DELTA Fund Bibliography

July 16, 2014
  • Contributors:

    AQR Capital Management
  • Topic:

    Hedge Funds

Here is a selected list of books, journal articles and working papers that we found helpful in developing our research behind the DELTA Fund.

Andrade, Gregor, Mark Mitchell and Erik Stafford, 2001, “New Evidence and Perspectives on Mergers,” Journal of Economic Perspectives, 15(2), 103–120

Andrade, Gregor, and Erik Stafford, 1999, “Investigating the Economic Role of Mergers,” Journal of Corporate Finance, 10(1), 1–36

Asness, Cliff, 1998, “One Reason Not to Avoid Market Timing,” working paper, AQR Capital Management

Asness, Cliff, 1996, “Why Not 100% Equities,” The Journal of Portfolio Management, 22(2), 29–34

Asness, Cliff, 1997, “The Interaction of Value and Momentum Strategies,” Financial Analysts Journal, 53(2), 29–36

Asness, Cliff, 2007, “Market-Neutral Investing: Putting the ‘Hedge’ in ‘Hedge Funds’,” AQR White Paper,  

Asness, Cliff, 2000, “Stocks vs. Bonds: Explaining the Equity Risk Premium,” Financial Analysts Journal, 56(2), 96–113

Asness, Cliff , 2004, “An Alternative Future: Part I ,” The Journal of Portfolio Management, 30(5), 94–103

Asness, Cliff , 2004, “An Alternative Future: Part II,” The Journal of Portfolio Management, 31(1), 8–23

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 , Robert J. Krail and John M. Liew, 2001, “Do Hedge Funds Hedge?,” The Journal of Portfolio Management, 28(1), 6–19

Asness, Cliff, Tobias J. Moskowitz and Lasse H. Pedersen, 2013, “Value and Momentum Everywhere,” The Journal of Finance, 68(3), 929–985

Asness, Cliff, R. Burt Porter and Ross L. Stevens, 2000, “Predicting Stock Returns Using Industry-Relative Firm Characteristics,” working paper, SSRN

Berger, Adam, Brian Crowell, Ronen Israel and David G. Kabiller, 2012, “Is Alpha Just Beta Waiting to Be Discovered?,” AQR White Paper,  

Diamonte, Robin L., John M. Liew and Ross L. Stevens, 1996, “Political Risk in Emerging and Developed Markets,” Financial Analysts Journal, 52(3), 71–76

Kabiller, David, John O’Hara, Jacob Rosengarten and Blaine Tomlinson, 1998, “Hedge Funds Demystified: Their Potential Role in Institutional Portfolios,” Goldman Sachs Pension & Endowment Forum

Kim, Hoon, 2001, “The Dynamic Relation Between Stock Returns and Key Financial Ratios,” AQR White Paper 

Liew, John M., 1995, “Stock Returns, Inflation and the Volatility of Growth in the Money Supply,” working paper, SSRN

Macey, Jonathan R., Mark Mitchell and Jeffry Netter, 1989, “Restrictions on Short Selling,” Yale, Yale Faculty Scholarship Series paper 1752

Mitchell, Mark L., and Kenneth Lehn, 1989, “Do Bad Bidders Become Good Targets?,” The Journal of Political Economy, 98(2), 372–398

Mitchell, Mark L., and J. Harold Mulherin, 1996, “The Impact of Industry Shocks on Takeover and Restructuring Activity,” Journal of Financial Economics, 41(2), 193–229

Mitchell, Mark L., and Jeffry M. Netter, 1989, “Stock Repurchases and Insider Transactions in the Wake of the 1987...,” Financial Management, 18(3), 84–96

Mitchell, Mark L., and Jeffry M. Netter, 1989, “Triggering the 1987 Stock Market Crash,” Journal of Financial Economics, 24(1), 37–68

Mitchell, Mark L., Lasse H. Pedersen and Todd C. Pulvino, 2007, “Slow Moving Capital,” American Econometric Review, 97(2), 215–220

Mitchell, Mark L., and Todd C. Pulvino, 2001, “Characteristics of Risk and Return in Risk Arbitrage,” The Journal of Finance, 56(6), 2135–2175

Mitchell, Mark L., Todd C. Pulvino and Erik Stafford, 2002, “Limited Arbitrage in Equity Markets,” The Journal of Finance, 57(2), 551–584

Mitchell, Mark L., Todd C. Pulvino and Erik Stafford, 2005, “Price Pressure Around Mergers,” The Journal of Finance, 59(1), 31–63

Moskowitz, Tobias J., and Mark Grinblatt, 1999, “Do Industries Explain Momentum?,” The Journal of Finance, 54(4), 1249–1290

Pulvino, Todd C., 1998, “Do Asset Fire-Sales Exist? ,” The Journal of Finance, 53(3), 939–978

Weston, J. Fred, Mark L. Mitchell and J. Harold Mulherin, 2004, “Takeovers, Restructuring, and Corporate Governance,” Prentice Hall, Upper Saddle River, New Jersey


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