Showing 1 - 10 of 882 results for 'Market Risk and Efficiency'

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Journal Article

Price Efficiency and Short Selling

Using a unique dataset with weekly stock-lending transactions across 26 countries, this paper estimates the impact of short-sale constraints on measures of price efficiency.


Market Liquidity: Asset Pricing, Risk and Crises

This book demonstrates the important role of liquidity in asset pricing. The analysis shows that higher illiquidity and greater liquidity risk reduce securities prices and raise the expected return that investors require as compensation.

Working Paper

Liquidity and Risk Management

This paper provides a model of the interaction between risk-management practices and market liquidity. We find that a feedback effect can arise: Tighter risk management leads to market illiquidity, which then further tightens risk management.

Working Paper

Risk Everywhere: Modeling and Managing Volatility

This paper finds similarities in realized volatility patterns across assets and asset classes, based on a high-frequency dataset for more than 50 commodities, currencies, equity indices and fixed income instruments spanning more than two decades.

Journal Article

Efficiently Inefficient Markets for Assets and Asset Management

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly. If investors can find managers more easily, more money is allocated to active management, fees are lower, and asset prices are more efficient.

Journal Article

Political Risk in Emerging and Developed Markets

The often-observed link between dramatic political events and large market moves suggests that political risk can affect stock returns.

White Paper

Understanding the Tax Efficiency of Market Neutral Equity Strategies

Tax-aware equity market neutral strategies can be inherently tax efficient. We explain why and illustrate our thinking through historical strategy simulations, as well as explore potential practical applications.

Journal Article

Leverage Aversion and Risk Parity

In recent years, a new approach to asset allocation called risk parity (RP) has been gaining in popularity among practitioners.


Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined

Lasse H. Pedersen demystifies the secret world of active investing by exploring hedge funds' key trading strategies. This book unites research with real-world examples and interviews to reveal how hedge fund strategies work.


Michael Mendelson Talks About Risk Parity and Market Volatility

Speaking at a JP Morgan Quantitative Conference in London on October 9, AQR Principal Michael A. Mendelson discounted assertions that risk parity investment strategies materially contributed to recent market volatility.