DOWNLOADS
Rank 56

SSRN RANKINGS

Top 56

in Total Papers Downloads

92,578

CITATIONS
Rank 400

SSRN RANKINGS

Top 400

in Total Papers Citations

1,119

Scholarly Papers (32)

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 AQR Capital
Downloads 16,043 (71)
Citation 1

Abstract:

Momentum, Value, Market efficiency

2.
Downloads 15,733 ( 130)
Citation 88

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, AQR Capital and AQR Capital Management, LLC
Downloads 10,282 (270)
Citation 88

Abstract:

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, AQR Capital and AQR Capital Management, LLC
Downloads 5,451 (895)
Citation 88

Abstract:

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, AQR Capital and AQR Capital Management, LLC
Downloads 11,695 (216)

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, AQR Capital and AQR Capital Management, LLC
Downloads 335 (69,743)

Abstract:

4.
Downloads 6,056 ( 420)
Citation 13

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 AQR Capital
Downloads 5,106 (1,008)
Citation 13

Abstract:

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 AQR Capital
Downloads 590 (34,368)
Citation 13

Abstract:

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 AQR Capital
Downloads 332 (70,517)
Citation 13

Abstract:

Momentum Crashes

NBER Working Paper No. w20439
Number of pages: 52 Posted: 02 Sep 2014
Kent D. Daniel and Tobias J. Moskowitz
Columbia Business School - Finance and Economics and AQR Capital
Downloads 28 (401,310)
Citation 13
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Abstract:

5.
Downloads 6,813 ( 610)
Citation 4

Carry

Fama-Miller Working Paper
Number of pages: 67 Posted: 26 Jul 2013 Last Revised: 01 Nov 2016
New York University (NYU) - Department of Finance, AQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 6,419 (672)
Citation 4

Abstract:

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
New York University (NYU) - Department of Finance, AQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 328 (71,550)
Citation 4

Abstract:

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
New York University (NYU) - Department of Finance, AQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 62 (288,595)
Citation 4

Abstract:

Carry

CEPR Discussion Paper No. DP9771
Number of pages: 66 Posted: 02 Dec 2013
New York University (NYU) - Department of Finance, AQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 4 (532,718)
Citation 4
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Abstract:

bonds, carry trade, commodities, corporate bonds, currencies, global recessions, liquidity risk, options, predictability stocks, volatility risk

6.

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
Clifford S. Asness, Andrea Frazzini, Ronen Israel and Tobias J. Moskowitz
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital
Downloads 4,728 (541)
Citation 1

Abstract:

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
AQR Capital, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3,312 (1,061)
Citation 28

Abstract:

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

Fama-Miller Working Paper
Number of pages: 60 Posted: 15 Dec 2014 Last Revised: 22 Mar 2016
Daniel L. Chen, Tobias J. Moskowitz and Kelly Shue
University of Toulouse 1 - Toulouse School of Economics Institute for Advanced Studies/Harvard Law School LWP, AQR Capital and University of Chicago - Booth School of Business
Downloads 1,782 (6,287)

Abstract:

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

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

Chicago Booth Research Paper No. 15-27
Number of pages: 60 Posted: 25 Jul 2015 Last Revised: 22 Mar 2016
Daniel L. Chen, Tobias J. Moskowitz and Kelly Shue
University of Toulouse 1 - Toulouse School of Economics Institute for Advanced Studies/Harvard Law School LWP, AQR Capital and University of Chicago - Booth School of Business
Downloads 104 (209,510)

Abstract:

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

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
Daniel L. Chen, Tobias J. Moskowitz and Kelly Shue
University of Toulouse 1 - Toulouse School of Economics Institute for Advanced Studies/Harvard Law School LWP, AQR Capital and University of Chicago - Booth School of Business
Downloads 15 (472,796)
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Abstract:

9.

The Private Equity Premium Puzzle

CRSP Working Paper No. 524
Number of pages: 51 Posted: 21 Feb 2001
Annette Vissing-Jorgensen and Tobias J. Moskowitz
National Bureau of Economic Research (NBER) and AQR Capital
Downloads 1,704 (6,734)
Citation 27

Abstract:

10.

The Cross Section Of Expected Returns And Its Relation To Past Returns: New Evidence

CRSP Working Paper No. 503; Yale ICF Working Paper No. 99-09
Number of pages: 42 Posted: 20 Oct 1999
Mark Grinblatt and Tobias J. Moskowitz
University of California, Los Angeles (UCLA) - Finance Area and AQR Capital
Downloads 1,462 (8,584)
Citation 14

Abstract:

11.

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 AQR Capital
Downloads 1,269 (7,063)
Citation 3

Abstract:

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 AQR Capital
Downloads 1,071 (14,495)
Citation 299

Abstract:

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 AQR Capital

Abstract:

13.

An Analysis of Risk and Pricing Anomalies

CRSP Working Paper No. 500
Number of pages: 40 Posted: 15 Mar 2000
Tobias J. Moskowitz
AQR Capital
Downloads 1,041 (14,586)
Citation 37

Abstract:

14.

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

Yale ICF Working Paper No. 00-72
Number of pages: 50 Posted: 25 Jan 2002
Mark Grinblatt and Tobias J. Moskowitz
University of California, Los Angeles (UCLA) - Finance Area and AQR Capital
Downloads 1,011 (15,607)
Citation 4

Abstract:

15.

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 AQR Capital
Downloads 985 (6,349)
Citation 7

Abstract:

16.

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 AQR Capital
Downloads 958 (16,808)
Citation 5

Abstract:

17.

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

CRSP Working Paper No. 547
Number of pages: 42 Posted: 27 May 2003
Kewei Hou and Tobias J. Moskowitz
Ohio State University (OSU) - Department of Finance and AQR Capital
Downloads 914 (17,518)
Citation 128

Abstract:

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, AQR Capital and Ohio State University - Fisher College of Business
Downloads 748 (24,808)
Citation 8

Abstract:

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
Steven N. Kaplan, Tobias J. Moskowitz and Berk A. Sensoy
University of Chicago - Booth School of Business, AQR Capital and Ohio State University - Fisher College of Business
Downloads 42 (346,052)
Citation 8

Abstract:

Confronting Information Asymmetries: Evidence from Real Estate Markets

Center for Research in Security Prices (CRSP) Working Paper No. 507
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 AQR Capital
Downloads 409 (55,002)
Citation 31

Abstract:

Confronting Information Asymmetries: Evidence from Real Estate Markets

NBER Working Paper No. w8877
Number of pages: 46 Posted: 04 Apr 2002
Mark J. Garmaise and Tobias J. Moskowitz
University of California, Los Angeles (UCLA) - Anderson School of Management and AQR Capital
Downloads 36 (367,604)
Citation 31

Abstract:

20.

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 AQR Capital
Downloads 351 (44,428)
Citation 1

Abstract:

21.

Asset Pricing and Sports Betting

Chicago Booth Research Paper No. 15-26
Number of pages: 77 Posted: 25 Jul 2015
Tobias J. Moskowitz
AQR Capital
Downloads 340 (15,888)

Abstract:

22.

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

CRSP Working Paper No. 517
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 AQR Capital
Downloads 304 (74,597)

Abstract:

23.

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

AFA 2005 Philadelphia Meetings Paper
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 AQR Capital
Downloads 227 (99,147)
Citation 7

Abstract:

24.
Downloads 212 (108,159)
Citation 26

Abstract:

Financial Development, Regulation, Usury

25.

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 AQR Capital
Downloads 178 (127,902)
Citation 82

Abstract:

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

NBER Working Paper No. w8876
Number of pages: 54 Posted: 04 Apr 2002
Annette Vissing-Jorgensen and Tobias J. Moskowitz
National Bureau of Economic Research (NBER) and AQR Capital
Downloads 143 (163,885)
Citation 194

Abstract:

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
AQR Capital and National Bureau of Economic Research (NBER)

Abstract:

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

27.

Informal Financial Networks: Theory and Evidence

NBER Working Paper No. w8874
Number of pages: 51 Posted: 04 Apr 2002
Mark J. Garmaise and Tobias J. Moskowitz
University of California, Los Angeles (UCLA) - Anderson School of Management and AQR Capital
Downloads 71 (245,215)
Citation 18

Abstract:

28.

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
Mark J. Garmaise and Tobias J. Moskowitz
University of California, Los Angeles (UCLA) - Anderson School of Management and AQR Capital
Downloads 66 (275,686)
Citation 20

Abstract:

29.

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
Mark Grinblatt and Tobias J. Moskowitz
University of California, Los Angeles (UCLA) - Finance Area and AQR Capital
Downloads 61 (264,831)
Citation 4

Abstract:

30.

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
Efraim Benmelech, Tobias J. Moskowitz and Mark J. Garmaise
Northwestern University - Kellogg School of Management, AQR Capital and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 52 (310,121)
Citation 39

Abstract:

31.
Downloads 49 (294,438)
Citation 25

Abstract:

32.

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, AQR Capital and National Bureau of Economic Research (NBER)

Abstract:

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