20 for Twenty: Selected Papers from AQR Capital Management

AQR에서 회사 20주년을 맞아,

본인들의 투자철학에 맞는 20가지 페이퍼를 모은

서머리 Book을 업로드 하였습니다.

https://www.aqr.com/-/media/AQR/Documents/Insights/Books/20-for-Twenty.pdf

다만 700페이지 이상이라 모두 출력하는데 불편함이 있습니다.

이에, 해당 20개 논문 각각의 출처와 링크를

작성하여 드리니,

관심 있으신 논문은 다운로드 받아 보시면 될듯 합니다.

각 논문의 인용을 클릭하시면
해당 논문 페이지로 이동 혹은 다운로드 합니다.

Part 1

Challenging Conventional Thinking

Chapter 1. The great divide over market efficiency

Asness, Clifford, and John Liew. "The great divide over market efficiency." Institutional Investor (2014).

Chapter 2. My top 10 peeves

Asness, Clifford S. "My top 10 peeves." Financial Analysts Journal 70.1 (2014): 22-30.

Chapter 3. Buffett's alpha

Frazzini, Andrea, David Kabiller, and Lasse H. Pedersen. Buffett's alpha. No. w19681. National Bureau of Economic Research, 2013.

Part 2

Asset Allocation: Diversify, Diversify, Diversify

Chapter 4. Why not 100% equities

Asness, Clifford S. "Why not 100% equities." Journal of Portfolio Management 22.2 (1996): 29.

Chapter 5. The 5 percent solution

Asness, Cliff, and Antti Ilmanen. "The 5 percent solution." Institutional Investor (2012): 46-49.

Part 3

To Time or Not To Time

Chapter 6. Bubble logic

Asness, Clifford. "Bubble logic: or, how to learn to stop worrying and love the bull." (2000).

Chapter 7. Fight the Fed model

Asness, Clifford. "Fight the Fed model." Journal of Portfolio Management 30.1 (2003): 11-24.

Chapter 8. Style timing: Value versus growth

Asness, Clifford S., et al. "Style timing: Value versus growth." Journal of Portfolio Management 26.3 (2000): 50-60.

Part 4

Demystifying Hedge Fund Strategies

Chapter 9. Do hedge funds hedge?

Asness, Clifford S., Robert Krail, and John M. Liew. "Do hedge funds hedge?." (2001).

Chapter 10. Characteristics of risk and return in risk arbitrage

Mitchell, Mark, and Todd Pulvino. "Characteristics of risk and return in risk arbitrage." the Journal of Finance 56.6 (2001): 2135-2175.

Chapter 11. An Alternative Future Ⅰ

Asness, Cliff. "An Alternative Future. An Exploration of the Role of Hedge Funds." Journal of Portfolio Management 30.5 (2004): 94-103.

Part 5

Pioneering Factor Investing

Chapter 12. Time series momentum

Moskowitz, Tobias J., Yao Hua Ooi, and Lasse Heje Pedersen. "Time series momentum." Journal of financial economics 104.2 (2012): 228-250.

Chapter 13. Value and momentum everywhere

Asness, Clifford S., Tobias J. Moskowitz, and Lasse Heje Pedersen. "Value and momentum everywhere." The Journal of Finance 68.3 (2013): 929-985.

Chapter 14. Betting against beta

Frazzini, Andrea, and Lasse Heje Pedersen. "Betting against beta." Journal of Financial Economics 111.1 (2014): 1-25.

Chapter 15. Common factors in corporate bond returns

Israel, Ronen, Diogo Palhares, and Scott A. Richardson. "Common factors in corporate bond returns." (2017).

Chapter 16. Size matters, if you control your junk

Asness, Clifford, et al. "Size matters, if you control your junk." Journal of Financial Economics (2018).

Part 6

Taking Research to the Real World

Chapter 17. The devil in HML’s details

Asness, Cliff, and Andrea Frazzini. "The devil in HML’s details." Journal of Portfolio Management 39.4 (2013): 49-68.

Chapter 18. Fact, fiction and momentum investing

Asness, Clifford S., et al. "Fact, fiction and momentum investing." (2014).

Chapter 19. Fact, fiction, and value investing

Asness, Clifford S., et al. "Fact, fiction, and value investing." (2015).

Chapter 20. Craftsmanship alpha

Israel, Ronen, Sarah Jiang, and Adrienne Ross. "Craftsmanship alpha: An application to style investing." (2017).