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Andrea Frazzini

Principal

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:

 

 

 

 

 

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.

 

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The small world of investing: Quantifying the Role of School Ties in Investing, New York Times.

 

Data Library


You can download research data including betting against beta factors and global factor returns here.

 

 

Other Links


Vitae

Teaching (MBA): Behavioral Finance

Published and Forthcoming Papers

AQR Capital

Press

Teaching (MBA): Hedge Fund Strategies

Working papers and Work in Progress

AQR Insight Award

 

 

Published and Forthcoming Papers (Google Scholar)


The Devil in HMLs Details, Cliff Asness and Andrea Frazzini, Journal of Portfolio Management, 39, 49-68. DataDescription: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\frazzinia\Desktop\New folder\html\index_file\image004.gif

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

Bernstein Fabozzi/Jacobs Levy Awards

 

Betting Against Beta, Andrea Frazzini and Lasse Heje Pedersen (2013). Journal of Financial Economics, forthcoming, Data.

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

 

 

Working Papers


Quality Minus Junk, Cliff Asness, Andrea Frazzini, Lasse Heje Pedersen.Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\frazzinia\Desktop\New folder\html\index_file\image004.gifData

We show that a quality-minus-junk (QMJ) factor that goes long high-quality stocks and shorts low-quality stocks earns significant risk-adjusted returns.

Low-Risk Investing Without Industry Bets, Cliff Asness, Andrea Frazzini, Lasse Heje Pedersen. Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\frazzinia\Desktop\New folder\html\index_file\image004.gif

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 Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\frazzinia\Desktop\New folder\html\index_file\image004.gif

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.

 

Buffetts 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 Barrons

 

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.

 

 


 

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