Nathan Sosner

AQR Capital Management, LLC

Principal

One Greenwich Plaza

Greenwich, CT 06830

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 24,183

SSRN RANKINGS

Top 24,183

in Total Papers Downloads

1,937

SSRN RANKINGS

Top 22,846

in Total Papers Citations

12

!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information

Scholarly Papers (10)

1.

Trade and the Comovement of Stock Returns: Evidence from Japan

Number of pages: 59 Posted: 10 Jan 2003
Nathan Sosner and Robin M. Greenwood
AQR Capital Management, LLC and Harvard Business School - Finance Unit
Downloads 435 (64,509)

Abstract:

Loading...

comovement, beta, stock market index

2.

Taxes, Shorting, and Active Management

Financial Analysts Journal, Vol. 74, No. 1, 2018
Number of pages: 35 Posted: 28 Jan 2017 Last Revised: 12 Dec 2017
Clemens Sialm and Nathan Sosner
University of Texas at Austin - McCombs School of Business and AQR Capital Management, LLC
Downloads 428 (65,819)

Abstract:

Loading...

Tax-Efficient Asset Management, Short-Selling, Quantitative Strategies

3.

The Tax Benefits of Separating Alpha from Beta

Number of pages: 51 Posted: 25 May 2018 Last Revised: 27 Mar 2019
AQR Capital Management, LLC, University of Texas at Austin - McCombs School of Business, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 407 (70,170)

Abstract:

Loading...

Alpha-Beta Separation, Portable Alpha, Active Management, Long-Short, Long-Only, Tax Efficiency, After-Tax Performance

4.

Sources of Institutional Performance

Number of pages: 64 Posted: 13 May 2008
Boris Kovtunenko and Nathan Sosner
Acadian Asset Management and AQR Capital Management, LLC
Downloads 178 (165,760)

Abstract:

Loading...

financial institutions, performance evaluation, return on equity, expected returns

5.

Multi-Period After-Tax Reporting: A Practical Solution

Journal of Wealth Management, Winter 2018, 21 (3) 11-25; DOI: 10.3905/jwm.2018.21.3.011
Number of pages: 36 Posted: 30 Mar 2018 Last Revised: 06 Dec 2018
Nathan Sosner, Rodney N Sullivan and Liliana Urrutia
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 164 (178,999)

Abstract:

Loading...

after tax reporting, tax efficient investing, wealth management

6.

The Tax Benefits of Relaxing the Long-Only Constraint: Do They Come from Character or Deferral?

The Journal of Wealth Management, Spring 2019, 21 (4) 10-31; DOI: 10.3905/jwm.2019.1.068
Number of pages: 48 Posted: 25 Oct 2018 Last Revised: 07 Feb 2019
Nathan Sosner, Stanley Krasner and Ted Pyne
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 120 (228,956)

Abstract:

Loading...

Tax-Aware Portfolio Management, Active Management, Quantitative Strategies, Relaxed-Constraint Strategies

7.

Partnership Allocations and Their Effects on Tax-Aware Fund Investors

The Journal of Wealth Management, Summer 2018, 21 (1) 8-17; DOI: 10.3905/jwm.2018.21.1.008
Number of pages: 22 Posted: 13 Nov 2017 Last Revised: 06 May 2018
Nathan Sosner, Philip Balzafiore and Zhenduo Du
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 102 (257,024)

Abstract:

Loading...

Taxation, Limited Partnership, Tax Aware, Tax Managed, Securities Partnership, Partnership Accounting, Partnership Allocations, Tax Allocations, Partner Outside Basis

8.

Avoidance of Small Stocks and Institutional Performance

Number of pages: 50 Posted: 19 Jun 2008
Boris Kovtunenko and Nathan Sosner
Acadian Asset Management and AQR Capital Management, LLC
Downloads 65 (336,419)

Abstract:

Loading...

financial institutions, performance evaluation, return on equity, expected returns

9.

Should Taxable Investors Shun Dividends?

Number of pages: 43
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 38

Abstract:

Loading...

Tax-Aware Portfolio Management, Active Management, Quantitative Strategies, Long-only Investing, Dividend Yield, Capital Gains

10.

Trading Patterns and Excess Comovement of Stock Returns

Financial Analysts Journal, Vol. 63, No. 5, 2007
Posted: 28 Sep 2007
Nathan Sosner and Robin M. Greenwood
AQR Capital Management, LLC and Harvard Business School - Finance Unit

Abstract:

Loading...

Equity Investments, Fundamental Analysis and Valuation Models, Portfolio Management, Equity Strategies, Asset Allocation, Trading and Execution, Portfolio Construction, Rebalancing, and Implementation, Investment Theory, Behavioral Finance, Efficient Market Theory, Risk Measurement and Management