… We defined 49 industries as in Fama and French (1994a) and Asness and Stevens and
constructed intraindustry measures of log(BV/MV) and D/P. Thus, on our scale, a value stock is …

… We include a scaling factor c t such that the overall portfolio is scaled to one dollar long and
… Panel C also reports results for alternative measures of value for fixed income securities. …

… used the definition of HML as per Kenneth French’s data for objectivity and to make it easy
for the reader to replicate the results, but we note that using the definition of value in Asness …

We define quality as characteristics that investors should be willing to pay a higher price for.
Theoretically, we provide a tractable valuation model that shows how stock prices should …

In addition to attractive returns, many hedge funds claim to provide significant diversification
for traditional portfolios. This paper empirically examines the return and diversification …

… knowledge,” Asness is quick to assert. … ,” Asness states. “It’s fair to say our method works
better because of more-timely data, but ONLY when using both value and momentum,” Asness …

… Asness is managing and founding principal at AQR Capital Management, LLC, Greenwich,
Connecticut. Andrea Frazzini is vice president at AQR Capital Management, LLC, Greenwich…

We investigate whether dividend policy, as observed in the payout ratio of the US equity
market portfolio, forecasts future aggregate earnings growth. The historical evidence strongly …

… ASNESS is a managing these variables to explain the cross-section of … Jegadeesh and
Titman [1993] and Asness [1995] find a significant momentum effect in individual stock returns in …

… I show in Asness [2000] that this relationship, although laced with econometric difficulties, …
16In Asness [2000], I show some short-term forecasting success for a modified Fed model that …