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Clifford S. Asness
University of Chicago
45Publications
18H-index
1,995Citations
Publications 45
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#1Clifford S. AsnessH-Index: 18
#2Andrea FrazziniH-Index: 19
Last.Lasse Heje Pedersen (CBS: Copenhagen Business School)H-Index: 30
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We test whether the low-risk effect is driven by (a) leverage constraints and thus risk should be measured using beta vs. (b) behavioral effects and thus risk should be measured by idiosyncratic risk. Beta depends on volatility and correlation, where only volatility is related to idiosyncratic risk. Hence, the new factor betting against correlation (BAC) is particularly suited to differentiating between leverage constraints vs. lottery explanations. BAC produces strong performance in the US and ...
2 CitationsSource
#1Clifford S. AsnessH-Index: 18
#2Aaron Brown (CIMS: Courant Institute of Mathematical Sciences)
1. Clifford Asness 1. is a co-founder of AQR Capital Management in Greenwich, CT. (cliff.asness{at}aqr.com) 2. Aaron Brown 1. is a professor at the Courant Institute for the Mathematical Sciences in New York, NY. (aaron.brown{at}eraider.com) 1. To order reprints of this
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#1Clifford S. AsnessH-Index: 18
#2Andrea Frazzini (NYU: New York University)H-Index: 19
Last.Lasse Heje PedersenH-Index: 30
view all 3 authors...
We define a quality security as one that has characteristics that, all-else-equal, an investor should be willing to pay a higher price for: stocks that are safe, profitable, growing, and well managed. High-quality stocks do have higher prices on average, but not by a very large margin. Perhaps because of this puzzlingly modest impact of quality on price, high-quality stocks have high risk-adjusted returns. Indeed, a quality-minus-junk (QMJ) factor that goes long high-quality stocks and shorts lo...
107 CitationsSource
The size premium has been accused of having a weak historical record, being meager relative to other factors, varying significantly over time, weakening after its discovery, being concentrated among microcap stocks, residing predominantly in January, relying on price-based measures, and being weak internationally. We find, however, that these challenges disappear when controlling for the quality, or its inverse, junk, of a firm. A significant size premium emerges, which is stable through time, r...
20 CitationsSource
#1Clifford S. AsnessH-Index: 18
#2Todd M. HazelkornH-Index: 1
Last.Scott Richarson (LBS: London Business School)H-Index: 28
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Over the last few years, a lot of press, pundit, and political attention has been paid to share repurchases, much of it critical. Most repurchase critics assert that share repurchases are at historical highs and that dollars spent repurchasing shares would otherwise be directed toward profitable investment. Some also credit recent stock market gains to the “sugar high” of share repurchases. The authors show that most of these criticisms are without merit (at least, merit that can be demonstrated...
2 CitationsSource
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#1Clifford S. AsnessH-Index: 18
#2Swati ChandraH-Index: 1
Last.Ronen IsraelH-Index: 14
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Practical Applications Summary In Contrarian Factor Timing is Deceptively Difficult, published in a 2017 special issue of The Journal of Portfolio Management , Cliff Asness, Swati Chandra, Antti Ilmanen , and Ronen Israel of AQR Capital Management address two of the most heated questions for today’s factor investors: how expensive are the most popular factors now and should we seek to time exposure to them? Their analysis covers the value, momentum, and defensive factors, also known as style pre...
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The increasing popularity of factor investing has led to valuation concerns among some contrarian-minded investors, and fears of imminent mean-reversion and underperformance. The authors find that despite their recent popularity, the most common factors or styles are not, in general, markedly overvalued as measured by their value spreads. More broadly, tactical timing, whether of markets or factors, always seems to hold appeal for many. The authors look at the general efficacy of value spreads i...
9 CitationsSource
1. Clifford S. Asness Although consensus might be too strong a word, modern financial researchers have mostly coalesced behind a set of “factors” that both explain security returns and deliver a positive return premium (not necessarily the same things). A “factor” is the spread between the
10 CitationsSource
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