NBER Working Paper No. 19681
---- Acknowledgements ----
Lasse H. Pedersen is the corresponding author. The authors are affiliated with AQR Capital Management, a global asset management firm that may apply some of the principles discussed in this research in some of its investment products. We thank Cliff Asness, Aaron Brown, John Howard, Ronen Israel, Sarah Jiang and Scott Richardson for helpful comments and discussions as well as seminar participants at the Kellogg School of Management, the CFA Society of Denmark, Vienna University of Economics and Business, Goethe University Frankfurt, and at AQR Capital Management. We are grateful to Nigel Dally for providing us with historical 10-K filings. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.
---- Disclosure of Financial Relationships for Lasse H. Pedersen ----
Lasse Heje Pedersen is the John A. Paulson Professor of Finance and Alternative Investments at the NYU Stern School of Business, a professor at Copenhagen Business School, a research associate at CEPR and NBER, a principal at AQR Capital Management, a Director of the American Finance Association, on the Economic Advisory Board of FTSE, and on the editorial board of the Quarterly Journal of Economics. He gives a number of compensated and non-compensated speeches as detailed on his curriculum vitae, which is available on his website: http://pages.stern.nyu.edu/~lpederse/ .