Value Investing Bibliography

June 04, 2014
  • Contributors:

    AQR Capital Management
  • Topic:

    Style Investing

Here is a selected list of books, journal articles and working papers that we found helpful in developing our research around Value strategies.

Acharya, Viral V., and Lasse Heje Pedersen, 2005, “Asset Pricing With Liquidity Risk,” Journal of Financial Economics 77(2), 375–410

Adrian, Tobias, and Hyun Song Shin, 2010, “Liquidity and Leverage,” Journal of Financial Intermediation 19(3), 418–437

Amihud, Yakov, 2002, “Illiquidity and Stock Returns: Cross-Section and Time Series Effects,” Journal of Financial Markets 5, 31–56

Amihud, Yakov, Haim Mendelson and Lasse Heje Pedersen, 2005, “Liquidity and Asset Prices,” Foundations and Trends in Finance 1(4), 269–364

Asness, Clifford S., 1994, “Variables That Explain Stock Returns,” Ph.D. dissertation, University of Chicago

Asness, Clifford S., 1995, “The Power of Past Stock Returns to Explain Future Stock Returns,” working paper, Goldman Sachs Asset Management

Asness, Clifford S., 2011, “Momentum in Japan: The Exception That Proves the Rule,” The Journal of Portfolio Management 37(4), 67–75

Asness, Clifford S., and Andrea Frazzini, 2013, “The Devil in HML’s Details,” The Journal of Portfolio Management 39(4), 49–68

Asness, Clifford S., and Ross L. Stevens. 2001, “Predicting Stock Returns Using Industry-Relative Firm Characteristics,” working paper

Asness, Clifford S., 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

Bali, Tarun G., Stephen J. Brown and Mustafa O. Caglayan, 2011, “Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns?” Journal of Financial Economics 101(1), 36–68

Bali, Tarun G., Stephen J. Brown and Mustafa O. Caglayan, 2012, “Systematic Risk and the Cross-Section of Hedge Fund Returns,” Journal of Financial Economics 106(1), 114–131

Bansal, Ravi, and Amir Yaron, 2004, “Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles,” The Journal of Finance 59(4), 1481–1509

Barberis, Nicholas, Andrei Shleifer and Robert Vishny, 1998, “A Model of Investor Sentiment,” Journal of Financial Economics 49(3), 307–343

Belo, Federico, 2010, “Production-Based Measures of Risk for Asset Pricing,” Journal of Monetary Economics 57(2), 146–163

Berk, Jonathan, Richard Green and Vasant Naik, 1999, “Optimal Investment, Growth Options and Security Returns,” The Journal of Finance 54(5), 1153–1607

Bessembinder, Henrik, 1992, “Systematic Risk, Hedging Pressure and Risk Premiums in Futures Markets,” The Review of Financial Studies 5(4), 637–667

Bhojraj, Sanjeev, and Bhaskaran Swaminathan, 2006, “Macromomentum: Returns Predictability in International Equity Indices,” The Journal of Business 79(1), 429–451

Black, Fischer, 1993, “Return and Beta,” The Journal of Portfolio Management 20(1) 8–18

Boudoukh, Jacob, Matthew Richardson and Robert F. Whitelaw, 1994, “Industry Returns and the Fisher Effect,” The Journal of Finance 49(5), 1595–1615

Boyson, Nicole, Christof W. Stahel and René M. Stulz, 2010, “Hedge Fund Contagion and Liquidity Shocks,” The Journal of Finance 65(5), 1789–1816

Brunnermeier, Markus, and Lasse Heje Pedersen, 2009, “Market Liquidity and Funding Liquidity, The Review of Financial Studies 22(6), 2201–2238

Carhart, Mark, 1997, “On Persistence in Mutual Fund Performance,” The Journal of Finance 52(1), 57–82

Chordia, Tarun, and Lakshmanan Shivakumar, 2002, “Momentum, Business Cycle and Time- Varying Expected Returns,” The Journal of Finance 57(2), 985–1019

Chui, Andy, Sheridan Titman and K.C. John Wei, 2010, “Individualism and Momentum Around the World,” The Journal of Finance 65(1), 361–392

Daniel, Kent, David Hirshleifer and Avanidhar Subrahmanyam, 2002, “Investor Psychology and Security Market Under‐ and Overreactions,” The Journal of Finance 53(6), 1839–1885

DeBondt, Werner F.M. and Richard Thaler, 1985, “Does the Stock Market Overreact?” The Journal of Finance 40(3), 793–805

Erb, Claude, and Campbell Harvey, 2006, “The Strategic and Tactical Value of Commodity Futures,” Financial Analysts Journal 62(2), 69–97

Fama, Eugene F., 1976, Foundations of Finance (Basic Books: New York)

Fama, Eugene F., and James MacBeth, 1973, “Risk, Return and Equilibrium: Empirical Tests,” Journal of Political Economy 81(3), 607–636

Fama, Eugene F., and Kenneth R. French, 1993, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics 33(1) 3–56

Fama, Eugene F., and Kenneth R. French, 1997, “Industry Costs of Equity,” Journal of Financial Economics 43(2), 153–193

Fama, Eugene F., and Kenneth R. French, 1996, “Multifactor Explanations of Asset Pricing Anomalies,” The Journal of Finance 51(1), 55–84

Fama, Eugene F., and Kenneth R. French, 1998, “Value vs. Growth: The International Evidence,” The Journal of Finance 53(6), 1975–1999

Fama, Eugene F., and Kenneth R. French, 2012, “Size, Value and Momentum in International Stock Returns,” Journal of Financial Economics 105(3), 457–472

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, 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, AQR Capital Management and University of Chicago

Gârleanu, Nicolae, and Lasse H. Pedersen, 2012, “Dynamic Trading With Predictable Returns and Transaction Costs,” The Journal of Finance 68(6), 2309–2340

Gerakos, Joseph, and Juhani Linnainmaa, 2012, “Decomposing Value,” working paper, University of Chicago

Gibbons, Michael R., Stephen A. Ross and Jay Shanken, 1989, “A Test of the Efficiency of a Given Portfolio,” Econometrica 57, 1121–1152

Gomes, Joao F., Leonid Kogan and Lu Zhang, 2003, “Equilibrium Cross Section of Returns,” Journal of Political Economy 111(4), 693–732

Gorton, Gary B., Fumio Hayashi and K. Geert Rouwenhorst, 2012, “The Fundamentals of Commodity Futures Returns,” Review of Finance 17(1), 35–105

Goyal, Amit, and Sunil Wahal, 2013, “Is Momentum an Echo?” working paper, Swiss Finance Institute and Arizona State University

Griffin, John, Susan Ji and Spencer Martin, 2003, “Momentum Investing and Business Cycle Risk: Evidence From Pole to Pole,” The Journal of Finance 58(6), 1515–1547

Grinblatt, Mark, and Tobias J. Moskowitz, 2004, “Predicting Stock Price Movements From Past Returns: The Role of Consistency and Tax-Loss Selling,” Journal of Financial Economics 71(3), 541– 579

Hansen, Lars P., and Ravi Jagannathan, 1997, “Assessing Specification Errors in Stochastic Discount Factor Models,” The Journal of Finance 52(2), 557–590

Hansen, Lars P., John Heaton and Nan Li, 2008, “Consumption Strikes Back? Measuring Long Run Risk,” Journal of Political Economy 116(2), 260–302

Haugen, Robert A., 1995, The New Finance: The Case Against Efficient Markets (Prentice Hall: Englewood Cliffs, New Jersey)

Hong, Harrison, and Jeremy Stein, 1999, “A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets,” The Journal of Finance 54(6), 2143–2184

Hong, Harrison, Terrence Lim and Jeremy Stein, 2000, “Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies,” The Journal of Finance 55(1), 265–295

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

Jegadeesh, Narasimhan, and Sheridan Titman. 1993, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” The Journal of Finance 48(1), 65–91

Jegadeesh, Narasimhan, 1990, “Evidence of Predictable Behavior of Security Returns,” The Journal of Finance 45(3), 881–898

Johnson, Timothy, 2002, “Rational Momentum Effects,” The Journal of Finance 57(2), 585–608

Kho, Bong C., 1996, “Time-Varying Risk Premia, Volatility and Technical Trading Rule Profits: Evidence From Foreign Currency Futures Markets,” Journal of Financial Economics 41(2), 249–290

Koijen, Ralph, Tobias Moskowitz, Lasse H. Pedersen and Evert Vrugt, 2012, “Carry,” working paper, University of Chicago.

Korajczyk, Robert A., and Ronnie Sadka, 2004, “Are Momentum Profits Robust to Trading Costs?” The Journal of Finance 59(3), 1039–1082

Korajczyk, Robert A., and Ronnie Sadka, 2008, “Pricing the Commonality Across Alternative Measures of Liquidity,” Journal of Financial Economics 87(1), 45–72

Krishnamurthy, A., 2002, “The Bond/Old-Bond Spread,” Journal of Financial Economics 66(2–3), 463–506

Lakonishok, Josef, Andrei Shleifer and Robert W. Vishny, 1994, “Contrarian Investment, Extrapolation and Risk,” The Journal of Finance 49(5), 1541–1578

Lebaron, B., 1999, “Technical Trading Rule Profitability and Foreign Exchange Intervention,” Journal of International Economics 49(1), 125–143

Lesmond, David A., Michael J. Schill and Chunsheng Zhou, 2003, “The Illusory Nature of Momentum Profits,” Journal of Financial Economics 71(2), 349–380

Li, Dongmei, and Lu Zhang, 2010, “Does Q-Theory With Investment Frictions Explain Anomalies in the Cross-Section of Returns?” Journal of Financial Economics 98(2), 297–314

Li, Erica X. N., Dmitry Livdan and Lu Zhang, 2009, “Anomalies,” The Review of Financial Studies 22(11), 4301–4334

Liew, Jimmy, and Maria Vassalou, 2000, “Can Book-to-Market, Size and Momentum Be Risk Factors That Predict Economic Growth?” Journal of Financial Economics 57(2), 221–245

Liu, Laura Xiaolei, and Lu Zhang, 2008, “Momentum Profits, Factor Pricing and Macroeconomic Risk,” The Review of Financial Studies 21(6), 2417–2448

Liu, Laura Xiaolei, Toni M. Whited and Lu Zhang, 2009, “Investment-Based Expected Stock Returns,” Journal of Political Economy 117(6), 1105–1139

Lo, Andrew W., and A. Craig MacKinaly, 1990, “When Are Contrarian Profits Due to Stock Market Overreaction?” The Review of Financial Studies 3(2), 175–205

Malloy, Christopher, Tobias J. Moskowitz and Annette Vissing-Jorgensen, 2009, “Long-Run Stockholder Consumption Risk and Asset Returns,” The Journal of Finance 64(6), 2427–2479

Moskowitz, Tobias J., 2003, “An Analysis of Covariance Risk and Pricing Anomalies,” The Review of Financial Studies 16(2), 417–457

Moskowitz, Tobias J., Yao Hua Ooi and Lasse Heje Pedersen, 2012, “Time Series Momentum,” Journal of Financial Economics 104(2), 228–250

Novy-Marx, Robert, 2012, “Is Momentum Really Momentum?” Journal of Financial Economics 103(3), 429–453

Parker, Jonathan A., and Christian Julliard, 2005, “Consumption Risk and the Cross Section of Expected Returns,” Journal of Political Economy 113(1), 185–222

Pástor, Lŭboš, and Robert F. Stambaugh, 2003, “Liquidity Risk and Expected Stock Returns,” Journal of Political Economy 111(3), 642–685

Pedersen, Lasse H., 2009, “When Everyone Runs for the Exit,” International Journal of Central Banking 5(4), 177–199

Piotroski, Joseph, 2000, “Value Investing: The Use of Historical Financial Statement Information to Separate Winners From Losers,” Journal of Accounting Research, 38, 1–41

Roon, Frank A., Theo de Nijman and Christian H. Veld, 2000, “Hedging Pressure Effects in Futures Markets,” The Journal of Finance, 55(3), 1437–1456

Rosenberg, Barr, Kenneth Reid and Ronald Lanstein, 1985, “Persuasive Evidence of Market Inefficiency,” The Journal of Portfolio Management 11(3), 9–16

Rouwenhorst, K. Geert, 1998, “International Momentum Strategies,” The Journal of Finance 53(1), 267–284

Sadka, Ronnie, 2006, “Momentum and Post-Earnings-Announcement Drift Anomalies: The Role of Liquidity Risk,” Journal of Financial Economics 80(2), 309–349

Sadka, Ronnie, 2012, “Hedge-Fund Performance and Liquidity Risk,” Journal of Investment Management 10(2), 60–72

Sagi, Jacob, and Mark Seasholes, 2007, “Firm-Specific Attributes and the Cross-Section of Momentum,” Journal of Financial Economics 84(2), 389–434

Shleifer, Andrei, and Lawrence H. Summers, 1990, “The Noise Trader Approach to Finance,” Journal of Economic Perspectives 4(2), 19–33

Stattman, Dennis, 1980, “Book Values and Stock Returns,” Chicago MBA: A Journal of Selected Papers 1980(4), 25–45

Vayanos, Dimitri, and Paul Woolley, 2013, “An Institutional Theory of Momentum and Reversal,” The Review of Financial Studies 26(5), 1087–1145

Zhang, Lu, 2005, “The Value Premium,” The Journal of Finance 60(1), 67–103

 

 



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