Andrea Frazzini

AQR Capital Management, LLC

Two Greenwich Plaza, 3rd Floor

Greenwich, CT 06830

United States

http://www.econ.yale.edu/~af227/

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 60

SSRN RANKINGS

Top 60

in Total Papers Downloads

131,647

SSRN CITATIONS
Rank 498

SSRN RANKINGS

Top 498

in Total Papers Citations

1,335

CROSSREF CITATIONS

626

Scholarly Papers (26)

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 32,508 (71)
Citation 17

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Momentum, Value, Market efficiency

2.
Downloads 18,982 ( 184)
Citation 6

Buffett&Apos;S Alpha

Number of pages: 46 Posted: 28 Nov 2013 Last Revised: 11 Oct 2021
Andrea Frazzini, David Kabiller and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 10,039 (621)

Abstract:

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Buffett's Alpha

Financial Analysts Journal, 2018, 74 (4): 35-55
Number of pages: 34 Posted: 30 Jun 2018 Last Revised: 10 Jan 2019
Andrea Frazzini, David Kabiller and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 8,943 (774)
Citation 7

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investments, market efficiency, leverage, quality, value, betting against beta

3.
Downloads 18,268 ( 206)
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 17,129 (228)
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 1,131 (23,758)
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 (770,222)
Citation 15
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Junk, Microcap, Quality, Size, Size Anomaly, Size effect, Small Cap

4.

Quality Minus Junk

Number of pages: 80 Posted: 19 Aug 2013 Last Revised: 10 Jun 2017
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 16,949 (236)
Citation 237

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Quality Investing, Quality Minus Junk, QMJ

5.

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 11,357 (511)
Citation 13

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Value, momentum, market efficiency, behavioral finance

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

Number of pages: 73 Posted: 08 Feb 2017 Last Revised: 21 Jun 2018
AQR Capital Management, LLC, AQR Capital Management, LLC, University of Chicago - Booth School of Business and AQR Capital Management, LLC
Downloads 7,762 (982)
Citation 5

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asset pricing, leverage constraints, lottery demand, margin, sentiment

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

Number of pages: 65 Posted: 14 Feb 2018
AQR Capital Management, LLC, AQR Capital Management, LLC, University of Chicago - Booth School of Business and AQR Capital Management, LLC
Downloads 2 (823,997)
Citation 9
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Asset Pricing, leverage constraints, lottery demand, margin, sentiment

7.

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 5,423 (1,838)
Citation 39

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8.

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 4,234 (2,865)
Citation 91

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9.

Low-Risk Investing Without Industry Bets

Number of pages: 27 Posted: 03 May 2013 Last Revised: 10 May 2013
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 4,007 (3,153)
Citation 20

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Low Beta, Betting against Beta

10.
Downloads 3,709 ( 3,596)
Citation 343

Betting Against Beta

Swiss Finance Institute Research Paper No. 12-17
Number of pages: 85 Posted: 03 May 2012
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3,413 (4,063)
Citation 323

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Betting Against Beta

Number of pages: 71 Posted: 13 Dec 2010 Last Revised: 12 Nov 2021
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 296 (131,004)
Citation 11

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11.

Fact and Fiction about Low-Risk Investing

NYU Stern School of Business
Number of pages: 26 Posted: 25 Mar 2020
Office of Financial Research, AQR Capital Management, LLC, AQR Capital Management and AQR Capital Management, LLC
Downloads 1,632 (13,878)

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Low-risk investing, betting against beta, capital asset pricing model, factor premiums

12.

The Earnings Announcement Premium and Trading Volume

Number of pages: 53 Posted: 27 Jun 2007 Last Revised: 09 Oct 2021
Andrea Frazzini and Owen A. Lamont
AQR Capital Management, LLC and Harvard University - Department of Economics
Downloads 1,499 (15,876)
Citation 4

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13.
Downloads 1,091 ( 25,541)
Citation 3

Embedded Leverage

Number of pages: 60 Posted: 22 Nov 2012 Last Revised: 17 Sep 2021
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 797 (39,134)
Citation 1

Abstract:

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Embedded Leverage

NYU Stern School of Business
Number of pages: 62 Posted: 28 Apr 2020
Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 294 (132,415)

Abstract:

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leverage, options, exchange traded funds, ETFs, asset pricing puzzles

14.
Downloads 991 ( 29,226)
Citation 70

Sell Side School Ties

Harvard Business School Finance Working Paper No. 08-074
Number of pages: 39 Posted: 20 Feb 2008 Last Revised: 08 Apr 2016
Lauren Cohen, Andrea Frazzini and Christopher J. Malloy
Harvard University - Business School (HBS), AQR Capital Management, LLC and Harvard Business School
Downloads 859 (35,209)
Citation 69

Abstract:

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Social networks, connections, analysts, directors

Sell Side School Ties

Number of pages: 45 Posted: 12 May 2008 Last Revised: 06 Sep 2021
Andrea Frazzini, Christopher J. Malloy and Lauren Cohen
AQR Capital Management, LLC, Harvard Business School and Harvard University - Business School (HBS)
Downloads 132 (274,976)
Citation 3

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15.

Economic Links and Predictable Returns

Number of pages: 46 Posted: 06 Apr 2016
Lauren Cohen and Andrea Frazzini
Harvard University - Business School (HBS) and AQR Capital Management, LLC
Downloads 826 (37,690)
Citation 174

Abstract:

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G10, G11, G14

16.

Deactivating Active Share

Financial Analysts Journal, vol. 72, no. 2 (March/April 2016)
Number of pages: 14 Posted: 22 Apr 2015 Last Revised: 15 Jan 2016
Andrea Frazzini, Jacques Friedman and Lukasz Pomorski
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 802 (39,278)
Citation 7

Abstract:

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active share, mutual funds

17.

The Small World of Investing: Board Connections and Mutual Fund Returns

Number of pages: 55 Posted: 27 Jun 2007 Last Revised: 08 Nov 2021
Andrea Frazzini, Christopher J. Malloy and Lauren Cohen
AQR Capital Management, LLC, Harvard Business School and Harvard University - Business School (HBS)
Downloads 493 (73,685)
Citation 74

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18.

Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns

Number of pages: 60 Posted: 15 Sep 2005 Last Revised: 01 Jul 2021
Andrea Frazzini and Owen A. Lamont
AQR Capital Management, LLC and Harvard University - Department of Economics
Downloads 440 (84,485)
Citation 36

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19.

Economic Links and Predictable Returns Appendix

Number of pages: 13 Posted: 08 Apr 2016
Lauren Cohen and Andrea Frazzini
Harvard University - Business School (HBS) and AQR Capital Management, LLC
Downloads 264 (148,139)
Citation 4

Abstract:

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Economic links, customers, suppliers, inattention

20.

Hiring Cheerleaders: Board Appointments of "Independent" Directors

Number of pages: 46 Posted: 18 Aug 2008 Last Revised: 23 May 2021
Lauren Cohen, Andrea Frazzini and Christopher J. Malloy
Harvard University - Business School (HBS), AQR Capital Management, LLC and Harvard Business School
Downloads 188 (204,407)
Citation 8

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21.

Sell Side School Ties: Internet Appendix

Number of pages: 20 Posted: 08 Apr 2016
Lauren Cohen, Andrea Frazzini and Christopher J. Malloy
Harvard University - Business School (HBS), AQR Capital Management, LLC and Harvard Business School
Downloads 114 (304,812)

Abstract:

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Social networks, connections, analysts, directors

22.

Management Science Online Appendix Tables: Hiring Cheerleaders: Board Appointments of 'Independent' Directors

Number of pages: 10 Posted: 08 Apr 2016
Lauren Cohen, Andrea Frazzini and Christopher J. Malloy
Harvard University - Business School (HBS), AQR Capital Management, LLC and Harvard Business School
Downloads 91 (353,801)

Abstract:

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Independent directors, appointments, analysts, board members

23.

Buffett's Alpha

Number of pages: 48 Posted: 02 Dec 2013
Andrea Frazzini, David Kabiller and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 15 (685,381)
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betting against beta, leverage, market efficiency, quality, value

24.

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

Abstract:

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Value, momentum

25.

Leverage Aversion and Risk Parity

Financial Analysts Journal, Vol. 68, No. 1, 2012
Posted: 24 Jan 2012
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Abstract:

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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

26.

The Disposition Effect and Under-Reaction to News

Journal of Finance, Forthcoming
Posted: 28 Jul 2005
Andrea Frazzini
AQR Capital Management, LLC

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Disposition Effect, Under-reaction, Earnings announcements, Behavioral Finance