Factor/Style Investing
Style Bibliography
May 13, 2015
Topics - Factor/Style Investing
Here is a selected list of books, journal articles and working papers that we found helpful in developing our research around Style investing.
AQR Capital Management, 2012, Alternative Thinking, “The Role of Alternative Beta Premia," Third Quarter
AQR Capital Management, 2013, Alternative Thinking, “Style Premia/Bond Returns," Third Quarter
AQR Capital Management, 2014, Alternative Thinking, “Should Investors Worry About Rising Real Yields?," Second Quarter
AQR Capital Management, 2014, Alternative Thinking, “Challenges of Incorporating Tactical Views," Fourth Quarter
Asness, Cliff, 1997, “The Interaction of Value and Momentum Strategies,” Financial Analysts Journal, 53(2), 29–36
Asness, Cliff, John M. Liew and Ross L . Stevens, 1997, “Parallels Between the Cross-Sectional Predictability of Stock and Country Returns,” The Journal of Portfolio Management, 23(3), 79–87
Asness, Cliff, Jacques Friedman, Robert J. Krail and John M. Liew, 2000, “Style Timing: Value vs. Growth,” The Journal of Portfolio Management, 26(3), 50–60
Asness, Cliff, R. Burt Porter and Ross L. Stevens, 2000, “Predicting Stock Returns Using Industry-Relative Firm Characteristics,” working paper, SSRN
Asness, Cliff, Tobias J. Moskowitz and Lasse H. Pedersen, 2013, “Value and Momentum Everywhere,” The Journal of Finance, 68(3), 929–985
Asness, Cliff, 2011, “Momentum in Japan: The Exception that Proves the Rule,” The Journal of Portfolio Management, 37(4), 67–75
Asness, Cliff, and Andrea Frazzini, 2013, “The Devil in HML's Details,” The Journal of Portfolio Management, 39(4), 49–68
Berger, Adam, Brian Crowell, Ronen Israel and David G. Kabiller, 2012, “Is Alpha Just Beta Waiting to Be Discovered?,” AQR White Paper
Berger, Adam, Ronen Israel and Tobias J. Moskowitz, 2009, “The Case for Momentum Investing,” AQR White Paper
Brunnermeier, Markus K., Stefan Nagel and Lasse H. Pedersen, 2009, “Carry Trades and Currency Crashes,” chapter in NBER Macroeconomics Annual 2008, Volume 23 (University of Chicago Press)
Frazzini, Andrea, 2006, “The Disposition Effect and the Under-Reaction to News,” The Journal of Finance, 61(4), 2017–2046
Frazzini, Andrea, and Lasse H. Pedersen, 2014, “Betting Against Beta,” Journal of Financial Economics, 111(1), 1–25
Frazzini, Andrea, Ronen Israel and Tobias J. Moskowitz, 2012, “Trading Costs of Asset Pricing Anomalies,” working paper, SSRN
Ilmanen, Antti, 2011, Expected Returns: An Investor's Guide to Harvesting Market Rewards, Wiley, Hoboken, New Jersey
Ilmanen, Antti, and Jared Kizer, 2012, “The Death of Diversification Has Been Greatly Exaggerated,” The Journal of Portfolio Management, 38(3), 15–27
Ilmanen, Antti, Thomas Maloney and Adrienne Ross, 2014, “Exploring Macroeconomic Sensitivities: How Investments Respond to Different Economic Environments," The Journal of Portfolio Management, 40(3), 87-99.
Israel, Ronen, and Thomas Maloney, 2014, "Understanding Style Premia," The Journal of Investing, 23 (4), 15-22.
Israel, Ronen, and Tobias J. Moskowitz, 2012, “How Tax Efficient Are Equity Styles?,” working paper, SSRN
Israel, Ronen, and Tobias J. Moskowitz, 2013, “The Role of Shorting, Firm Size and Time on Market Anomalies,” Journal of Financial Economics, 108(2), 275–301
Koijen, Ralph S.J., Lasse Heje Pedersen, Tobias J. Moskowitz and Evert B. Vrugt, 2013, “Carry,” working paper, SSRN
Moskowitz, Tobias J., 2010, “Explanations for the Momentum Premium,” AQR White Paper
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