Showing 1 - 10 of 159 results for 'Trading'

Sort By
  • Relevance
  • Newest
  • Oldest

Working Paper

Trading Costs of Asset Pricing Anomalies

We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.

Working Paper

Trading Costs

Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.

Journal Article

Predatory Trading

Large traders fear a forced liquidation, especially if their need to liquidate is known by other traders.

Journal Article

To Trade or Not to Trade? Informed Trading With Short-Term Signals for Long-Term Investors

One of the great frustrations in the asset management profession is to watch trading costs render useless a signal that predicts near-term returns beautifully.

Journal Article

Dynamic Trading With Predictable Returns and Transactions Costs

Active investors and asset managers — such as hedge funds, mutual funds and proprietary traders — try to predict security returns and trade to profit from their predictions.

Journal Article

Trading Patterns and Excess Comovement of Stock Returns

In April 2000, 30 stocks were replaced in the Nikkei 225 Index.

Journal Article

How Index Trading Increases Market Vulnerability

Passively managed index funds and exchange-traded funds (ETFs) have experienced accelerating growth in recent decades.

Journal Article

Stock Market Anomalies: What Can We Learn From Repurchases and Insider Trading?

In this paper, we examine whether managers’ trading decisions (both at a firm and personal level) are correlated with trading strategies suggested by the operating accruals anomaly and the post-earnings announcement drift (also known as the standardized unexpected earnings, or SUE) anomaly.

AQR Named “Hedge Fund Trading Desk of the Year” by Markets Media

AQR was named “Hedge Fund Trading Desk of the Year” at the annual Markets Media Choice Awards held in New York City.

Working Paper

Robust Dynamic Asset Allocation With Model Misspecification

This paper derives the optimal dynamic trading strategy when the investor's model of alpha-decay is misspecified. This robust trading strategy can be computed easily by solving a standard linear quadratic Gaussian dynamic programming problem.