Niels Joachim Gormsen

Copenhagen Business School

Solbjerg Plads 3

Frederiksberg C, DK - 2000

Denmark

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Scholarly Papers (1)

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Betting Against Correlation: Testing Theories of the Low-Risk Effect

Number of pages: 57 Posted: 08 Feb 2017
AQR Capital Management, LLC, AQR Capital Management, LLC, Copenhagen Business School and AQR Capital Management, LLC
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Abstract:

asset pricing, leverage constraints, lottery demand, margin, sentiment