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

39

DOWNLOADS
Rank 44

SSRN RANKINGS

Top 44

in Total Papers Downloads

128,109

CITATIONS
Rank 403

SSRN RANKINGS

Top 403

in Total Papers Citations

1,120

Scholarly Papers (39)

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 26,886 (61)
Citation 1

Abstract:

Loading...

Momentum, Value, Market efficiency

2.
Downloads 18,254 ( 128)
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, Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 11,268 (306)
Citation 88

Abstract:

Loading...

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 6,986 (764)
Citation 88

Abstract:

Loading...

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 15,062 (185)

Abstract:

Loading...

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 884 (23,820)

Abstract:

Loading...

4.
Downloads 10,597 ( 357)
Citation 4

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 9,916 (397)
Citation 4

Abstract:

Loading...

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 556 (44,924)
Citation 4

Abstract:

Loading...

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 121 (219,789)
Citation 4

Abstract:

Loading...

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 4 (609,440)
Citation 4
  • Add to Cart

Abstract:

Loading...

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

5.
Downloads 7,448 ( 395)
Citation 15

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 6,171 (953)
Citation 15

Abstract:

Loading...

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 732 (31,075)
Citation 15

Abstract:

Loading...

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 487 (53,081)
Citation 15

Abstract:

Loading...

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 58 (347,771)
Citation 15

Abstract:

Loading...

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 9,512 (438)
Citation 1

Abstract:

Loading...

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 7,262 (716)
Citation 26

Abstract:

Loading...

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
AQR Capital Management LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 4,729 (1,514)

Abstract:

Loading...

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 4,596 (1,589)

Abstract:

Loading...

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

10.

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 2,984 (3,401)
Citation 8

Abstract:

Loading...

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 2,344 (5,104)

Abstract:

Loading...

12.

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 1,966 (6,859)
Citation 4

Abstract:

Loading...

13.

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 Yale University, Yale SOM
Downloads 1,789 (8,098)
Citation 27

Abstract:

Loading...

14.

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 1,556 (10,166)

Abstract:

Loading...

fixed income, asset pricing, international financial markets

15.

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 Yale University, Yale SOM
Downloads 1,541 (10,314)
Citation 14

Abstract:

Loading...

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 1,328 (13,105)

Abstract:

Loading...

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 1,127 (16,526)
Citation 297

Abstract:

Loading...

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

Abstract:

Loading...

18.

An Analysis of Risk and Pricing Anomalies

CRSP Working Paper No. 500
Number of pages: 40 Posted: 15 Mar 2000
Tobias J. Moskowitz
Yale University, Yale SOM
Downloads 1,112 (17,202)
Citation 37

Abstract:

Loading...

19.

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 Yale University, Yale SOM
Downloads 1,056 (18,561)
Citation 4

Abstract:

Loading...

20.

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 1,014 (19,723)
Citation 5

Abstract:

Loading...

21.

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 Yale University, Yale SOM
Downloads 1,005 (20,004)
Citation 130

Abstract:

Loading...

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 792 (27,826)
Citation 7

Abstract:

Loading...

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 50 (373,506)
Citation 7

Abstract:

Loading...

23.

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 694 (33,915)
Citation 1

Abstract:

Loading...

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 Yale University, Yale SOM
Downloads 420 (63,827)
Citation 31

Abstract:

Loading...

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 44 (394,515)
Citation 31

Abstract:

Loading...

25.

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 Yale University, Yale SOM
Downloads 328 (85,993)

Abstract:

Loading...

26.

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 Yale University, Yale SOM
Downloads 263 (109,187)
Citation 7

Abstract:

Loading...

27.

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 232 (124,207)
Citation 26

Abstract:

Loading...

Financial Development, Regulation, Usury

28.

Fake News: Evidence from Financial Markets

Number of pages: 72 Posted: 31 Aug 2018
Shimon Kogan, Tobias J. Moskowitz and Marina Niessner
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 223 (129,684)

Abstract:

Loading...

29.

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 202 (141,810)
Citation 84

Abstract:

Loading...

30.

Understanding Momentum and Reversal

Number of pages: 1 Posted: 04 Nov 2018 Last Revised: 27 Nov 2018
Bryan T. Kelly, Tobias J. Moskowitz and Seth Pruitt
Yale SOM, Yale University, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 196 (148,778)

Abstract:

Loading...

momentum, factor model, conditional betas, conditional expected returns, IPCA

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 192 (148,680)
Citation 193

Abstract:

Loading...

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:

Loading...

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

32.

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 94 (261,053)
Citation 18

Abstract:

Loading...

33.

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 77 (295,042)
Citation 4

Abstract:

Loading...

34.

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 76 (297,358)
Citation 20

Abstract:

Loading...

35.

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 73 (304,288)
Citation 25

Abstract:

Loading...

36.

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 59 (340,117)
Citation 39

Abstract:

Loading...

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
TOULOUSE SCHOOL OF ECONOMICS, INSTITUTE FOR ADVANCED STUDY IN TOULOUSE, Yale University, Yale SOM and Yale School of Management
Downloads 42 (401,989)

Abstract:

Loading...

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

QJE, Vol.131, No.3, 2016, • Featured in The Washington Post, NPR, U.S. News & World Report, Bloomberg View, NBER Digest, Marginal Revolution, Money Talks, Big Think, Wirtschafts Woche, and Chicago Booth Capital Ideas, 2015, • Best Paper Award, Utah Redrock Finance Conf. Oliver Williamson Best Con Finalist, SIOE, 2015
Posted: 22 Jun 2015 Last Revised: 28 May 2017
Daniel L. Chen, Tobias J. Moskowitz and Kelly Shue
TOULOUSE SCHOOL OF ECONOMICS, INSTITUTE FOR ADVANCED STUDY IN TOULOUSE, Yale University, Yale SOM and Yale School of Management

Abstract:

Loading...

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

38.

Mispricing Premia

Posted: 03 Nov 2018
Todd M. Hazelkorn, Tobias J. Moskowitz and Kaushik Vasudevan
AQR Capital Management, LLC, Yale University, Yale SOM and Yale School of Management

Abstract:

Loading...

39.

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:

Loading...

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