Andrea Frazzini

AQR Capital Management, LLC

Two Greenwich Plaza, 3rd Floor

Greenwich, CT 06830

United States

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

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 78

SSRN RANKINGS

Top 78

in Total Papers Downloads

98,111

CITATIONS
Rank 837

SSRN RANKINGS

Top 837

in Total Papers Citations

630

Scholarly Papers (25)

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 27,119 (61)
Citation 1

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Momentum, Value, Market efficiency

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 15,169 (184)

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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 896 (23,461)

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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 4 (613,681)
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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 14,064 (206)
Citation 2

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Quality Investing, Quality Minus Junk, QMJ

4.

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 9,619 (433)
Citation 1

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Value, momentum, market efficiency, behavioral finance

5.
Downloads 8,048 ( 599)

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 6,825 (795)

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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 1,223 (14,918)

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

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 6,326 (916)

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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 1 (645,603)
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Asset Pricing, leverage constraints, lottery demand, margin, sentiment

7.

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 3,763 (2,282)

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Low Beta, Betting against Beta

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 and Tobias J. Moskowitz
AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 3,000 (3,393)
Citation 8

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9.
Downloads 2,945 ( 3,496)
Citation 47

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 2,742 (3,872)
Citation 47

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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 203 (142,535)
Citation 47

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10.

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 2,460 (4,777)

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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 1,027 (19,472)
Citation 37

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12.
Downloads 816 ( 27,338)
Citation 63

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 Business School, AQR Capital Management, LLC and Harvard Business School
Downloads 711 (32,505)
Citation 63

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 Business School
Downloads 105 (245,197)
Citation 63

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13.

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 711 (33,076)

Abstract:

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active share, mutual funds

14.

Economic Links and Predictable Returns

Number of pages: 46 Posted: 06 Apr 2016
Lauren Cohen and Andrea Frazzini
Harvard Business School and AQR Capital Management, LLC
Downloads 540 (47,402)
Citation 80

Abstract:

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G10, G11, G14

15.

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 422 (64,484)
Citation 8

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16.

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 342 (82,557)
Citation 96

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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 Business School
Downloads 341 (82,823)
Citation 135

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18.

Economic Links and Predictable Returns Appendix

Number of pages: 13 Posted: 08 Apr 2016
Lauren Cohen and Andrea Frazzini
Harvard Business School and AQR Capital Management, LLC
Downloads 193 (149,678)
Citation 79

Abstract:

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Economic links, customers, suppliers, inattention

19.

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 Business School, AQR Capital Management, LLC and Harvard Business School
Downloads 150 (186,689)
Citation 14

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20.

Sell Side School Ties: Internet Appendix

Number of pages: 20 Posted: 08 Apr 2016
Lauren Cohen, Andrea Frazzini and Christopher J. Malloy
Harvard Business School, AQR Capital Management, LLC and Harvard Business School
Downloads 75 (301,365)
Citation 59

Abstract:

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Social networks, connections, analysts, directors

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 Business School, AQR Capital Management, LLC and Harvard Business School
Downloads 66 (323,218)

Abstract:

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Independent directors, appointments, analysts, board members

22.

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 14 (529,703)
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betting against beta, leverage, market efficiency, quality, value

23.

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

24.

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

Abstract:

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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

25.

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