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Everything and More

My colleague and former classmate Antti Ilmanen is at it again with his second book, Investing Amid Low Expected Returns. Very rarely does a sequel stand up to the original (see Jaws II), but that's certainly not the case here!

Working Paper

Game On: Social Networks and Markets

This paper studies how echo-chamber effects and fake news can lead to disagreement and misinformation with effects on investors’ portfolios and market prices. It presents a model how an investment idea can propagate through a social network, generating a trading frenzy with high turnover, a bubble in the price, and high price volatility. The paper also presents empirical evidence on the dramatic events related to the GameStop stock in January 2021 and discusses broader economic implications.


Banter Is Coming

We have a lot of great topics and special guests coming up on season two of The Curious Investor.

Journal Article

A Data Science Solution to the Multiple-Testing Crisis in Financial Research

In this paper, we present a real example of how multiple testing information can be reported. We use that information to estimate the Deflated Sharpe Ratio of an investment strategy.


Our Hat into the Podcasting Ring

Cliff discusses the launch of the AQR podcast, The Curious Investor.


Words from the Wise: An Interview with Richard Thaler

Richard Thaler, a founding father of behavioral finance and the 2017 recipient of the Nobel Prize in Economics, discusses his pioneering research, including how our behaviors influence decision making and investing and what to do about it.


Perhaps the Most Important Essay I Will Ever Co-Author

We model when a hockey coach should pull the goalie when trailing and then discuss how our results relate to key lessons for portfolio and risk management, and business in general.

Journal Article

A Historical Perspective on Time-Varying Expected Returns

Investors naturally think about the expected returns of bonds based on their market yields, thus assuming time-varying expected returns.


Holy Cow the Rangers are Worse than the Cubs!

Cliff Asness delves into numbers and probabilities to determine the biggest loser: the Rangers (for not winning the Stanley Cup between 1940 and 1994) or the Cubs (for failing to win the World Series between 1908 and 2015).


Words From the Wise: Jack Bogle on Building a Better Investment Industry

An executive summary of the main themes explored in a question-and-answer session with John C. Bogle.