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Quick Takes
Quick Clips: New Rules of Diversification
September 9, 2022
Hear from AQR's Portfolio Solutions Group on the the prospects for stock and bond markets, the impact of macroeconomic risks on a range of investments, and the use of diversifying investments to fortify portfolios.
White Paper
When Stock-Bond Diversification Fails
October 27, 2021
The events of 2020 to 2021 have increased uncertainty around the future path of inflation. We review how different inflationary outcomes can impact investor portfolios and evaluate what assets and strategies may enhance portfolio resilience to inflation.
Working Paper
Risk Adjusted Performance of Middlemen in Housing Markets
October 10, 2018
Do housing market asset flippers outperform? We study the risk-adjusted returns of asset flippers operating in the housing market of Los Angeles County with respect to both investments in the U.S. stock market and in a passive mutual fund tracking a representative U.S. REIT index.
Journal Article
How Much Should DC Savers Worry About Expected Returns?
August 3, 2016
DC savings analyses typically anchor on long-term stock and bond returns when estimating retirement income.
Working Paper
Generalized Recovery
March 1, 2016
We shed new light, both theoretically and empirically, on the Holy Grail in financial economics: decoding probabilities and risk preferences from asset prices.
Journal Article
Macro to Micro: Country Exposures, Firm Fundamentals and Stock Returns
April 24, 2014
In an increasingly interconnected global system of economic and financial markets, understanding the macroeconomic landscape is important.
Working Paper
Asset Tangibility, Macroeconomic Risks and the Diversification Discount
April 3, 2014
Some research says that conglomerates trade at a discount relative to a comparable group of companies focused on single lines of business, because investors want to diversify. But we find the "diversification discount" varies, and delve into why here.
Journal Article
The Canadian Dollar as a Reserve Currency
April 2, 2014
A clear reflection of Canada’s relative economic resilience during the global financial crisis of 2007‒2009 is the growth in the share of foreign exchange reserves that other countries hold in Canadian-dollar securities, particularly those issued by the Government of Canada.
Book
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.
Working Paper
Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty
September 15, 2013
There isn't much consensus on the structural forces driving the mid-2000s borrowing boom and the consumption slump that followed in the Great Recession. We created a model of household mortgage debt and liquidity management to answer these questions.