Seminar by- Tarun Gupta, Vice President, AQR Capital Management, 27th October, 2016 (Thursday) at 3:00 PM

Quantitative Investment Strategies: Overview of Theory and Evidence 

by

Tarun Gupta
Vice President, AQR Capital Management

On

27th October, 2016 (Thursday) at 3:00 PM

Venue : Seminar Room (First Floor)
Department of Economics, Delhi School of Economics

All are cordially invited

Abstract

Starting with the workhorse asset pricing theory and model, I outline various 'asset  pricing anomalies' that seem to be unexplained, and consequently pose a challenge to existing theory. I examine empirical evidence to document these anomalies: Valuation, Momentum and Low-Risk, and potential reasons for why they exist and might continue to do so. I show these are economically meaningful in magnitude and statistically significant. Further, the anomalies appear to be robust and the empirical evidence shows they are pervasive across markets, time-periods and even asset classes. I discuss potential investment strategies that can be developed using these, and implications for investors. I conclude with potential avenues for future research