Equities

Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation

Alternative Investing

Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined

Lasse H. Pedersen demystifies the secret world of active investing by exploring hedge funds' key trading strategies. This book unites research with real-world examples and interviews to reveal how hedge fund strategies work.

Macroeconomics

Monitoring Leverage

While the interest rate has been regarded as the single key feature of a loan, we argue that leverage is a more important measure of systemic risk. We discuss how leverage can be monitored, and highlight the benefits of doing so.

Macroeconomics

How to Calculate Systemic Risk Surcharges

Many argue that financial regulation should focus on limiting systemic risk. This chapter examines one proposed regulatory idea: that each institution must face a "surcharge" based on the extent to which it is likely to contribute to systemic risk.

Market Risk and Efficiency

Market Liquidity: Asset Pricing, Risk and Crises

This book demonstrates the important role of liquidity in asset pricing. The analysis shows that higher illiquidity and greater liquidity risk reduce securities prices and raise the expected return that investors require as compensation.

Portfolio Construction

Evaluating Financial Reporting Quality

This chapter touches on major themes in financial reporting quality. Many of the techniques described here are used by analysts to make security recommendations and by asset managers in making portfolio allocation decisions.

Asset Allocation

Expected Returns on Major Asset Classes

Expected returns are arguably the most important input into investment decisions. By broadening the traditional paradigm of expected return estimation, we think investors have the ability achive better-diversified portfolios and more forward-looking analysis.

Behavioral Finance

Scorecasting: The Hidden Influences Behind How Sports Are Played and Games Are Won

Tobias Moskowitz teams up with Sports Illustrated writer L. Jon Wertheim, to overturn some of the most cherished truisms of sports. They reveal the hidden forces that shape how basketball, baseball, football, and hockey games are played, won and lost.

Macroeconomics

Taxing Systemic Risk

How does one regulate systemic risk in the financial sector? We propose charging each financial firm a tax based on its expected loss during a systemic crisis.

Alternative Investing

AQR's DELTA Strategy

In late 2007, AQR focused its years of research on capturing the classical hedge fund strategies in a systematic way by "creating our own product that would seek to deliver these strategies in a risk-balanced and efficiently implemented way.