Robert D. Arnott

Research Affiliates, LLC

Chairman & CEO

620 Newport Center Dr

Ste 900

Newport Beach, CA 92660

United States

http://www.researchaffiliates.com/Our%20Firm/Our%20Team/Pages/Rob-Arnott.aspx

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 614

SSRN RANKINGS

Top 614

in Total Papers Downloads

28,126

CITATIONS
Rank 4,796

SSRN RANKINGS

Top 4,796

in Total Papers Citations

109

Scholarly Papers (26)

1.

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 9,655 (291)
Citation 4

Abstract:

2.
Downloads 6,645 ( 658)
Citation 40

What Risk Premium is 'Normal'?

Financial Analysts Journal, Vol. 58, No. 2, March/April 2002, pp. 64-85.
Number of pages: 40 Posted: 15 Jan 2002 Last Revised: 30 Dec 2016
Robert D. Arnott and Peter L. Bernstein V
Research Affiliates, LLC and Peter L. Bernstein, Inc.
Downloads 6,645 (650)
Citation 40

Abstract:

What Risk Premium is 'Normal'?

Financial Analysts Journal, Vol. 58, No. 2, March/April 2002
Posted: 30 Apr 2002
Robert D. Arnott and Peter L. Bernstein V
Research Affiliates, LLC and Peter L. Bernstein, Inc.

Abstract:

3.
Downloads 4,373 ( 1,372)
Citation 46

Fundamental Indexation

Financial Analysts Journal, Vol. 61, No. 2, March/April 2005, pp. 83-99.
Number of pages: 35 Posted: 15 Oct 2004 Last Revised: 30 Dec 2016
Robert D. Arnott, Jason C. Hsu and Philip Moore
Research Affiliates, LLC, Rayliant Global Advisors and Pacific Investment Consultants, LLC
Downloads 4,373 (1,348)
Citation 46

Abstract:

Indexation, Fundamental Indexing, Non-cap based indexing, Mean-Variance Efficiency, Portfolio Construction, Value Premium, Return Predicability

Fundamental Indexation

Financial Analysts Journal, Vol. 61, No. 2, pp. 83-99, March/April 2005
Posted: 05 May 2005
Robert D. Arnott, Jason C. Hsu and Philip Moore
Research Affiliates, LLC, Rayliant Global Advisors and Pacific Investment Consultants, LLC

Abstract:

Investment Theory, Portfolio Theory, Portfolio Management, Equity Strategies, Performance Measurement and Evaluation, Performance Measurement, Equity Investments, Fundamental Analysis and Valuation Models

Demographic Changes, Financial Markets, and the Economy

Financial Analysts Journal, Vol. 68, No. 1, January/February 2012
Number of pages: 28 Posted: 17 Apr 2011 Last Revised: 28 Dec 2016
Robert D. Arnott and Denis B. Chaves
Research Affiliates, LLC and The Vanguard Group, Inc.
Downloads 1,545 (8,269)
Citation 5

Abstract:

demography, demographics

Demographic Changes, Financial Markets, and the Economy

Financial Analysts Journal, Vol. 68, No. 1, 2012
Posted: 24 Jan 2012
Robert D. Arnott and Denis B. Chaves
Research Affiliates, LLC and The Vanguard Group, Inc.

Abstract:

Economics, Economic Growth and Development, Equity Investments, Equity Market Valuation and Return Analysis, Analysis of World Security Markets, Fixed Income, Macroeconomic Effects on Fixed-Income Yields, Portfolio Management, Economic Analysis and Capital Market Expectations

5.

Can Noise Create Size and Value Effects?

AFA 2008 New Orleans Meetings Paper
Number of pages: 32 Posted: 10 Oct 2006 Last Revised: 26 Oct 2011
Robert D. Arnott, Jason C. Hsu, Jun Liu and Harry Markowitz
Research Affiliates, LLC, Rayliant Global Advisors, University of California, San Diego (UCSD) - Rady School of Management and University of California at San Diego
Downloads 1,376 (9,530)
Citation 10

Abstract:

noise, size effect, value effect

6.

The Myth of Dynastic Wealth: The Rich Get Poorer

Cato Journal, Vol. 35, No. 3, 2015
Posted: 01 May 2015 Last Revised: 29 Dec 2016
Robert D. Arnott, William J. Bernstein and Lillian J. Wu
Research Affiliates, LLC, Frontier Advisors and Research Affiliates, LLC

Abstract:

Thomas Piketty, wealth, dynastic wealth

7.

Clairvoyant Value and the Value Effect

Journal of Portfolio Management, Vol. 35, No. 3, 2009
Posted: 04 Sep 2008 Last Revised: 30 Dec 2016
Robert D. Arnott, Feifei Li and Katrina F. Sherrerd
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates LLC

Abstract:

Clairvoyant Value, Value Effect

8.

Beyond Cap-Weight: The Search for Efficient Beta

Journal of Indexes, January-February 2010
Number of pages: 25 Posted: 04 Nov 2009 Last Revised: 02 Nov 2010
Research Affiliates, LLC, Research Affiliates LLC, affiliation not provided to SSRN and Lazard Asset Management
Downloads 923 (17,002)

Abstract:

alternative indexing, beta selection

9.

The Winners Curse: Too Big to Succeed?

Journal of Indexes, October 29, 2012
Number of pages: 18 Posted: 20 Jun 2012 Last Revised: 29 Dec 2016
Robert D. Arnott and Lillian J. Wu
Research Affiliates, LLC and Research Affiliates, LLC
Downloads 865 (16,525)

Abstract:

10.

Valuation-Indifferent Weighting for Bonds

Journal of Portfolio Management, Vol. 36, No. 3, pp. 117-130, Spring 2010
Posted: 04 Sep 2008 Last Revised: 30 Dec 2016
Robert D. Arnott, Jason C. Hsu, Feifei Li and Shane D. Shepherd
Research Affiliates, LLC, Rayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

Fundamental Index, Valuation-Indifferent Index, Bond Index

11.

The Equity Premium Revisited

Number of pages: 11 Posted: 30 Jul 2010 Last Revised: 29 Dec 2016
Bradford Cornell, Robert D. Arnott and Max Moroz
California Institute of Technology, Research Affiliates, LLC and Research Affiliates, LLC
Downloads 416 (51,682)
Citation 2

Abstract:

Equity Premium

12.

The Glidepath Illusion...And Potential Solutions

Journal of Retirement, vol. 1, no. 2, Fall 2013, pp. 13-28.
Posted: 18 Sep 2013 Last Revised: 30 Dec 2016
Robert D. Arnott, Katrina F. Sherrerd and Lillian J. Wu
Research Affiliates, LLC, Research Affiliates LLC and Research Affiliates, LLC

Abstract:

Target Date Fund, Glidepath, Retirement Investing, Asset Allocation, Alternative Assets

13.

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
Capital Group, 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, 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 274 (10,117)
Citation 2

Abstract:

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

14.

Clairvoyant Value and the Growth/Value Cycle

Journal of Portfolio Management, Vol. 35, No. 4, 2009
Posted: 06 Aug 2009 Last Revised: 29 Dec 2016
Robert D. Arnott, Feifei Li and Katrina F. Sherrerd
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates LLC

Abstract:

Clairvoyant Value, Value Effect, Growth/Value Cycle

15.

King of the Mountain: Shiller P/E and Macroeconomic Conditions

Number of pages: 24 Posted: 07 Aug 2015
Robert D. Arnott, Denis B. Chaves and Tzee-man Chow
Research Affiliates, LLC, The Vanguard Group, Inc. and Research Affiliates, LLC
Downloads 32 (184,412)

Abstract:

inflation,real interest rates,shiller P/E

16.

Presidential Politics and Stock Returns

Number of pages: 13 Posted: 29 Apr 2017
Robert D. Arnott, Bradford Cornell and Vitali Kalesnik
Research Affiliates, LLC, California Institute of Technology and Research Affiliates LLC
Downloads 0 (330,897)

Abstract:

Politics Stock Returns

17.

Labor Conditions and Future Capital Market Performance

Journal of Portfolio Management, Vol. 43, No. 1, Fall 2016
Posted: 08 Feb 2017
Robert D. Arnott, Feifei Li and Xi Liu
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

18.

A New 'New Normal' in Demography and Economic Growth

Journal of Indexes, September/October 2013
Posted: 08 Feb 2017
Robert D. Arnott and Denis B. Chaves
Research Affiliates, LLC and The Vanguard Group, Inc.

Abstract:

19.

Rip Van Winkle Indexing

Journal of Portfolio Management, Vol. 41, No. 4, Summer 2015
Posted: 08 Feb 2017
Robert D. Arnott, Noah Beck and Vitali Kalesnik
Research Affiliates, LLC, Research Affiliates, LLC and Research Affiliates LLC

Abstract:

20.

Whither Bonds, after the Demographic Dividend?

CFA Institute Conference Proceedings Quarterly, Vol. 32, No. 1, First Quarter 2015
Number of pages: 16 Posted: 08 Feb 2017
Robert D. Arnott
Research Affiliates, LLC
Downloads 0 (507,741)

Abstract:

21.

Clairvoyant Discount Rates

Journalof Portfolio Management, Vol. 40, No. 1, Fall 2013
Posted: 08 Feb 2017
Robert D. Arnott, Feifei Li and Geoffrey J. Warren
Research Affiliates, LLC, Research Affiliates, LLC and Independent

Abstract:

22.

Rebalancing and the Value Effect

Journal of Portfolio Management, Vol. 38, No. 4, 2012
Posted: 10 Jan 2012 Last Revised: 29 Dec 2016
Denis B. Chaves and Robert D. Arnott
The Vanguard Group, Inc. and Research Affiliates, LLC

Abstract:

value, growth, rebalancing

Noise, CAPM, and the Size and Value Effects

Journal of Investment Management, vol. 6, no. 1, First Quarter 2008.
Posted: 05 Sep 2006 Last Revised: 30 Dec 2016
Robert D. Arnott and Jason C. Hsu
Research Affiliates, LLC and Rayliant Global Advisors

Abstract:

Mispricing, noise, CAPM, size effect, value effect, excess volatility puzzle, dividend predictability puzzle

Noise, CAPM and the Size and Value Effects

Journal of Investment Management, Vol. 6, No. 1, First Quarter 2008
Posted: 27 Mar 2008
Robert D. Arnott and Jason C. Hsu
Research Affiliates, LLC and Rayliant Global Advisors

Abstract:

Noise, value effect, size effect, CAPM, non-price-weighted portfolios

24.

Earnings Growth: The Two Percent Dilution

Financial Analysts Journal, Vol. 59, No. 5, pp. 47-55, September/October 2003
Posted: 26 Jan 2004
William J. Bernstein and Robert D. Arnott
Frontier Advisors and Research Affiliates, LLC

Abstract:

Portfolio Management, asset allocation, Economics, macroeconomics, Investment Industry, future directions and sources of change

25.

Surprise! Higher Dividends = Higher Earnings Growth

Financial Analysts Journal, Vol. 59, No. 1, January/February 2003
Posted: 27 May 2003
Robert D. Arnott and Clifford S. Asness
Research Affiliates, LLC and AQR Capital Management, LLC

Abstract:

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

26.

Surprise! TAA Can Work in Quiet Markets

Journal of Investing, Fall 1997
Posted: 27 Apr 1998
Robert D. Arnott and Todd Miller
Research Affiliates, LLC and First Quadrant, L.P.

Abstract: