Defensive Equity Bibliography

Topics - Defensive

${ numberSection } ${ text }
Defensive Equity Bibliography

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


This document is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein.

This document has been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. The factual information set forth herein has been obtained or derived from sources believed by the author and AQR Capital Management, LLC (“AQR”) to be reliable but it is not necessarily all-inclusive and is not guaranteed as to its accuracy and is not to be regarded as a representation or warranty, express or implied, as to the information’s accuracy or completeness, nor should the attached information serve as the basis of any investment decision. This document is not to be reproduced or redistributed to any other person. The information set forth herein has been provided to you as secondary information and should not be the primary source for any investment or allocation decision. Past performance is not a guarantee of future performance. 

This material is not research and should not be treated as research. This paper does not represent valuation judgments with respect to any financial instrument, issuer, security or sector that may be described or referenced herein and does not represent a formal or official view of AQR. The views expressed reflect the current views as of the date hereof and neither the author nor AQR undertakes to advise you of any changes in the views expressed herein. 

The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. Charts and graphs provided herein are for illustrative purposes only. The information in this presentation has been developed internally and/or obtained from sources believed to be reliable; however, neither AQR nor the author guarantees the accuracy, adequacy or completeness of such information. Nothing contained herein constitutes investment, legal, tax or other advice nor is it to be relied on in making an investment or other decision. There can be no assurance that an investment strategy will be successful. Historic market trends are not reliable indicators of actual future market behavior or future performance of any particular investment which may differ materially, and should not be relied upon as such. Diversification does not eliminate the risk of experiencing investment losses.

The information in this paper may contain projections or other forward-looking statements regarding future events, targets, forecasts or expectations regarding the strategies described herein, and is only current as of the date indicated. There is no assurance that such events or targets will be achieved, and may be significantly different from that shown here. The information in this document, including statements concerning financial market trends, is based on current market conditions, which will fluctuate and may be superseded by subsequent market events or for other reasons.