Ronen Israel

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 67

SSRN RANKINGS

Top 67

in Total Papers Downloads

124,969

SSRN CITATIONS
Rank 3,581

SSRN RANKINGS

Top 3,581

in Total Papers Citations

160

CROSSREF CITATIONS

218

Scholarly Papers (19)

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 SOMAQR Capital
Downloads 32,856 (73)
Citation 17

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Momentum, Value, Market efficiency

2.
Downloads 18,450 ( 208)
Citation 42

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 SOMAQR Capital and AQR Capital Management, LLC
Downloads 17,279 (226)
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
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital and AQR Capital Management, LLC
Downloads 1,163 (23,394)
Citation 5

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Size Matters, If You Control Your Junk

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 8 (782,768)
Citation 15
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Junk, Microcap, Quality, Size, Size Anomaly, Size effect, Small Cap

3.

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 SOMAQR Capital
Downloads 11,479 (520)
Citation 13

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Value, momentum, market efficiency, behavioral finance

4.

Is (Systematic) Value Investing Dead?

Journal of Portfolio Management, Forthcoming
Number of pages: 57 Posted: 09 Apr 2020 Last Revised: 12 Oct 2020
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 8,951 (804)
Citation 8

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value investing, fundamental analysis, valuation

5.

Fact, Fiction, and the Size Effect

Number of pages: 54 Posted: 24 May 2018 Last Revised: 10 Aug 2018
Office of Financial Research, AQR Capital Management, LLC and Yale University, Yale SOMAQR Capital
Downloads 6,225 (1,520)
Citation 10

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Size, Size effect, Size anomaly, Small Cap, Microcap, Market efficiency, Illiquidity, January effect

6.

Implementing Momentum: What Have We Learned?

Number of pages: 24 Posted: 11 Dec 2017
AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and AQR Capital Management
Downloads 6,195 (1,532)
Citation 3

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Factors, styles, implementation, trading costs, taxes, momentum

7.

How Do Factor Premia Vary Over Time? A Century of Evidence

Number of pages: 55 Posted: 17 Jun 2019 Last Revised: 24 Feb 2021
AQR Capital Management, AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and Vice President
Downloads 5,927 (1,656)
Citation 12

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Factor premia, factor timing, multi-asset class, overfitting bias, arbitrage activity

8.

Trading Costs

Number of pages: 88 Posted: 22 Aug 2018
AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOMAQR Capital
Downloads 5,591 (1,813)
Citation 41

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9.

Common factors in corporate bond returns

Forthcoming in the Journal of Investment Management
Number of pages: 51 Posted: 13 Mar 2015 Last Revised: 31 Aug 2017
AQR Capital Management, LLC, affiliation not provided to SSRN and AQR Capital Management, LLC
Downloads 4,857 (2,339)
Citation 19

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corporate bonds, mispricing

10.

Craftsmanship Alpha: An Application to Style Investing

Number of pages: 24 Posted: 11 Sep 2017
Ronen Israel, Sarah Jiang and Adrienne Ross
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 4,749 (2,430)
Citation 4

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Asset Pricing, Style Premia, Equities, Factor-Based Investing, Portfolio Construction

11.

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
AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOMAQR Capital
Downloads 4,342 (2,838)
Citation 91

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12.

Contrarian Factor Timing is Deceptively Difficult

Journal of Portfolio Management, Forthcoming
Number of pages: 29 Posted: 09 Mar 2017
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management and AQR Capital Management, LLC
Downloads 4,316 (2,863)
Citation 5

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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

13.

Long Horizon Predictability: A Cautionary Tale

Number of pages: 21 Posted: 18 Mar 2018 Last Revised: 02 Aug 2018
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 3,587 (3,930)
Citation 3

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Long Horizon Regressions, Predictability, T-Statistics, CAPE

14.

Can Machines 'Learn' Finance?

Journal of Investment Management
Number of pages: 21 Posted: 02 Jul 2020 Last Revised: 05 Mar 2021
AQR Capital Management, LLC, Yale SOM and Yale University, Yale SOMAQR Capital
Downloads 2,636 (6,602)
Citation 2

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15.

The Role of Shorting, Firm Size, and Time on Market Anomalies

Chicago Booth Research Paper No. 12-22, Fama-Miller Working Paper
Number of pages: 49 Posted: 23 Jun 2012
AQR Capital Management, LLC and Yale University, Yale SOMAQR Capital
Downloads 2,363 (7,864)
Citation 22

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16.

How Tax Efficient are Equity Styles?

Chicago Booth Research Paper No. 12-20, Fama-Miller Working Paper
Number of pages: 71 Posted: 23 Jun 2012 Last Revised: 15 May 2014
AQR Capital Management, LLC and Yale University, Yale SOMAQR Capital
Downloads 1,001 (29,559)
Citation 14

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17.

Measuring Factor Exposures: Uses and Abuses

Journal of Alternative Investments, Forthcoming
Number of pages: 36 Posted: 22 Sep 2016
Ronen Israel and Adrienne Ross
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 798 (40,550)

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Risk factors, regression, beta, portfolio exposures, diversification

18.

Should Taxable Investors Shun Dividends?

The Journal of Wealth Management, Winter 2019, 22 (3) 49-69; DOI: org/10.3905/jwm.2019.1.080
Number of pages: 42 Posted: 24 Jun 2019 Last Revised: 07 Nov 2019
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 354 (110,795)

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

19.
Downloads 292 (136,968)
Citation 5

Biases in Long-Horizon Predictive Regressions

NYU Stern School of Business
Number of pages: 40 Posted: 04 Jun 2020
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 281 (141,816)
Citation 2

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Bias in OLS regressions, Predictability, Long Horizon Regressions

Biases in Long-Horizon Predictive Regressions

NBER Working Paper No. w27410
Number of pages: 41 Posted: 22 Jun 2020 Last Revised: 24 Nov 2021
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 11 (756,525)
Citation 3
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