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Draft:Andrea Frazzini

From Wikipedia, the free encyclopedia
Andrea Frazzini
Known forBetting against beta
Buffett's Alpha
Disposition effect research
AwardsFama–DFA Prize
Smith Breeden Award
BGI Michael Brennan Award
Bernstein Fabozzi/Jacobs Levy Award
PanAgora Crowell Memorial Prize
Graham and Dodd Award
Academic background
EducationRoma Tre University (BS)
London School of Economics (MSc)
Yale University (PhD)
ThesisThe Disposition Effect, Momentum and Stock Price Under-Reaction to Corporate News (2005)
Robert J. Shiller
Academic work
DisciplineFinancial economics
Sub-discipline
Behavioral finance, asset pricing
InstitutionsYale School of Management
New York University Stern School of Business
AQR Capital
University of Chicago Booth School of Business

Andrea Frazzini is a financial economist known for his research on behavioral finance, asset pricing, and investment management. He is a lecturer in management at Yale School of Management and was previously a principal and head of Global Stock Selection at AQR Capital Management.[1][2][3][4]

Education and career

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Frazzini earned a bachelor's degree in economics from Roma Tre University in 2000, an MSc in economics from the London School of Economics in 2001, and a Ph.D. in economics from Yale University in 2005. His dissertation, on the disposition effect and stock price underreaction to corporate news, was supervised by Robert Shiller.[5][6][3]

From 2005 to 2009 he served as an assistant professor and as an associate professor of finance at the University of Chicago's business school (renamed the Booth School of Business in 2008). During the same period he was a faculty research fellow at the National Bureau of Economic Research and, from 2007 to 2009, a director of the Center for Research in Security Prices. Since 2011 he has been an adjunct professor of finance at New York University's Stern School of Business.[5][7]

Frazzini joined AQR Capital Management in 2008 and became a principal in 2014.[7] He was named co-head of the firm's Global Stock Selection team in April 2019 and became its sole head at the end of that year.[8][2] He left AQR in January 2026.[1][9][10][11]

Selected research

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Frazzini's research examines how investor behavior and financing constraints affect security prices. His early work linked the disposition effect to delayed stock price responses to corporate news, and with Owen Lamont he showed that stocks favored by mutual fund investors subsequently earned lower returns.[12][13][14][15] With Lauren Cohen and Christopher Malloy, he documented that prices respond slowly to news about firms' major customers and that fund managers and analysts earn higher returns on companies whose executives share their educational ties.[16][17][18][19][20]

With Lasse Heje Pedersen, he developed the "betting against beta" strategy, which attributes the lower risk-adjusted returns of high-beta assets to investors' borrowing constraints.[21][22][23] A 2022 study by Robert Novy-Marx and Mihail Velikov argued that the strategy's returns owe more to its portfolio construction than to the mechanism it proposes.[24] Later work with Cliff Asness and Pedersen introduced the "betting against correlation" and "quality minus junk" factors.[25][26]

His paper "Buffett's Alpha," with David Kabiller and Pedersen, attributed Berkshire Hathaway's performance to purchases of inexpensive, low-risk, high-quality stocks combined with leverage; it received the CFA Institute's top Graham and Dodd Award for 2018.[27][22][28][29]

Awards and recognition

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Frazzini's papers have received several of the principal prizes in academic finance. "Betting Against Beta" won the Fama–DFA Prize for the best asset-pricing paper published in the Journal of Financial Economics in 2014, and "Dumb Money" (2008) and "Betting Against Correlation" (2020) each received the second prize.[30] The American Finance Association named "Economic Links and Predictable Returns" (2008) and "Sell-Side School Ties" (2010) Smith Breeden Distinguished Papers in The Journal of Finance.[31] His other awards include the BGI Michael Brennan Award, the Bernstein Fabozzi/Jacobs Levy Award, the PanAgora Crowell Memorial Prize, the Roger F. Murray Prize and the Swiss Finance Institute Outstanding Paper Award, and "Buffett's Alpha" received the CFA Institute's top Graham and Dodd Award for 2018.[32][4][7][27][30]

References

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  1. 1 2 Duarte, Esteban; Lee, Justina (January 20, 2026). "AQR Capital's Stock-Picking Head Frazzini Leaves After 17 Years". Bloomberg News. Bloomberg Terminal story T94OJKKK3NYA. Andrea Frazzini, the head of global stock selection at AQR Capital Management, has left the quant firm after 17 years.
  2. 1 2 "AST Emerging Markets Equity Portfolio – Portfolio manager disclosure". U.S. Securities and Exchange Commission, EDGAR. January 30, 2020.
  3. 1 2 "Andrea Frazzini". Yale School of Management. Retrieved September 19, 2026.
  4. 1 2 "Andrea Frazzini – Principal". AQR Capital Management. Archived from the original on December 9, 2025. Andrea Frazzini is a Principal at AQR Capital Management, where he is the Head of our Global Stock Selection team.
  5. 1 2 "Andrea Frazzini". NYU Stern School of Business. Retrieved September 19, 2026.
  6. ↑ Frazzini, Andrea (May 2005). The Disposition Effect, Momentum and Stock Price Under-Reaction to Corporate News (PDF) (Ph.D. dissertation). Yale University. Title page.
  7. 1 2 3 Frazzini, Andrea. "Curriculum vitae" (PDF). NYU Stern School of Business. Archived (PDF) from the original on September 20, 2026. Retrieved September 19, 2026.
  8. ↑ Piper, Nicole (December 2, 2019). "AQR stock selection co-head to retire". Citywire. Andrea Frazzini will replace Friedman as head of stock selection at the firm. Frazzini was named co-head of stock selection in April.
  9. ↑ "GuideStone Funds – Supplement to the Prospectus and Statement of Additional Information". U.S. Securities and Exchange Commission, EDGAR. February 27, 2026. Andrea Frazzini, Ph.D., Principal of AQR, no longer serves as a portfolio manager to the SAF, IEF and EMEF.
  10. ↑ "Symmetry Panoramic Trust – Supplement to the Prospectus". U.S. Securities and Exchange Commission, EDGAR. February 10, 2026. Andrea Frazzini, Ph.D. no longer serves as a portfolio manager for the Funds.
  11. ↑ DeFauw, Thomas (May 4, 2026). "AQR Multi-Asset Fund – Analyst Note". Morningstar. Archived from the original on September 20, 2026. In January 2026, AQR announced that the head of global stock selection strategy Andrea Frazzini is no longer with the firm.
  12. ↑ Frazzini, Andrea (2006). "The Disposition Effect and Underreaction to News". The Journal of Finance. 61 (4): 2017–2046. doi:10.1111/j.1540-6261.2006.00896.x.
  13. ↑ Frazzini, Andrea; Lamont, Owen A. (2008). "Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns". Journal of Financial Economics. 88 (2): 299–322. doi:10.1016/j.jfineco.2007.07.001.
  14. ↑ Hulbert, Mark (February 26, 2006). "Blame the Fund Manager, or the Face in the Mirror?". The New York Times. p. Sect. 3, p. 6. Archived from the original on October 5, 2019.
  15. ↑ Woolley, Scott (September 19, 2005). "Dumb Money". Forbes. Vol. 176, no. 5. p. 188. Archived from the original on April 20, 2016.
  16. ↑ Cohen, Lauren; Frazzini, Andrea; Malloy, Christopher (2008). "The Small World of Investing: Board Connections and Mutual Fund Returns". Journal of Political Economy. 116 (5): 951–979. doi:10.1086/592415.
  17. ↑ Cohen, Lauren; Frazzini, Andrea; Malloy, Christopher (2010). "Sell-Side School Ties". The Journal of Finance. 65 (4): 1409–1437. doi:10.1111/j.1540-6261.2010.01574.x.
  18. ↑ Belsie, Laurent (July 1, 2008). "School Ties and Mutual Fund Success". NBER Digest. National Bureau of Economic Research.
  19. ↑ Leonhardt, David (June 9, 2007). "Quantifying the Role of Old-School Ties in Investing". The New York Times. p. C1. Archived from the original on November 26, 2022.
  20. ↑ Frazzini, Andrea; Pedersen, Lasse Heje (2014). "Betting Against Beta". Journal of Financial Economics. 111 (1): 1–25. doi:10.1016/j.jfineco.2013.10.005.
  21. 1 2 Buttonwood (September 29, 2012). "The secrets of Buffett's success". The Economist. Archived from the original on July 4, 2024.
  22. ↑ Mackintosh, James (March 21, 2011). "Reward for risk seems to be a chimera". FT Report – Fund Management. Financial Times. p. 24. Factiva FTFTA00020110321e73l0001z.
  23. ↑ Novy-Marx, Robert; Velikov, Mihail (2022). "Betting against betting against beta". Journal of Financial Economics. 143 (1): 80–106. doi:10.1016/j.jfineco.2021.05.023.
  24. ↑ Asness, Clifford S.; Frazzini, Andrea; Gormsen, Niels Joachim; Pedersen, Lasse Heje (2020). "Betting against correlation: Testing theories of the low-risk effect". Journal of Financial Economics. 135 (3): 629–652. doi:10.1016/j.jfineco.2019.07.003.
  25. ↑ Asness, Clifford S.; Frazzini, Andrea; Pedersen, Lasse Heje (2019). "Quality minus junk". Review of Accounting Studies. 24 (1): 34–112. doi:10.1007/s11142-018-9470-2.
  26. 1 2 "CFA Institute Financial Analysts Journal Announces 2018 Graham and Dodd Awards of Excellence Winners" (Press release). CFA Institute. January 29, 2019.
  27. ↑ Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje (2018). "Buffett's Alpha". Financial Analysts Journal. 74 (4): 35–55. doi:10.2469/faj.v74.n4.3.
  28. ↑ Mackintosh, James (March 29, 2012). "The Ideas Column: Why boring is best". Financial Times. Archived from the original on May 28, 2023.
  29. 1 2 Pedersen, Lasse Heje. "Research". lhpedersen.com. Archived from the original on September 20, 2026. Retrieved September 19, 2026.
  30. ↑ "Prizes". American Finance Association. Archived from the original on September 9, 2026. Retrieved September 19, 2026.
  31. ↑ "Andrea Frazzini". Jacobs Levy Equity Management Center for Quantitative Financial Research, Wharton School. Archived from the original on June 11, 2026. Retrieved September 19, 2026.
[edit]

Category:Living people Category:Financial economists Category:Behavioral economists Category:Yale University alumni Category:Alumni of the London School of Economics Category:Roma Tre University alumni Category:University of Chicago Booth School of Business faculty Category:New York University Stern School of Business faculty Category:Yale School of Management faculty

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