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Bibliography

  • Arnott, Robert D., “Disentangling Size and Value”, Financial Analysts Journal, 2005.
  • Arnott, Robert D. and Cliff Asness. “Surprise! Higher Dividends = Higher Earnings Growth”, Financial Analysts Journal, Jan/Feb 2003, Vol. 59, Number 1, AIMR Graham and Dodd Award, 2003.
  • Arnott, Robert D., Jason Hsu, and Philip Moore, “Fundamental Indexation”, Financial Analysts Journal, March/April 2005.
  • Asness, Cliff, 1997, “The Interaction Between Value and Momentum Strategies”, Financial Analysts Journal, March/April.
  • Asness, Cliff, 2005, “Rubble Logic: Or, What Did We Learn From the Great Stock Market Bubble?”, Financial Analysts Journal, November/December 2005.
  • Asness, Cliff, Jacques Friedman, Robert Krail and John Liew, 2000, “Style Timing: Value vs. Growth”, Journal of Portfolio Management, Spring.
  • Fung, William and David Hsieh, “Will Hedge Funds Regress towards Index-like Products?”, Forthcoming, Journal of Investment Management, January 2007.
  • Jaeger, Lars and Christian Wagner, “Factor Modelling and Benchmarking of Hedge Funds: Can passive investments in hedge fund strategies deliver?”

Reading list:

  • Arnott, Robert D., 1988, “What Hath MPT Wrought: What Risks Reap Rewards”.
  • Asness, Cliff, Robert Krail, John Liew, May 2001, “Do Hedge Funds Hedge?” AQR Capital Management working paper.
  • Asness, Cliff, 1995, “The Power of Past Stock Returns to Explain Future Stock Returns”, Goldman Sachs Asset Management.
  • Asness, Cliff, 1996, “Global Tactical Asset Allocation”, Goldman Sachs Pension and Endowment Forum, September.
  • Asness, Cliff, 1996, “One Reason Not to Avoid Market Timing”, AQR Capital Management working paper.
  • Asness, Cliff, 1998, “Market-neutral Investing: Putting the ‘Hedge’ in ‘Hedge Funds’ ”, AQR Capital Management working paper.
  • Fung, William and David Hsieh, “Extracting Portable Alpha from Equity Long/Short Hedge Funds”, 2004.
  • Kaplan, Steven, Mark Mitchell and Karen Wruck, 2000, “A Clinical Exploration of Value Creation and Destruction in Acquisitions: Organizational Design, Incentives, and Internal Capital Markets”, in Mergers and Productivity, (National Bureau of Economic Research).
  • Mitchell, Mark and Todd Pulvino, 2001, “Characteristics of Risk and Return in Risk Arbitrage”, Journal of Finance, December.