Andrea Frazzini

AQR Capital Management, LLC

Two Greenwich Plaza, 3rd Floor

Greenwich, CT 06830

United States

http://www.econ.yale.edu/~af227/

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SCHOLARLY PAPERS

26

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Rank 72

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Top 72

in Total Papers Downloads

165,892

SSRN CITATIONS
Rank 334

SSRN RANKINGS

Top 334

in Total Papers Citations

3,014

CROSSREF CITATIONS

640

Scholarly Papers (26)

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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, Tobias J. Moskowitz and Tobias J. Moskowitz
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOMAQR Capital
Downloads 36,977 (101)
Citation 17

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Momentum, Value, Market efficiency

2.

Buffett's Alpha

Downloads 29,486 ( 156)
Citation 17

Buffett's Alpha

Financial Analysts Journal, 2018, 74 (4): 35-55
Number of pages: 34 Posted: 30 Jun 2018 Last Revised: 10 Jan 2019
Andrea Frazzini, David Kabiller and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 18,542 (359)
Citation 15

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investments, market efficiency, leverage, quality, value, betting against beta

Buffett's Alpha

NBER Working Paper No. w19681
Number of pages: 46 Posted: 28 Nov 2013 Last Revised: 12 Apr 2023
Andrea Frazzini, David Kabiller and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 10,944 (943)

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3.

Size Matters, If You Control Your Junk

Downloads 20,467 ( 298)
Citation 70

Size Matters, If You Control Your Junk

Fama-Miller Working Paper
Number of pages: 59 Posted: 23 Jan 2015 Last Revised: 16 Apr 2015
Clifford S. Asness, Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz, Tobias J. Moskowitz and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital and AQR Capital Management, LLC
Downloads 19,095 (336)
Citation 11

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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
Clifford S. Asness, Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz, Tobias J. Moskowitz and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital and AQR Capital Management, LLC
Downloads 1,359 (28,124)
Citation 7

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Size Matters, If You Control Your Junk

CEPR Discussion Paper No. DP12684
Number of pages: 62 Posted: 14 Feb 2018
Clifford S. Asness, Andrea Frazzini, Ronen Israel and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 13 (1,095,535)
Citation 15
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Junk, Microcap, Quality, Size, Size Anomaly, Size effect, Small Cap

4.

Quality Minus Junk

Number of pages: 80 Posted: 19 Aug 2013 Last Revised: 10 Jun 2017
Clifford S. Asness, Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 20,129 (310)
Citation 237

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Quality Investing, Quality Minus Junk, QMJ

5.

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, Tobias J. Moskowitz and Tobias J. Moskowitz
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOMAQR Capital
Downloads 13,379 (659)
Citation 13

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Value, momentum, market efficiency, behavioral finance

6.

Trading Costs

Number of pages: 88 Posted: 22 Aug 2018
Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz and Tobias J. Moskowitz
AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOMAQR Capital
Downloads 9,715 (1,152)
Citation 59

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7.

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

Downloads 8,850 ( 1,352)
Citation 34

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

Number of pages: 73 Posted: 08 Feb 2017 Last Revised: 21 Jun 2018
Clifford S. Asness, Andrea Frazzini, Niels Joachim Gormsen and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC, University of Chicago - Booth School of Business and AQR Capital Management, LLC
Downloads 8,848 (1,346)
Citation 5

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

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

CEPR Discussion Paper No. DP12686
Number of pages: 65 Posted: 14 Feb 2018
Clifford S. Asness, Andrea Frazzini, Niels Joachim Gormsen and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC, University of Chicago - Booth School of Business and AQR Capital Management, LLC
Downloads 2 (1,224,647)
Citation 9
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Asset Pricing, leverage constraints, lottery demand, margin, sentiment

8.

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, Tobias J. Moskowitz and Tobias J. Moskowitz
AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOMAQR Capital
Downloads 5,814 (2,762)
Citation 106

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9.

Betting Against Beta

Downloads 4,792 ( 3,850)
Citation 657

Betting Against Beta

Swiss Finance Institute Research Paper No. 12-17
Number of pages: 85 Posted: 03 May 2012
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 4,353 (4,461)
Citation 323

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Betting Against Beta

NBER Working Paper No. w16601
Number of pages: 71 Posted: 13 Dec 2010 Last Revised: 13 May 2023
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 439 (126,985)
Citation 11

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10.

Low-Risk Investing Without Industry Bets

Number of pages: 27 Posted: 03 May 2013 Last Revised: 10 May 2013
Clifford S. Asness, Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 4,258 (4,708)
Citation 27

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Low Beta, Betting against Beta

11.

Fact and Fiction about Low-Risk Investing

NYU Stern School of Business
Number of pages: 26 Posted: 25 Mar 2020
Ron Alquist, Andrea Frazzini, Antti Ilmanen and Lasse Heje Pedersen
Financial Stability Oversight Council, U.S. Treasury, AQR Capital Management, LLC, AQR Capital Management and AQR Capital Management, LLC
Downloads 2,164 (14,011)

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Low-risk investing, betting against beta, capital asset pricing model, factor premiums

12.

The Earnings Announcement Premium and Trading Volume

NBER Working Paper No. w13090
Number of pages: 53 Posted: 27 Jun 2007 Last Revised: 09 Oct 2022
Andrea Frazzini and Owen A. Lamont
AQR Capital Management, LLC and Harvard University - Department of Economics
Downloads 2,040 (15,327)
Citation 4

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13.

Embedded Leverage

Downloads 1,806 (18,639)
Citation 23

Embedded Leverage

NBER Working Paper No. w18558
Number of pages: 60 Posted: 22 Nov 2012 Last Revised: 18 Mar 2023
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,200 (33,784)
Citation 20

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Embedded Leverage

NYU Stern School of Business
Number of pages: 62 Posted: 28 Apr 2020
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 606 (85,628)

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leverage, options, exchange traded funds, ETFs, asset pricing puzzles

14.

Economic Links and Predictable Returns

Number of pages: 46 Posted: 06 Apr 2016
Lauren Cohen and Andrea Frazzini
Harvard University - Business School (HBS) and AQR Capital Management, LLC
Downloads 1,453 (25,951)
Citation 396

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G10, G11, G14

15.

Sell Side School Ties

Downloads 1,256 (32,179)
Citation 164

Sell Side School Ties

Harvard Business School Finance Working Paper No. 08-074
Number of pages: 39 Posted: 20 Feb 2008 Last Revised: 08 Apr 2016
Lauren Cohen, Andrea Frazzini and Christopher J. Malloy
Harvard University - Business School (HBS), AQR Capital Management, LLC and Harvard Business School
Downloads 1,053 (40,766)
Citation 69

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Social networks, connections, analysts, directors

Sell Side School Ties

NBER Working Paper No. w13973
Number of pages: 45 Posted: 12 May 2008 Last Revised: 07 Sep 2022
Andrea Frazzini, Christopher J. Malloy and Lauren Cohen
AQR Capital Management, LLC, Harvard Business School and Harvard University - Business School (HBS)
Downloads 203 (285,555)
Citation 100

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16.

Deactivating Active Share

Financial Analysts Journal, vol. 72, no. 2 (March/April 2016)
Number of pages: 14 Posted: 22 Apr 2015 Last Revised: 15 Jan 2016
Andrea Frazzini, Jacques Friedman and Lukasz Pomorski
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 966 (46,793)
Citation 7

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active share, mutual funds

17.

The Small World of Investing: Board Connections and Mutual Fund Returns

NBER Working Paper No. w13121
Number of pages: 55 Posted: 27 Jun 2007 Last Revised: 09 Nov 2022
Andrea Frazzini, Christopher J. Malloy and Lauren Cohen
AQR Capital Management, LLC, Harvard Business School and Harvard University - Business School (HBS)
Downloads 681 (74,748)
Citation 74

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18.

Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns

NBER Working Paper No. w11526
Number of pages: 60 Posted: 15 Sep 2005 Last Revised: 07 Apr 2023
Andrea Frazzini and Owen A. Lamont
AQR Capital Management, LLC and Harvard University - Department of Economics
Downloads 645 (80,032)
Citation 36

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19.

Economic Links and Predictable Returns Appendix

Number of pages: 13 Posted: 08 Apr 2016
Lauren Cohen and Andrea Frazzini
Harvard University - Business School (HBS) and AQR Capital Management, LLC
Downloads 351 (165,197)
Citation 4

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Economic links, customers, suppliers, inattention

20.

Hiring Cheerleaders: Board Appointments of "Independent" Directors

NBER Working Paper No. w14232
Number of pages: 46 Posted: 18 Aug 2008 Last Revised: 21 Nov 2022
Lauren Cohen, Andrea Frazzini and Christopher J. Malloy
Harvard University - Business School (HBS), AQR Capital Management, LLC and Harvard Business School
Downloads 278 (211,341)
Citation 28

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21.

Management Science Online Appendix Tables: Hiring Cheerleaders: Board Appointments of 'Independent' Directors

Number of pages: 10 Posted: 08 Apr 2016
Lauren Cohen, Andrea Frazzini and Christopher J. Malloy
Harvard University - Business School (HBS), AQR Capital Management, LLC and Harvard Business School
Downloads 186 (309,971)

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Independent directors, appointments, analysts, board members

22.

Sell Side School Ties: Internet Appendix

Number of pages: 20 Posted: 08 Apr 2016
Lauren Cohen, Andrea Frazzini and Christopher J. Malloy
Harvard University - Business School (HBS), AQR Capital Management, LLC and Harvard Business School
Downloads 184 (312,953)

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Social networks, connections, analysts, directors

23.

Buffett's Alpha

CEPR Discussion Paper No. DP9769
Number of pages: 48 Posted: 02 Dec 2013
Andrea Frazzini, David Kabiller and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 15 (1,036,911)
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betting against beta, leverage, market efficiency, quality, value

24.

The Devil in HML's Details

Posted: 09 May 2012 Last Revised: 09 Jun 2014
Clifford S. Asness and Andrea Frazzini
AQR Capital Management, LLC and AQR Capital Management, LLC

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Value, momentum

25.

Leverage Aversion and Risk Parity

Financial Analysts Journal, Vol. 68, No. 1, 2012
Posted: 24 Jan 2012
Clifford S. Asness, Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

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Portfolio Management, Portfolio Concepts from Capital Market Theory, Markowitz Portfolio Theory, Risk Management, Risk Management, Portfolio Risk Management, Risk Management Strategies

26.

The Disposition Effect and Under-Reaction to News

Journal of Finance, Forthcoming
Posted: 28 Jul 2005
Andrea Frazzini
AQR Capital Management, LLC

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Disposition Effect, Under-reaction, Earnings announcements, Behavioral Finance