Event: IAFE Seminar Series
Date: Monday, July 15, 2013
Time: 5:45pm Registration, 6:00pm Seminar, 7:30pm Reception
NYU Kimmel Center
60 Washington Square South
New York, NY 10012
The International Association of Financial Engineers is pleased to invite you to
We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five central predictions: (1) Since constrained investors bid up high-beta assets, high beta is associated with low alpha, as we find empirically for U.S. equities, 20 international equity markets, Treasury bonds, corporate bonds, and futures; (2) A betting-against-beta (BAB) factor, which is long leveraged low-beta assets and short high-beta assets, produces significant positive risk-adjusted returns; (3) When funding constraints tighten, the return of the BAB factor is low; (4) Increased funding liquidity risk compresses betas toward one; (5) More constrained investors hold riskier assets.
Andrea Frazzini, Ph.D., Vice President, develops quantitative models for AQR's Global Stock Selection team, focusing on the firm's Long/Short and Long only Equity, Defensive Equity and Momentum strategies. He has published in top academic journals and won several awards for his research, including the Smith Breeden Prize and the Outstanding Paper Award from the Swiss Finance Institute. Prior to AQR, Andrea was an associate professor of finance at the University of Chicago's Graduate School of Business and a Research Associate at the National Bureau of Economic Research. He also served as a consultant for DKR Capital Partners and J.P. Morgan Securities. He earned a B.S. in economics from the University of Rome III, an M.S. in economics from the London School of Economics and a Ph.D. in economics from Yale University.