Game On: Social Networks and Markets
March 1, 2021
This paper studies how echo-chamber effects and fake news can lead to disagreement and misinformation with effects on investors’ portfolios and market prices. It presents a model how an investment idea can propagate through a social network, generating a trading frenzy with high turnover, a bubble in the price, and high price volatility. The paper also presents empirical evidence on the dramatic events related to the GameStop stock in January 2021 and discusses broader economic implications.
Research
Trends Everywhere
May 15, 2019
We provide new out-of-sample evidence on trend-following investing by studying its performance for 82 securities not previously examined and 16 long-short equity factors.
Size Matters, If You Control Your Junk
January 22, 2015
When it comes to equity investing, size matters—and in a bigger way than once thought—but only when controlling for junk. We examine seven challenges that have been hurled at the size effect and dismantle each one by controlling for a firm's quality.
themes
With yields so low, can bonds still help investors achieve return objectives and diversify multi-asset class portfolios? To address these questions and more, we have written a series of papers in which we explore the role of bonds in these unprecedented times.
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Value investing – buying securities that appear cheap relative to fundamentals – has a long history in financial markets. Explore our library of research on this famed topic.
More in Value Investing
Diversification. Craftsmanship. What goes into building an effective portfolio? We’ve rounded up our best thinking on the topic.
More in Portfolio Construction
The CIQ newsletter focuses on a wide array of themes such as retirement policy, macroeconomic insights, and investment ideas for this community.
Read MoreCliff's Perspectives
Factor/Style Investing
The Replication Crisis That Wasn’t
March 24, 2021
Factor investing has long faced criticisms of data mining, and more recently faced another criticism – some backtests might never have been right to begin with. A growing body of mostly well-done papers examine these issues, generally concluding that factors have been disappointing since their “discovery.” We’ve long addressed these concerns through robust out-of-sample evidence and a compelling theory for why a factor should work. What we’ve lacked, until now, is a formal test. My colleagues’ new paper tests brilliantly, what we have argued, largely anecdotally, for years. Their results are rather startlingly (even to me) positive for the field in general.
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data Sets
Simulated returns from published articles (or working papers) by researchers associated with AQR, and returns from the AQR Momentum Indexes.
Betting Against Beta: Equity Factors Data, Monthly
March 31, 2021
Value and Momentum Everywhere: Portfolios, Monthly
March 31, 2021
Commodities for the Long Run: Index Level Data, Monthly
December 31, 2020
Learning Center
ESG has become an increasingly important aspect of investing. We explain what ESG investing is, how we pursue it, and the potential benefits of ESG investing for our clients.
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A tax-aware investment approach can help taxable investors achieve their financial goals. Here we explain what tax-aware investing strategies are and how they may fit into an investor’s portfolio.
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Investors can use a repeatable approach to invest not just in equities, but in bonds, too. Here, we explore the ins and outs of this kind of investing and provide rationale for its efficacy.
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