Defensive
Defensive Equity Bibliography
May 28, 2014
Topics - Defensive
Here is a selected list of books, journal articles and working
papers that we found helpful in developing our research around Defensive
Equity strategies
Ang, Andrew, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang, 2006, “The Cross-Section of Volatility and Expected Returns,” The Journal of Finance, 61(1),
259–299
Asness, Cliff, Andrea Frazzini and Lasse H. Pedersen, 2012a, “Leverage Aversion and Risk Parity,” Financial Analysts Journal, 68(1),
47–59
Asness, Cliff, Andrea Frazzini and Lasse H. Pedersen, 2012b, “Quality Investment,” working paper, AQR Capital
Management and New York University
Baker, Malcolm, Brendan Bradley and Jeffrey Wurgler, 2010, “Benchmarks as Limits to Arbitrage: Understanding the Low
Volatility Anomaly,” Financial Analysts Journal, 67(1), 40–54
Barberis, Nicholas, and Ming Huang, 2008, “Stocks as Lotteries: The Implications of Probability
Weighting for Security Prices,” American Economic Review, 98(5), 2066–2100
Bhandari, Laxmi Chand, 1988,
“Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence,” The Journal of Finance, 43(2),
507–528
Black, Fischer, Michael C. Jensen and Myron S. Scholes, 1972, “The Capital Asset Pricing Model: Some Empirical Tests,”
in Michael C. Jensen, ed.: Studies in the Theory of
Capital Markets (Praeger Publishers,
Westport, Connecticut), 79–121
Black, Fischer, 1972,
“Capital Market Equilibrium With Restricted Borrowing,” Journal of Business, 45(3),
444–455
Black, Fischer, 1992,
“Beta and Return,” The Journal of Portfolio
Management, 20(1), 8–18
Brennan, Michael J., and Feifei Li, 1993, “Agency and Asset Pricing,” working paper, University of
California, Los Angeles
Cohen, Randolph B., Christopher Polk and Tuomo Vuolteenaho, 2005, “Money Illusion in the Stock Market: The Modigliani-Cohn
Hypothesis,” Quarterly Journal of
Economics, 120(2), 639–668
Falkenstein, Eric G., 1994,
“Mutual Funds, Idiosyncratic Variance and Asset Returns,” dissertation,
Northwestern University
Fama, Eugene F., and Kenneth R. French, 1992, “The Cross-Section of Expected Stock Returns,” The Journal of Finance, 47(2),
427–465
Frazzini, Andrea, David Kabiller and Lasse H. Pedersen, 2012, ”Buffett’s Alpha,” working paper, AQR Capital Management
and New York University
Frazzini, Andrea, and Lasse H. Pedersen, 2010, “Betting Against Beta,” working paper, AQR Capital
Management, New York University and National Bureau of Economic Research
Frazzini, Andrea, and Lasse H. Pedersen, 2011, “Embedded Leverage,” working paper, AQR Capital Management
and New York University
Gibbons, Michael R., 1982,
“Multivariate Tests of Financial Models: A New Approach,” Journal of Financial Economics,
10(1), 3–27
Hurst, Brian K., Bryan Johnson., and Yao Hua Ooi, 2010, “Understanding Risk Parity,” white paper, AQR Capital
Management
Kandel, Shmuel, 1984,
“The Likelihood Ratio Test Statistic of Mean-Variance Efficiency Without a
Riskless Asset,” Journal of Financial
Economics, 13(4), 575–592
Karceski, Jason, 2002,
“Returns-Chasing Behavior, Mutual Funds, and Beta’s Death,” Journal of Financial and Quantitative Analysis, 37(4), 559–594
Markowitz, Harry M., 1952,
“Portfolio Selection,” The Journal of Finance, 7(1), 77–91
Mitton, Todd, and Keith Vorkink, 2007, “Equilibrium Underdiversification and the Preference for
Skewness,” The Review of Financial
Studies 20(4), 1255–1288
Novy-Marx Robert, 2012,
“The Other Side of Value: Good Growth and the Gross Profitability Premium,”
working paper, National Bureau of
Economic Research
Piotroski, Joseph D., 2002,
“Value Investing: The Use of Historical Financial Statement Information to
Separate Winners from Losers,” Journal of Accounting
Research, 38, Supplement
Polk, Christopher, Samuel Thompson, and Tuomo. Vuolteenaho, 2006, “Cross-Sectional Forecasts of the Equity Premium,” Journal of Financial Economics,
81(1), 101–141
Shanken, Jay, 1985,
“Multivariate Tests of the Zero-Beta CAPM,” Journal of Financial
Economics, 14(3), 327–348
Tobin, J., 1958, “Liquidity
Preference as Behavior Towards Risk,” The Review of Economic
Studies 25(2), 65–86
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