Andrea Frazzini

AQR Capital Management, LLC

Two Greenwich Plaza, 3rd Floor

Greenwich, CT 06830

United States

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

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 61

SSRN RANKINGS

Top 61

in Total Papers Downloads

116,980

SSRN CITATIONS
Rank 631

SSRN RANKINGS

Top 631

in Total Papers Citations

962

CROSSREF CITATIONS

538

Scholarly Papers (26)

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
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 30,261 (66)
Citation 13

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Momentum, Value, Market efficiency

2.
Downloads 17,318 ( 177)
Citation 32

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 16,272 (195)
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 1,038 (22,324)
Citation 6

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Size Matters, If You Control Your Junk

CEPR Discussion Paper No. DP12684
Number of pages: 62 Posted: 14 Feb 2018
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 8 (675,308)
Citation 6
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Junk, Microcap, Quality, Size, Size Anomaly, Size effect, Small Cap

3.

Quality Minus Junk

Number of pages: 80 Posted: 19 Aug 2013 Last Revised: 10 Jun 2017
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 15,802 (208)
Citation 139

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Quality Investing, Quality Minus Junk, QMJ

4.
Downloads 13,799 ( 266)
Citation 4

Buffett's Alpha

NBER Working Paper No. w19681
Number of pages: 46 Posted: 28 Nov 2013
Andrea Frazzini, David Kabiller and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 8,352 (692)

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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 5,447 (1,437)
Citation 5

Abstract:

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

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
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 10,643 (455)
Citation 11

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Value, momentum, market efficiency, behavioral finance

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

Number of pages: 73 Posted: 08 Feb 2017 Last Revised: 21 Jun 2018
AQR Capital Management, LLC, AQR Capital Management, LLC, University of Chicago - Booth School of Business and AQR Capital Management, LLC
Downloads 7,210 (878)
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
AQR Capital Management, LLC, AQR Capital Management, LLC, University of Chicago - Booth School of Business and AQR Capital Management, LLC
Downloads 2 (727,941)
Citation 7
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Asset Pricing, leverage constraints, lottery demand, margin, sentiment

7.

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 3,934 (2,590)
Citation 15

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8.

Low-Risk Investing Without Industry Bets

Number of pages: 27 Posted: 03 May 2013 Last Revised: 10 May 2013
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3,933 (2,590)
Citation 14

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Low Beta, Betting against Beta

9.

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 3,659 (2,927)
Citation 10

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10.
Downloads 3,399 ( 3,333)
Citation 269

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 3,132 (3,754)
Citation 269

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Betting Against Beta

NBER Working Paper No. w16601
Number of pages: 71 Posted: 13 Dec 2010
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 267 (124,591)
Citation 12

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11.

The Earnings Announcement Premium and Trading Volume

NBER Working Paper No. w13090
Number of pages: 53 Posted: 27 Jun 2007 Last Revised: 27 Oct 2007
Andrea Frazzini and Owen A. Lamont
AQR Capital Management, LLC and Harvard University - Department of Economics
Downloads 1,218 (17,876)
Citation 2

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12.

Fact and Fiction about Low-Risk Investing

NYU Stern School of Business
Number of pages: 26 Posted: 25 Mar 2020
AQR Capital Management LLC, AQR Capital Management, LLC, AQR Capital Management and AQR Capital Management, LLC
Downloads 1,184 (18,737)

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

13.
Downloads 910 ( 27,488)
Citation 46

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 794 (32,812)
Citation 45

Abstract:

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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 2010
Andrea Frazzini, Christopher J. Malloy and Lauren Cohen
AQR Capital Management, LLC, Harvard Business School and Harvard University - Business School (HBS)
Downloads 116 (261,606)

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14.
Downloads 780 ( 34,122)
Citation 2

Embedded Leverage

NBER Working Paper No. w18558
Number of pages: 60 Posted: 22 Nov 2012
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 658 (42,337)

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Embedded Leverage

Number of pages: 62 Posted: 28 Apr 2020
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 122 (251,951)

Abstract:

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

15.

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 770 (34,703)
Citation 6

Abstract:

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active share, mutual funds

16.

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 718 (38,186)
Citation 145

Abstract:

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G10, G11, G14

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: 15 Aug 2007
Andrea Frazzini, Christopher J. Malloy and Lauren Cohen
AQR Capital Management, LLC, Harvard Business School and Harvard University - Business School (HBS)
Downloads 439 (71,674)
Citation 43

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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: 01 Jul 2010
Andrea Frazzini and Owen A. Lamont
AQR Capital Management, LLC and Harvard University - Department of Economics
Downloads 396 (81,001)
Citation 22

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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 239 (140,153)
Citation 3

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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: 14 Apr 2010
Lauren Cohen, Andrea Frazzini and Christopher J. Malloy
Harvard University - Business School (HBS), AQR Capital Management, LLC and Harvard Business School
Downloads 168 (193,898)
Citation 9

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21.

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 101 (286,762)

Abstract:

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Social networks, connections, analysts, directors

22.

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 82 (327,193)

Abstract:

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Independent directors, appointments, analysts, board members

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 (599,264)
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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

Abstract:

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Value, momentum

25.

Leverage Aversion and Risk Parity

Financial Analysts Journal, Vol. 68, No. 1, 2012
Posted: 24 Jan 2012
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

Abstract:

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