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Perspective
Everything and More
April 4, 2022
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
March 1, 2021
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.
Perspective
Banter Is Coming
May 29, 2019
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
February 1, 2019
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.
Perspective
Our Hat into the Podcasting Ring
August 8, 2018
Cliff discusses the launch of the AQR podcast, The Curious Investor.
Podcast
Silly Things Investors Do
August 1, 2018
An all-star lineup, including Nobel Prize winner Richard Thaler, joins The Curious Investor hosts to explain some of the most common biases that creep into our investment decisions.
Interview
Words from the Wise: An Interview with Richard Thaler
July 27, 2018
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.
Perspective
Perhaps the Most Important Essay I Will Ever Co-Author
March 1, 2018
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
February 8, 2017
Investors naturally think about the expected returns of bonds based on their market yields, thus assuming time-varying expected returns.
Perspective
Holy Cow the Rangers are Worse than the Cubs!
April 29, 2016
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).