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AQR
Capital Management, LLC Two
Greenwich Plaza, 3rd Floor Greenwich, Connecticut 06830 Adjunct
Associate Professor of Finance Leonard N.
Stern School of Business 44 West 4th
Street, 9-150 New York, NY
10012 Email:
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Research
My research
focuses on Behavioral Finance, Asset Pricing and Asset Management. It shows
stock prices‛ reaction to corporate
news, the dumb
money effect, the earnings
announcement premium, customer
momentum, social networks in mutual
funds, sell
side analysts and board
of directors, the low beta anomaly and betting
against beta, risk
parity portfolios, embedded
leverage in derivatives markets, quality minus junk
factors, trading
costs of asset pricing anomalies and efficient construction of value
portfolios.
The
small world of investing: Quantifying the Role of School Ties in Investing, New York Times.
You can
download research data including betting against beta factors and global factor
returns here.
Other Links
Published and Forthcoming Papers
(Google Scholar)
Betting Against Beta,
Andrea Frazzini and Lasse Heje
Pedersen (2013). Data. Journal of Financial Economics, forthcoming 
A model of leverage and margin constraints help
explain the relation between risk and return in each of the major asset
classes, including why high beta equals low alpha.
Swiss Finance Institute Outstanding Paper
Award, 2011.
Roger F. Murray Prize,
2011.
Featured in the Financial Times.
Leverage
Aversion and Risk Parity, Cliff Asness, Andrea Frazzini, and Lasse Heje
Pedersen (2012), Financial Analysts Journal, 68(1), 47-59. Data
A Risk Parity portfolio that over-weights safer asset
classes outperforms the market. RP+BAB: This across-asset-class evidence
complements the within-asset-class evidence on Betting Against
Beta.
Hiring
Cheerleaders: Board Appointments of "Independent"
Directors, Lauren Cohen, Christopher
Malloy and Andrea Frazzini (2012) Management Science, 58(6), 1039-1058 Appendix
We look at sell-side analysts who are subsequently
appointed to the boards of companies they previously covered and find that
boards appoint overly optimistic analysts who are also poor relative
performers.
Sell
Side School Ties, Lauren Cohen, Christopher Malloy
and Andrea Frazzini (2010), Journal
of Finance, 65, 1409-1437
We find that analysts outperform by up to 6.60% per
year on their stock recommendations when they have an educational link to the
company.
Smith Breeden Distinguished
Paper Prize
The
Small World of Investing: Board
Connections and Mutual Fund Returns, Lauren Cohen, Christopher
Malloy and Andrea Frazzini
(2008), Journal of Political Economy, 116, 951-979
We find that portfolio managers place larger bets on
firms when they went to school with senior managements or a board member and
perform significantly better on these holdings
Global Investors Award,
Best Paper in Asset Pricing
Featured in the New
York Times and the Economist
Economic
Links and Predictable Returns, Lauren Cohen and Andrea Frazzini
(2008), Journal of Finance, 63, 1977-2011. Appendix,
Data
Stock prices do not promptly incorporate news about
economically related firms, generating return predictability across asset
Smith Breeden
Distinguished Paper Prize
First Prize, Chicago
Quantitative Alliance Academic Paper Competition
BSI Gamma Foundation
Grant
Dumb
Money: Mutual Fund Flows and the
Cross-Section of Stock Returns, Andrea Frazzini and Owen Lamont (2008), Journal of
Financial Economics, 88(2), 299-322
We use mutual fund flows as a measure for individual
investor sentiment for different stocks, and find that high sentiment predicts
low future returns at long horizons
DFA Prize for Capital
Markets and Asset Pricing
Featured in Forbes and
the New
York Times
The
Disposition Effect and Under-reaction to
News, Andrea Frazzini (2006), Journal of Finance,
61(4), 2017-2046
I show that the disposition effect induces
under-reaction to news, leading to return predictability and post-earnings
announcement drift
First Prize, Chicago
Quantitative Alliance Academic Paper Competition
First Prize, PanAgora Asset Management Crowell Memorial Prize
Competition
Low-Risk
Investing Without Industry Bets, Cliff Asness, Andrea Frazzini, Lasse Heje Pedersen.
We show that a betting against beta (BAB) strategy has
delivered positive returns both as an industry-neutral bet within each industry
and as a pure bet across industries
Trading
Costs of Asset Pricing Anomalies, Andrea Frazzini, Ronen
Israel and Tobias
Moskowitz
Using nearly a trillion dollars of live trading data
we measure the real-world transactions costs of size, value, momentum, and
short-term reversal strategies.
Buffett‛s
Alpha, Andrea Frazzini, David Kabiller and Lasse Heje Pedersen.
We estimate that Berkshires‛ leverage is about
1.6-to-1 on average. Berkshires‛ returns can thus largely be explained by
the use of leverage combined with exposures to Betting-Against-Beta and quality
minus junk factors
Featured in The Economist, Reuters, Video, CBS, Pensions and Investments, Forbes.
Embedded Leverage, Andrea Frazzini and Lasse Heje Pedersen.
Securities that embed leverage alleviate investors'
leverage constraints and therefore have lower required returns: Strong evidence
from index options, equity options, and leveraged ETFs.
Featured in Barron‛s
The
Devil in HML‛s Details, Cliff Asness and
Andrea Frazzini, Data
Value portfolios based on a timely
measures of book to price earn statistically significant alphas ranging
between 305 and 378 basis point per year against a 5-factor model itself
containing the standard measure of value
The Earnings Announcement
Premium and Trading Volume, Andrea Frazzini and Owen Lamont (2006). NBER Working paper 13090.
On average, stock prices rise around scheduled earnings
announcement dates. We show that this earnings announcement premium is large,
robust, and strongly related to the fact that volume surges around announcement
date
Under Revision, Journal of Finance
Work in progress
Too Big to Report, Andrea Frazzini and Lasse Heje Pedersen.
Quality
Minus Junk, Cliff Asness, Andrea Frazzini and Lasse Heje Pedersen
Stockscreen: Hitting The Links, SmartMoney, 1 December 2007.
Too much information - Buttonwood, The Economist,
14 July 2007.
7 Money
Mistakes To Avoid, SmartMoney,
1 July 2007.
Point of
View: Study Finds Money In Those Old School Ties, Dow Jones News Service, 12 June 2007.
Quantifying
the Role of Old-School Ties in Investing, The New York
Times, 9 June 2007.
Blame the
Fund Manager, or the Face in the Mirror? The New York Times, 2/26/2006
Dumb Money,
Forbes, 19 September 2005
Stockscreen: Cut Your Losses; Ride Your Winners, SmartMoney, 8/1/2005
A Connection Premium? The New York Sun, 10 July 2008
Andrea
Frazzini; Equities Pensions & Investments, 12 May 2008
Investment
Adviser: Don't look back, let fees do the talking. Investment Adviser
Business
Day (South Africa): Let dumb money point the way. Business Day
Study Finds
Money In Those Old School Ties Dow Jones News Service,
12 June 2007
Skippers Favour Companies With University Ties ,
Money Management Executive, 16 April 2007,
Stockscreen: Cut Your Losses; Ride Your Winners --- New
research supports an old adage: Don't fight the tape SmartMoney,
1 August 2005
Too big to
report, Andrea Frazzini and Lasse Heje Pedersen
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