Clifford S. Asness

AQR Capital Management, LLC

Managing and Founding Principal

Two Greenwich Plaza, 3rd Floor

Greenwich, CT 06830

United States

http://www.aqrcapital.com

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SCHOLARLY PAPERS

29

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SSRN CITATIONS
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1,566

CROSSREF CITATIONS

475

Scholarly Papers (29)

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1.

Pulling the Goalie: Hockey and Investment Implications

Number of pages: 13 Posted: 08 Mar 2018 Last Revised: 08 Oct 2018
Clifford S. Asness and Aaron Brown
AQR Capital Management, LLC and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 59,754 (36)

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Behavioral Finance, Portfolio and Risk Management, Hockey, Goalie Pull, Sports Economics

2.

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 35,288 (94)
Citation 17

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Momentum, Value, Market efficiency

3.

Value and Momentum Everywhere

Downloads 23,284 ( 197)
Citation 603

Value and Momentum Everywhere

AFA 2010 Atlanta Meetings Paper
Number of pages: 54 Posted: 20 Mar 2009
Clifford S. Asness, Tobias J. Moskowitz, Tobias J. Moskowitz and Lasse Heje Pedersen
AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital and AQR Capital Management, LLC
Downloads 12,959 (568)
Citation 525

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value effect, momentum, commonality, liquidity risk

Value and Momentum Everywhere

Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72 Posted: 14 Nov 2012
Clifford S. Asness, Tobias J. Moskowitz, Tobias J. Moskowitz and Lasse Heje Pedersen
AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital and AQR Capital Management, LLC
Downloads 10,325 (872)
Citation 102

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4.

Size Matters, If You Control Your Junk

Downloads 19,729 ( 262)
Citation 56

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 18,473 (293)
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 1,243 (27,588)
Citation 5

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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 (949,092)
Citation 15
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Junk, Microcap, Quality, Size, Size Anomaly, Size effect, Small Cap

5.

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 18,668 (295)
Citation 237

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Quality Investing, Quality Minus Junk, QMJ

6.

Fight the Fed Model: The Relationship between Stock Market Yields, Bond Market Yields, and Future Returns

Number of pages: 33 Posted: 23 Mar 2003
Clifford S. Asness
AQR Capital Management, LLC
Downloads 17,719 (320)
Citation 48

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7.

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 12,492 (619)
Citation 13

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Value, momentum, market efficiency, behavioral finance

8.

Does Dividend Policy Foretell Earnings Growth?

Number of pages: 34 Posted: 07 Jan 2002
Robert D. Arnott and Clifford S. Asness
Research Affiliates, LLC and AQR Capital Management, LLC
Downloads 11,169 (764)
Citation 3

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9.

Deep Value

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Citation 7

Deep Value

Number of pages: 59 Posted: 28 Nov 2017 Last Revised: 12 Dec 2017
Clifford S. Asness, John M. Liew, Lasse Heje Pedersen and Ashwin K Thapar
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 10,182 (894)
Citation 2

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value investing, market efficiency, bubbles, behavioral finance, over-reaction, demand pressure, arbitrage, noise

Deep Value

CEPR Discussion Paper No. DP12685
Number of pages: 62 Posted: 14 Feb 2018
Clifford S. Asness, John M. Liew, Lasse Heje Pedersen and Ashwin K Thapar
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 5 (1,028,055)
Citation 6
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arbitrage, behavioral finance, bubbles, demand pressure, Market Efficiency, noise, over-reaction, value investing

10.

The Siren Song of Factor Timing

Journal of Portfolio Management, Vol. Special Issue, No. 1, 2016
Number of pages: 9 Posted: 18 Apr 2016 Last Revised: 23 Jun 2016
Clifford S. Asness
AQR Capital Management, LLC
Downloads 10,045 (924)
Citation 6

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Factor Investing, Smart Beta, Style Investing

11.

Do Hedge Funds Hedge?

Number of pages: 21 Posted: 10 Jan 2001
Clifford S. Asness, Robert Krail and John M. Liew
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 9,216 (1,060)
Citation 66

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12.

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

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Citation 27

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 8,496 (1,218)
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 (1,053,615)
Citation 9
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Asset Pricing, leverage constraints, lottery demand, margin, sentiment

13.

My Factor Philippic

Number of pages: 30 Posted: 25 Jun 2016 Last Revised: 15 Jul 2016
Clifford S. Asness
AQR Capital Management, LLC
Downloads 7,306 (1,588)
Citation 3

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14.

Bubble Logic: Or, How to Learn to Stop Worrying and Love the Bull

AQR Capital Management Working Paper
Number of pages: 51 Posted: 31 Oct 2000
Clifford S. Asness
AQR Capital Management, LLC
Downloads 6,529 (1,918)
Citation 5

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15.

Predicting Stock Returns Using Industry-Relative Firm Characteristics

Number of pages: 46 Posted: 05 Jul 2000
Clifford S. Asness, R. Burt Porter and Ross L. Stevens
AQR Capital Management, LLC, Iowa State University and Stone Ridge
Downloads 5,660 (2,438)
Citation 82

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16.

Buyback Derangement Syndrome

Journalof Portfolio Management, Forthcoming
Number of pages: 13 Posted: 08 Dec 2017 Last Revised: 28 Feb 2018
Clifford S. Asness, Todd M. Hazelkorn and Scott A. Richardson
AQR Capital Management, LLC, AQR Capital Management, LLC and London Business School
Downloads 5,596 (2,489)
Citation 3

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Share Repurchases, Buybacks

17.

Contrarian Factor Timing is Deceptively Difficult

Journal of Portfolio Management, Forthcoming
Number of pages: 29 Posted: 09 Mar 2017
Clifford S. Asness, Swati Chandra, Antti Ilmanen and Ronen Israel
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management and AQR Capital Management, LLC
Downloads 4,809 (3,241)
Citation 9

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factor investing, factor timing, styles, value timing, value spreads, contrarian timing, value, momentum, defensive, tactical timing, smart beta, low beta, BAB, low volatility

18.

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 4,174 (4,147)
Citation 23

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Low Beta, Betting against Beta

19.

Rethinking the Equity Risk Premium

Brett Hammond, Martin Leibowitz, and Laurence Siegel (Eds), Rethinking the Equity Premium, Research Foundation of CFA Institute, 2011-1
Number of pages: 164 Posted: 12 Jun 2015 Last Revised: 19 Mar 2016
P. Brett Hammond, Martin L. Leibowitz, Laurence B. Siegel, Roger G. Ibbotson, Clifford S. Asness, Elroy Dimson, Paul Marsh, Mike Staunton, Richard C. Grinold, Kenneth F. Kroner, Robert D. Arnott, Antti Ilmanen, Peng Cheng, Andrew Ang, Zhang Xiaoyan, Jeremy J. Siegel and Rajnish Mehra
Pension Research Council, Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF), CFA Institute Research Foundation, Yale School of Management, AQR Capital Management, LLC, University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting, London Business School - Institute of Finance and Accounting, Barclays, BlackRock, Inc - San Francisco, Research Affiliates, LLC, AQR Capital Management, Xi'an Jiaotong - Liverpool University - International Business School Suzhou, BlackRock, Inc, Independent, University of Pennsylvania - Finance Department and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 3,301 (6,143)
Citation 12

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ERP, Equity risk premium, CFA, CFA Institute, research foundation, Arnott, Asness, Dimson

20.

The Power of Past Stock Returns to Explain Future Stock Returns

Number of pages: 48 Posted: 08 Nov 2016
Clifford S. Asness
AQR Capital Management, LLC
Downloads 1,539 (20,371)
Citation 35

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Asset Pricing, Factor Investing, Momentum Factor, Book-To-Market Factor, Cross Section of Stock Returns

21.

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

22.

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

23.

Momentum in Japan: The Exception that Proves the Rule

The Journal of Portfolio Management, Forthcoming
Posted: 09 Mar 2011 Last Revised: 27 Apr 2011
Clifford S. Asness
AQR Capital Management, LLC

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Momentum, Value, Japan

24.

International Diversification Works (Eventually)

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International Diversification Works (Eventually)

Financial Analysts Journal, Vol. 67, No. 3, 2011
Posted: 11 Jun 2011
Clifford S. Asness, Roni Israelov and John M. Liew
AQR Capital Management, LLC, NDVR, Inc. and AQR Capital Management, LLC

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equity investments, equity market valuation, return analysis, international equity investing, portfolio management, portfolio construction and revision, diversification issues

International Diversification Works (Eventually)

Posted: 05 Mar 2010 Last Revised: 27 Jan 2017
Clifford S. Asness, Roni Israelov and John M. Liew
AQR Capital Management, LLC, NDVR, Inc. and AQR Capital Management, LLC

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Diversification, International Diversification, Global Diversification, Home Bias

25.

Rubble Logic: What Did We Learn from the Great Stock Market Bubble?

Financial Analysts Journal, Vol. 61, No. 6, pp. 36-53, November/December 2005
Posted: 02 Jan 2006
Clifford S. Asness
AQR Capital Management, LLC

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Investment Industry, Future Directions and Sources of Change, Portfolio Management, Asset Allocation, Equity Strategies

26.

Perspectives: Stock Options and the Lying Liars Who Don't Want to Expense Them

Posted: 10 Aug 2004
Clifford S. Asness
AQR Capital Management, LLC

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Equity Investments: Fundamental Analysis and Valuation Models; Financial Statement Analysis: Financial Accounting Standards and Proposals; Derivative Instruments: Equity Derivatives

27.

Surprise! Higher Dividends = Higher Earnings Growth

Posted: 27 May 2003
Robert D. Arnott and Clifford S. Asness
Research Affiliates, LLC and AQR Capital Management, LLC

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Portfolio Management: asset allocation; Investment Theory: efficient market theory

28.

Parallels between the Cross-Sectional Predictability of Stock and Country Returns

Posted: 26 Jun 1998
Clifford S. Asness, John M. Liew and Ross L. Stevens
AQR Capital Management, LLC, AQR Capital Management, LLC and Stone Ridge

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29.

The Interaction of Value and Momentum Strategies

FINANCIAL ANALYSTS JOURNAL
Posted: 20 Apr 1998
Clifford S. Asness
AQR Capital Management, LLC

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