Alternative Investing
Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined
April 2, 2015
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.
Macroeconomics
Monitoring Leverage
September 30, 2013
While the interest rate has been regarded as the single key feature of a loan, we argue that leverage is a more important measure of systemic risk. We discuss how leverage can be monitored, and highlight the benefits of doing so.
Macroeconomics
How to Calculate Systemic Risk Surcharges
January 1, 2013
Many argue that financial regulation should focus on limiting systemic risk. This chapter examines one proposed regulatory idea: that each institution must face a "surcharge" based on the extent to which it is likely to contribute to systemic risk.
Market Risk and Efficiency
Market Liquidity: Asset Pricing, Risk and Crises
November 1, 2012
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.
Asset Allocation
Expected Returns on Major Asset Classes
January 5, 2012
Expected returns are arguably the most important input into investment decisions. By broadening the traditional paradigm of expected return estimation, we think investors have the ability achive better-diversified portfolios and more forward-looking analysis.
Behavioral Finance
Scorecasting: The Hidden Influences Behind How Sports Are Played and Games Are Won
January 1, 2012
Tobias Moskowitz teams up with Sports Illustrated writer L. Jon Wertheim, to overturn some of the most cherished truisms of sports. They reveal the hidden forces that shape how basketball, baseball, football, and hockey games are played, won and lost.
Macroeconomics
Taxing Systemic Risk
November 29, 2011
How does one regulate systemic risk in the financial sector? We propose charging each financial firm a tax based on its expected loss during a systemic crisis.
Alternative Investing
AQR's DELTA Strategy
October 1, 2011
In late 2007, AQR focused its years of research on capturing the classical hedge fund strategies in a systematic way by "creating our own product that would seek to deliver these strategies in a risk-balanced and efficiently implemented way.
Asset Allocation
Expected Returns: An Investors Guide to Harvesting Market Rewards
March 1, 2011
Finance theories have changed dramatically over the past 30 years, away from the restrictive theories of the single-factor CAPM, efficient markets, and constant expected returns.