ÿþ<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN"> <html> <head> <title>AQR Capital</title> <meta http-equiv="Content-Type" content="text/html; charset=iso-8859-1"> <META NAME="TITLE" CONTENT="AQR Capital"> <META NAME="AUTHOR" CONTENT="XCELLENCEIT"> <META NAME="COPYRIGHT" CONTENT="XCELLENCEIT"> <META NAME="KEYWORDS" CONTENT="AQR, CAPITAL"> <META NAME="DESCRIPTION" CONTENT="AQR, CAPITAL, NEWS, INFO"> <META NAME="GENERATOR" CONTENT="crimson"> <META NAME="ROBOTS" CONTENT="index"> <link href="layout/css/default.css" rel="stylesheet" type="text/css"> </head> <body bgcolor="#DCDFE6"> <table width="100%" height="100%" border="0" cellspacing="0" cellpadding="0"> <tr> <td align="center" valign="middle"> <table border="0" cellspacing="0" cellpadding="0" height="100%"> <tr> <td align="right" valign="bottom"><img src="layout/bara_sus1.jpg" width="7" height="7"></td> <td class="top">&nbsp; </td> <td align="left" valign="bottom"><img src="layout/bara_sus2.jpg" width="7" height="7"></td> </tr> <tr> <td width="12" class="left" rowspan="4">&nbsp; </td> <td width="776" height="107" background="layout/en/header1.gif">&nbsp; </td> <td width="13" class="right" rowspan="4">&nbsp; </td> </tr> <tr> </tr> <tr> <td width="776" height="100%"><table border="0" cellspacing="0" cellpadding="0" height="100%"> <tr height="5" bgcolor="#d7def1"><td colspan="3">&nbsp; </td> </tr> <tr> <td align="center" colspan="2"> <img src="layout/en/rb_15iun_04.jpg" border="0" width="776" height="64" alt="research"> </td> </tr> <tr> <!-- the following bgcolor is the left menu column original color was #f0f0f0 !--> <td width="220" height="100%" valign="top" bgcolor="#e5e5e5"> <ul style="list-style:none;padding-top:30px"> <li class="space"><a href="home.htm" class="leftmenblu" >HOME</a> </li> <li class="space"><a href="about.htm" class="leftmenblu" >ABOUT AQR</a> </li> <!--<li class="space"><a href="http://www.google.com" class="leftmenred" >Search Google</a></li>--> <li class="space"><a href="principal_bios.htm" class="leftmenblu" >PRINCIPAL BIOS</a> </li> <li class="space"><a href="research.htm" class="leftmenred" >RESEARCH LIBRARY</a> <li class="space"><a href="RecruitingHome.htm" class="leftmenblu" >CAREER OPPORTUNITIES</a> </li> </li> <li class="space"><a href="legal.htm" class="leftmenblu" >LEGAL </a> </li> <li class="space"><a href="contact.aspx" class="leftmenblu" >CONTACT US</a> </li> <li class="space"><a href="directions.htm" class="leftmenblu" >DIRECTIONS</a> </li> </ul></td> <td width="556" height="100%" bgcolor="white" valign="top"> <table cellpading=0 cellspacing=0 border=0> <tr> <td style="padding:25px;" valign="top"> <span class=titlu_negru>Papers written by AQR Personnel </span><br><BR> <span class=scris_gri> <span style="FONT-WEIGHT: bold; COLOR: rgb(102,102,102)">If you would like to receive copies of any of these papers, please </span><a href="contact.aspx">click here</a> <span style="FONT-WEIGHT: bold; COLOR: rgb(102,102,102)"> and complete the request form.</span><br /> <br/><span class=titlu_negru><b>Recent AQR Papers</b></span> <ul> <li><a href='http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1776123'>Asness, Clifford S.,  Momentum in Japan: The Exception that Proves the Rule (March 3, 2011). The Journal of Portfolio Management, Forthcoming.</a></li> <li><a href="ResearchDownload.aspx?link_id=1">Asness, Cliff, Tobias Moskowitz, and Lasse Heje Pedersen,  Value and Momentum Everywhere , (July 2008).</a> </li> <li><a href='contact.aspx?link_id=20'>Aghassi, Michele, Cliff Asness, Oktay Kurbanov, and Lars N. Nielsen.  Avoiding Unintended Country Bets in Global Equity Portfolios , 2011.</a></li> <li><a href='contact.aspx?link_id=21'>Berger, Adam L., Ronen Israel and Tobias J. Moskowitz.  The Case for Momentum Investing , 2009.</a></li> <li><a href='research_15.htm'>Berger, Adam L., David Kabiller, and Brian Crowell.  Is Alpha Just Beta Waiting To Be Discovered? 2008.</a></li> <li><a href='research_25.htm'>Berger, Adam, Lars Nielsen, and Daniel Villalon.  Chasing Your Own Tail (Risk): Five Alternatives to the High Cost of Tail-Hedging , 2011.</a></li> <li><a href='research_18.htm'>Hurst, Brian, Bryan W. Johnson, and Yao Hua Ooi.  Understanding Risk Parity , 2010.</a></li> <li><a href='research_17.htm'>Hurst, Brian, Yao Hua Ooi, and Lasse H. Pedersen.  Understanding Managed Futures , 2010.</a></li> <li>Katz, Michael, and Christopher Palazzolo.  Inflation in 2010 and Beyond (<a href='Download.aspx?link_id=2'>Part I</a> <!--and <a href='Download.aspx?link_id=3'>Part II</a>-->) , 2010.</li> <li><a href='research_19.htm'>Israel, Ronen, and Tobias J. Moskowitz.  How Tax Efficient Are Equity Styles? 2011.</a></li> <li><a href='contact.aspx?link_id=22'>Israel, Ronen, and Tobias J. Moskowitz.  The Role of Shorting, Firm Size, and Time on Market Anomalies , 2011.</a></li> <li><a href='contact.aspx?link_id=23'>Lee, Joey.  Changing Spaces: Emerging Markets Investing , 2010.>/a></li> <li><a href='contact.aspx?link_id=24'>Moskowitz, Tobias, Yao Hua Ooi, and Lasse H. Pedersen.  Time Series Momentum , 2010.</a></li> <li><a href='research_26.htm'>Sterge, Andrew J., David G. Kabiller, Richard Montgomerie, and Charles Vaughan.  Understanding Reinsurance , 2011.</a></li> </ul> <br/><span class=titlu_negru><b>All AQR Papers</b></span> <ul> <li>Andrade, Gregor.  Do Appearances Matter? The Impact of EPS Accretion and Dilution on Stock Prices , Harvard Business School Working Paper Series, No. 00-007, 1999. </li> <li>Andrade, Gregor M., Stuart C. Gilson, and Todd C. Pulvino.  Seagate Technology Buyout , Harvard Business School Case 201-063. </li> <li>Andrade, Gregor M., Paul A. Gompers and Jonathan Man.  Ocular , Harvard Business School Case 202-118. </li> <li>Andrade, Gregor, and Steven Kaplan.  How Costly is Financial (Not Economic) Distress? Evidence from Highly Leveraged Transactions That Became Distressed , Journal of Finance 53 (October 1998). </li> <li>Andrade, Gregor, Mark Mitchell and Erik Stafford, 2001,  New Evidence and Perspectives on Mergers , Journal of Economic Perspectives. </li> <li>Andrade, Gregor, and Erik Stafford.  Investigating the Economic Role of Mergers , Harvard Business School Working Paper Series, No. 00-006, 1999. </li> <li>Andrade, Gregor M., and Peter Tufano.  Free Cash Flow Valuation Methods: Weighted Average Cost of Capital (WACC) and Adjusted Present Value (APV). Harvard Business School Case 201-094. </li> <li>Arnott, Robert D. and Cliff Asness.   Surprise!  Higher Dividends = Higher Earnings Growth , Financial Analysts Journal, Jan/Feb 2003, Vol. 59, Number 1, AIMR Graham and Dodd Award, 2003.</li> <li>Asness, Cliff, 1992,  Changing Equity Risk Premia and Changing Betas Over the Business Cycle and January , University of Chicago. </li> <li>Asness, Cliff, 1992,  Negative Expected Equity Returns and the Business Cycle , University of Chicago. </li> <li>Asness, Cliff, 1992,  The Term Structure of Expected Equity Returns and the Business Cycle , University of Chicago. </li> <li>Asness, Cliff, 1993,  OAS Models, Expected Returns, and a Steep Yield Curve , Journal of Portfolio Management, Summer. </li> <li>Asness, Cliff, 1995,  Fundamental Differences Between Agency and Non-Agency Mortgage-backed Securities , Whole Loan CMOs, eds. Frank Fabozzi, Chuck Ramsey and Frank Ramirez. </li> <li>Asness, Cliff, 1995,  The Power of Past Stock Returns to Explain Future Stock Returns , Goldman Sachs Asset Management. </li> <li>Asness, Cliff, 1996,  Global Tactical Asset Allocation , Goldman Sachs Pension and Endowment Forum, September. </li> <li>Asness, Cliff, 1996,  One Reason Not to Avoid Market Timing , AQR Capital Management working paper. </li> <li>Asness, Cliff, 1996,  Why Not 100% Equities , Journal of Portfolio Management, Winter. </li> <li><a href="research_7.htm"><strong>Asness, Cliff, 1997,  The Interaction Between Value and Momentum Strategies , Financial Analysts Journal, March/April. </strong></a></li> <li><a href="research_11.htm"><strong>Asness, Cliff, 1998,  Market-neutral Investing: Putting the  Hedge in  Hedge Funds  , AQR Capital Management working paper.</strong> </a></li> <li>Asness, Cliff, 2000,  Bubble Logic: Or, How to Learn to Stop Worrying and Love the Bull , AQR Capital Management working paper, 2001.</li> <li><a href="research_9.htm"><strong>Asness, Cliff, 2000,  Stocks vs. Bonds: Explaining the Equity Risk Premium , Financial Analysts Journal, March/April. </strong></a></li> <li><b><a href="research_1.htm">Asness, Cliff, 2003,  Fight the Fed Model , Journal of Portfolio Management, Fall. </a></b></li> <li>Asness, Cliff, 2004,  Stock Options and the Lying Liars Who Don t Want to Expense Them , Financial Analysts Journal, July/August 2004</li> <li>Asness, Cliff, 2004, &quot;An Alternative Future:  An exploration of the role of hedge funds.&quot;, The Journal of Portfolio Management, 30th Anniversary Issue 2004.</li> <li>Asness, Cliff, 2004, &quot;An Alternative Future II:  An exploration of the role of hedge funds.&quot;, The Journal of Portfolio Management, Fall 2004.</li> <li>Asness, Cliff, 2005, &quot;Rubble Logic: Or, What Did We Learn From the Great Stock Market Bubble?&quot;, Financial Analysts Journal, November/December 2005.</li> <li>Asness, Cliff, and Jonathon Beinner, 1994,  Forward Rates and CMO Portfolio Management , CMO Portfolio Management, ed. Frank Fabozzi. </li> <li><a href="research_10.htm"><strong>Asness, Cliff, Jacques Friedman, Robert Krail and John Liew, 2000,  Style Timing: Value vs. Growth , Journal of Portfolio Management, Spring.</strong></a> </li> <li><u><font color="#3333ff"><b><a href="research_4.htm">Asness, Cliff, Robert Krail and John Liew, 2001,  Do Hedge Funds Hedge? AQR Capital Management</a></b> </font></u></li> <li><a href="research_8.htm"><strong>Asness, Cliff, John Liew and Ross Stevens, 1997,  Parallels Between the Cross-sectional Predictability of Stock and Country Returns , Journal of Portfolio Management, Spring.</strong></a><strong> </strong></li> <li><a href="research_6.htm"><strong>Asness, Cliff, R. Burt Porter and Ross Stevens, 2000,  Predicting Stock Returns Using Industry-relative Firm Characteristics , On Review with the Journal of Finance.</strong></a> </li> <li>Asness, Cliff, and Michael Smirlock, 1991,  REIT Bankruptcy and Intra-industry Information Transfers: An Empirical Analysis , Journal of Banking and Finance, December. </li> <li>Asness, Cliff, and Michael Smirlock, 1994,  Valuation of PAC Bonds Without Complex Models , CMO Portfolio Management, ed. Frank Fabozzi. </li> <li><a href="ResearchDownload.aspx?link_id=1"><strong>Asness, Cliff, Tobias Moskowitz, and Lasse Heje Pedersen,  Value and Momentum Everywhere , (July 2008).</strong></a> </li> <li>Asness, Cliff, Roni Israelov and John Liew, 2010,  International Diversification Works (in the Long Run) , AQR Capital Management Working Paper.</li> <li>Carhart, Mark, Robert Krail, Ross Stevens and Kelly Welch, 1996,  Testing the Conditional CAPM , University of Chicago. </li> <li>Corrigan, Gerald, and David Kabiller, 1994,  Derivatives: Improved Asset Management or Risk Creation? , Goldman Sachs Pension and Endowment Forum. </li> <li><a href="research_12.htm"><strong>Diamonte, Robin, John Liew and Ross Stevens, 1996,  Political Risk in Emerging and Developed Markets , Financial Analysts Journal, May/June.</strong></a> </li> <li>Ehrlich, Alex, David Kabiller, Ken Miller, Kaysie Uniacke, 1996,  Securities Lending: Minimizing Risk, Maximizing Return , Goldman Sachs Pension and Endowment Forum. </li> <li>Goodman, Laurie, and David Kabiller, 1989,  Investment Opportunities for 1042 ESOP Investors , Goldman Sachs Taxable Investor Flows, May.</li><li>Hamada, Takehiro, and John Liew, 2000,  An Anomaly in the Topix-Nikkei Spread , AQR Capital Management working paper.</li> <li>Jones, Bob, David Kabiller and Larry Kohn, 1995,  Enhanced Indexation , Goldman Sachs Pension and Endowment Forum</li> <li><a href="research_13.htm"><strong>Kabiller, David, John O Hara, Jacob Rosengarten and Blaine Tomlinson, 1998,  Hedge Funds Demystified: Their Potential Role in Institutional Portfolios , Goldman Sachs Pension and Endowment Forum.</strong></a> </li> <li>Kaplan, Steven, Mark Mitchell and Karen Wruck, 2000,  A Clinical Exploration of Value Creation and Destruction in Acquisitions: Organizational Design, Incentives, and Internal Capital Markets , in Mergers and Productivity, (National Bureau of Economic Research). </li> <li>Krail, Robert, 1992,  Bivariate GARCH Hedging , University of Chicago. </li> <li>Krail, Robert, 1996,  Global Momentum Strategies , University of Chicago working paper. </li> <li>Liew, John, 1993,  Stock Returns, Inflation, and the Real Money Supply: Evidence from Emerging Markets , University of Chicago. </li> <li>Liew, John, 1994,  Stock Returns and the Real Money Supply , University of Chicago. </li> <li>Liew, John, 1995,  Global Return Variation , University of Chicago. </li> <li>Macey, Jonathan, Geoffrey Miller, Mark Mitchell and Jeffry Netter, 1991,  Lessons From Financial Economics: Materiality, Reliance, and Extending the Reach of Basic v. Levinson , Virginia Law Review, August. </li> <li>Macey, Jonathan, Mark Mitchell and Jeffry Netter, 1989,  Restrictions on Short Selling: An Economic and Legal Analysis of the Uptick Rule and Its Role in the 1987 Stock Market Crash , Cornell Law Review, July. </li> <li>Maloney, Michael, Mark Mitchell and Robert McCormick, 1993,  Managerial Decision Making and Capital Structure , Journal of Business, April. </li> <li>Meulbroek, Lisa, Mark Mitchell, Harold Mulherin, Jeffry Netter and Annette Poulsen, 1990,  Shark Repellents and Managerial Myopia: An Empirical Test , Journal of Political Economy, October. </li> <li>Mitchell, Mark, 1989,  The Impact of Drug Tampering on the Value of Firms: The 1982 Tylenol Poisonings and Subsequent Cases , Economic Inquiry, October. </li> <li>Mitchell, Mark, 1991,  The Value of Corporate Takeovers , Financial Analysts Journal, Jan/Feb. </li><li>Mitchell, Mark and Kenneth Lehn, 1990,  Do Bad Bidders Become Good Targets? , Journal of Political Economy, April. </li> <li>Mitchell, Mark and Michael Maloney, 1989,  Crisis in the Cockpit? The Role of Market Forces in Promoting Air Travel Safety , Journal of Law and Economics, October. </li> <li>Mitchell, Mark and Harold Mulherin, 1989,  The Stock Price Response to Pension Terminations and the Relation of Terminations with Corporate Takeovers , Financial Management, Autumn. </li> <li>Mitchell, Mark and Harold Mulherin, 1994,  The Impact of Public Information on the Stock Market , Journal of Finance, July. </li> <li>Mitchell, Mark, and Harold Mulherin, 1996,  The Impact of Industry Shocks on Takeover and Restructuring Activity , Journal of Financial Economics, June. </li> <li>Mitchell, Mark and Jeffry Netter, 1989,  Stock Repurchases and Insider Transactions in the Wake of the October 1987 Stock Market Crash , Financial Management, Autumn. </li> <li>Mitchell, Mark and Jeffry Netter, 1989,  Triggering the 1987 Stock Market Crash: Antitakeover Provisions in the House Ways and Means Tax Bill? , Journal of Financial Economics, September. </li> <li>Mitchell, Mark and Jeffry Netter, 1994,  The Role of Financial Economics in Securities Fraud Cases: Applications at the Securities and Exchange Commission , The Business Lawyer, February. </li> <li><a href="research_14.htm"><strong>Mitchell, Mark and Todd Pulvino, 2001, &quot;Characteristics of Risk and Return in Risk Arbitrage , Journal of Finance, December.</strong></a> </li> <li>Mitchell, Mark, Todd Pulvino and Erik Stafford, 2002,  Limited Arbitrage in Equity Markets , Journal of Finance, April. </li> <li>Mitchell, Mark and Erik Stafford, 2000,  Managerial Decisions and Long&#8209;Term Stock&#8209;Price Performance , Journal of Business, July. </li> <li>Pulvino, Todd, 1999,  Effects of Bankruptcy Court Protection on Asset Sales , Journal of Financial Economics. </li> <li>Pulvino, Todd, 1998,  Do Asset Fire-Sales Exist? An Empirical Investigation of Commercial Aircraft Transactions , Journal of Finance.</li> <li>Weston, Fred, Mark Mitchell and Harold Mulherin, 2004, Takeovers, Restructuring and Corporate Governance, Pearson/Prentice Hall, 4th Edition. </li> </ul> </span> <span class=titlu_negru> <p /> </span></td></tr></table> </td> </tr> <tr bgcolor="#d7def1" height="15"><td colspan="2">&nbsp; </td></tr></table></td></tr> <tr> <td bgcolor="#b0b3ba" style="padding-top:2px;padding-right:10px;" align="right" valign="top"> <a href="home.htm" class="white">HOME</a><font color="white">|</font> <a href="about.htm" class="white">ABOUT AQR</a><font color="white">|</font> <a href="principal_bios.htm" class="white">PRINCIPAL BIOS</a><font color="white">|</font> <a href="research.htm" class="white">RESEARCH LIBRARY</a><font color="white">|</font> <a href="RecruitingHome.htm" class="white">CAREER OPPORTUNITIES </a><font color="white">|</font> <a href="contact.aspx" class="white">CONTACT US</a><font color="white">|</font> <a href="directions.htm" class="white">DIRECTIONS</a></td> </tr> <tr> <td align="right" valign="top"><img src="layout/bara_sus3.jpg" width="7" height="7"></td> <td align="right" style="padding-right:20px;" class="copyright1">2004 &copy; AQRCapital.com. All Rights Reserved </td> <td align="left" valign="top"><img src="layout/bara_sus4.jpg" width="7" height="7"></td> </tr> </table> </td> </tr> </table> </body> </html>