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Interview
Words From the Wise: An AQR Interview with Ed Thorp
January 10, 2018
We sat down with Ed Thorp, a pioneer in the mathematical analysis of casino games and investing, to get his insights on an array of topics from casino gambling to quantitative investing.
Working Paper
Learning, Dispersion of Beliefs, and Risk Premiums in an Arbitrage-Free Term Structure Model
July 24, 2015
In this paper, researchers explore the idea that knowing how much professionals disagree about how quickly the U.S. economy is emerging from a recession may produce actionable insight into the future performance of the bond market.
Journal Article
The Limits to Arbitrage and the Low-Volatility Anomaly
January 2, 2014
Researchers have found that a strategy of buying prior low volatility stocks and selling prior high volatility risk stocks has historically generated substantial abnormal returns in the U.S.
Journal Article
Arbitrage Crashes and the Speed of Capital
May 27, 2011
Modern finance theory rests on the ability of arbitrageurs to ensure that substantially similar assets trade at substantially similar prices.
White Paper
Arbitrage: A Brief Introduction
October 1, 2009
Arbitrage strategies use relative-value trades to generate potential excess returns with attractive risk profiles. We offer a brief introduction to arbitrage, including descriptions of several common strategies and an overview of historical performance.
White Paper
The Limits of Convertible Bond Arbitrage
September 1, 2009
Convertible bond arbitrage suffered abysmally after the collapse of Lehman Brothers in 2008. This case study looks at how these strategies can break down in times of crisis, and the opportunities they offer in the aftermath.
White Paper
The Convertible Bond Market Dislocation of 2008
June 30, 2009
The convertible bond market dislocation of 2008 provided investors an unprecedented investment opportunity. We apply insights from this time to discuss how investors might benefit from this opportunity.
Journal Article
When Everyone Runs for the Exit
January 1, 2009
The severe consequences for the global economy brought about by the 2008 liquidity crisis highlight the importance of liquidity risk.
Journal Article
Price Pressure Around Mergers
February 1, 2004
It has been well documented that when companies use stock as the currency in a takeover, the acquiring company’s share price tends to fall between –2% and –3% around the time a deal is announced.
Book
Merger Arbitrage
July 23, 2003
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.