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Journal Article

The Disposition Effect and the Under-Reaction to News

August 1, 2006 - Andrea Frazzini

Mounting evidence challenges the traditional view that securities are rationally priced to reflect publicly available information.

Journal Article

Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns

February 1, 2009 - Andrea Frazzini Owen A. Lamont

Individual retail investors actively reallocate their money across different mutual funds.

Journal Article

Deactivating Active Share

January 6, 2016 - Andrea Frazzini Jacques A. Friedman Lukasz Pomorski

The authors investigate Active Share, a measure meant to determine the level of active management in investment portfolios, and find it wanting.

Journal Article

Fact, Fiction and Value Investing

November 5, 2015 - Cliff Asness Andrea Frazzini Ronen Israel Tobias J. Moskowitz

Value investing has been a part of the investment lexicon for at least the better part of a century, yet confusion about it remains.

Journal Article

The Small World of Investing: Board Connections and Mutual Fund Returns

May 1, 2007 - Lauren Cohen Andrea Frazzini Christopher J. Malloy

Information moves security prices.

Working Paper

Trading Costs

August 23, 2018 - Andrea Frazzini Ronen Israel Tobias J. Moskowitz

Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.

Working Paper

Betting Against Correlation: Testing Theories of the Low-Risk Effect

February 15, 2017 - Cliff Asness Andrea Frazzini Niels Joachim Gormsen Lasse H. Pedersen

What drives the low-risk effect? We test whether it's driven by leverage constraints (and thus risk should be measured using beta) or behavioral effects (and thus risk should be measured by idiosyncratic risk).

Working Paper

Hiring Cheerleaders: Board Appointments of "Independent" Directors

June 1, 2012 - Lauren Cohen Andrea Frazzini Christopher J. Malloy

In this paper we exploit a database of independent directors to test the hypothesis that boards appoint directors who, while technically independent according to regulatory definitions, nonetheless may be overly sympathetic to management.

Journal Article

Size Matters, If You Control Your Junk

January 22, 2015 - Cliff Asness Andrea Frazzini Ronen Israel Tobias J. Moskowitz Lasse H. Pedersen

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.

Working Paper

Trading Costs of Asset Pricing Anomalies

December 5, 2012 - Andrea Frazzini Ronen Israel Tobias J. Moskowitz

We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.