Prize Winners

1980 - PRESENT

2013

First Prize

Stephen A. Ross, Franco Modigliani Professor of Financial Economics and Professor of Finance, MIT Sloan School of Management. “The Recovery Theorum”

Second Prize

Douglas T. Breeden, William W. Priest, Jr. Professor of Finance, Fuqua School of Business, Duke University
“Central Bank Policy Impact on the Distribution of Future Interest Rates”

Third Prize

Jeremy Siegel, Russell E. Palmer Professor of Finance, Wharton School, University of Pennsylvania
“The Cape Ratio: A New Look”

2012

First Prize

Mark Kritzman (Presenter), Windham Capital Management “Toward Determining Systemic Importance”

Second Prize

Jiang Wang (Presenter), MIT Sloan School of Management “Noise As Information For Illiquidity”

Third Prize

Motohiro Yogo (Presenter), Federal Reserve Bank, Minneapolis “Health and Mortality Delta: Assessing the
Welfare Cost of Household Insurance Choice”

2011

First Prize

Albert S. Kyle (Presenter), Charles E. Smith Professor of Finance, Robert H. Smith School of Business, University of Maryland Co-authors: Andrei Kirilenko, Mehrdad Samadi, Tugkan Tuzun “Flash Crash: Impact of High Frequency Trading on an Electronic Market”

Second Prize

Andrew Ang (Presenter), Ann F. Kaplan Professor of Business, Columbia Business School, Columbia University
Co-authors: Dimitris Papanikolaou, Mark M. Westerfield “Portfolio Choice With Illiquid Assets”

Third Prize Tie

Andrea Frazzini (Presenter), Vice President, AQR Capital Management LLC Co-author: Lasse H. Pedersen
“Betting Against Beta”

2010

First Prize

Steven N. Kaplan (Presenter), Neubauer Family Professor of Entrepreneurship and Finance, The University of Chicago Booth School of Business, “The Effects of Stock Lending on Security Prices. An Experiment by: Steven N. Kaplan and
Tobias J. Moskowitz and Berk A. Sensoy”

Second Prize

Stephen H. Penman, (Presenter) George O. May Professor of Accounting, Graduate School of Business, Columbia University and Francesco Reggiani, Department of Accounting, Bocconi University, “Returns to Buying Earnings and
Book Value: Accounting for Growth and Risk”

Third Prize Tie

Charles Jones (Presenter), Richard W. Lear Professor of Finance and Economics, Chair, Finance and Economics Division, Graduate School of Business, Columbia University and Ekkehart Boehmer, Lundquist College of Business, University of Oregon, and Xiaoyan Zhang, Johnson Graduate School of Management, Cornell University, “Shackling Short Sellers: The Effects of the Recent and Proposed Restrictions”

2009

First Prize

Albert S. Kyle, Smith Chair Professor of Finance, and Anna Obizhaeva, Assistant Professor of Finance, University of Maryland at College Park, “Market Microstructure Invariants”

Second Prize

Philippe Jorion, Chancellor’s Professor, University of California, Irvine “Credit Contagion From Counterparty Risk”

Third Prize Tie

K. J. Martijn Cremers, Associate Professor of Finance, Yale School of Management, “Should Benchmark Indices Have Alpha?
Revisiting Performance Evaluation”

Kenneth A. Froot, André R. Jakurski Professor of Business Administration, Graduate School of Business Administration, Harvard and Founding Partner, FDO Partners, “Market Disruption, Economic Crisis, And Investor Behavior”

2008

First Prize

M. Keith Chen, Assistant Professor of Economics, Yale School of Management, “How Basic Are Behavioral Biases”

Second Prize

Ralph S. J. Koijen, Assistant Professor of Finance, Graduate School of Business, University of Chicago, “The Cross Section of Managerial Ability and Risk Preferences”

Third Prize

K. Geert Rouwenhorst, Professor of Finance, Deputy Director, International Center for Finance, Yale School of Management, “The Fundamentals of Commodity Futures Returns”

2007

First Prize

Olivia S. Mitchell, The Wharton School, University of Pennsylvania, “Demographics and Finances of Baby Boomers”

Second Prize

Alon Brav, The Fuqua School of Business, Duke University, “Hedge Fund Activism, Corporate Governance, and Firm Performance”

Third Prize

Michael J. Cooper, The David Eccles School of Business, University of Utah “Corporate Political Contributions and Stock Returns”

2006

First Prize

Kenneth J. Winston, Chief Risk Officer, Morgan Stanley Investment Management, “Buy Side Risk Management”

Second Prize

Edwin Elton and Martin J. Gruber, Nomura Professors of Finance, Leonard. N. Stern School of Business, New York University, “Participant Reaction and the Performance of Funds Offered by 401(k) Plans”

Third Prize

Stewart C. Myers, Girdon Y. Billard Professor of Finance, MIT Sloan School of Management, “Capital Allocation”

2005

First Prize

Campbell R. Harvey, J. Paul Sticht Professor of International Business, Fuqua School of Business, Duke University and Claude Erb, Managing Director,Trust Company of the West, “The Tactical and Strategic Value of Commodity
Futures”

Second Prize (tie)

Nicholas Barberis, Professor of Finance, Yale School of Management “Understanding Comovement”

Second Prize (tie)

Kent Smetters, Associate Professor of Insurance and NBER Research Associate The Wharton School, University of Pennsylvania , “The Long-Term Budget Outlook and Social Security Reform: Implications For Financial Markets”

2004

First Prize

Halbert White, Professor of Economics, University of California at San Diego “A Reality Check for Data Snooping: with Application to Technical Trading,Calendar Effects and Mutual Fund Performance”

Second Prize

Lawrence Harris, Fred V. Keenan Chair in Finance, University of Southern California School of Business, “Secondary Trading Costs in the Bond Market”

Third Prize

Stephen Schaefer, Professor of Finance, London Business School, “Structural Models of Credit Risk Are Useful”

2003

First Prize

Richard G. Sloan, Professor, University of Michigan Business School “Earning Quality, Firm Performance and Stock Returns”

Second Prize

Harry M. Kat, Professor of Risk Management, Sir John Cass Business School “Hedge Funds and Skewness”

Third Prize

Jonathan Berk, Professor, Haas School of Business, University of California at Berkeley, “Mutual Fund Flows and Performance in Rational Markets”

2002

First Prize

Lawrence Harris, Institute Research Coordinator, Fred V. Keenan Chair in Finance, USC, “Why People Trade”

Second Prize

Joseph Chen, Assistant Professor, University of Southern California “Downside Correlation and Expected Stock Returns”

Third Prize

Eric M. Leeper, Professor, Department of Economics, Indiana University “Macro Policies and Inflation: An Overview”

2001

First Prize

Steward C. Myers, Gordon Y. Billard Professor of Finance, Sloan School of Management, Massachusetts Institute of Technology,“Financial Architecture”

Second Prize

Albert Kyle, Associate Professor of Finance, Fuqua School of Business Administration, Duke University, and Wei Xiong, Assistant Professor, Bendheim Center for Finance, Princeton University, “Contagion as a Wealth Effect”

Third Prize

.
Richard Roll, Allstate Chair in Finance, Anderson School of Business Administration, UCLA, Avanidhar Subrahmanyam, Professor, The Anderson School of Business Administration, UCLA, Tarun Chordia, Associate Professor,
Goizueda Business School, Emory University, Market Liquidity, Trading Activity, and Order Imbalance”

2000

First Prize

Elroy Dimson, London Business School, “A Century of Investment Returns”

Second Prize

Richard Bookstaber, Moore Capital Management, “A Taxonomy of Market Crisis”

Third Prize

John Y. Campbell, Harvard University and Arrowstreet Capital, LP, “Strategic Asset Allocation: Portfolio Choices for Long Term Investors”

1999

First Prize

Martin Nowak, The Institute for Advanced Study “The Evolution of Cooperation: Direct, Indirect and Spatial Reciprocity”

Second Prize

Terrance Odean, Graduate School of Management, University of California, Davis “The Courage of Misguided Convictions: The Trading Behavior ofIndividual Investors”

Third Prize

Jay Shanken, William E. Simon Graduate School, University of Rochester “Behavioral Finance: A (Somewhat) Skeptical View”

1998

First Prize

Chester Spatt, Graduate School of Industrial Administration, Carnegie Mellon University, “Equilibrium Forward Curves for Commodities”

Second Prize

Campbell R. Harvey, Fuqua School of Business, Duke University, “Measuring the Risk of International Investments”

Third Prize

Selahattin Ýmrohoroðlu, Marshall School of Business, University of Southern California, “Projected U. S. Demographics and Social Security”

1997

First Prize

Steven Heston, Olin School of Business, Washington University,”Option Pricing with Infinitely Divisible Distributions”

Second Prize

Olivier Ledoit, University of California, Los Angeles, “Improved Estimation of the Covariance Matrix of Stock Returns with an Application to Portfolio Selection”

Third Prize

William Goetzmann, Yale School of Management, “A Century of Global Stock Markets”

1996

First Prize

Jonathan Berk, University of Washington, “Size and Book-to-Price Anomalies”

Second Prize

Hayne H. Leland, University of California at Berkeley, “Bond Prices, Yield Spreads and Optimal Capital Structure with Default Risk”

Third Prize – Tie

Donald Keim, The Wharton School, University of Pennsylvania, “A Review of Global Market Anomalies”

Jay Shanken, William E. Simon Graduate School of Business Administration, University of Rochester, “A Review of Empirical Research and New Methodologies”

1995

First Prize

Mark Rubinstein and Jens Carsten Jackwerth, “Recovering Probability Distributions from Contemporaneous Security Prices”.

Second Prize

Campbell R. Harvey, Tadas E. Viskanta and Claude E. Erb, “Inflation and World Equity Selection”.

Third Prize

Florencio Lopez-de-Silanes, “Determinants of Privatization Prices”.

1994

First Prize

Keith Ambactsheer, KPA Advisory Services Inc., “The Economics of Pension Fund Management”.

Second Prize

André F. Perold and Erik R. Sirri, Harvard Business School, “The Cost of International Equity Trading”.

Third Prize

Philippe Jorion, University of California at Irvine, “Estimation Risk in Portfolio Selection”.

1993

First Prize

Richard H. Thaler, Johnson School of Management, Cornell University, “Myopic Loss Aversion and the Equity Premium Puzzle”.

Second Prize

Kenneth A. Froot, Graduate School of Business Administration, Harvard University, “Currency Hedging Over Long Horizons”.

Third Prize

Josef Lakonishok, College of Commerce and Business Administration, University of Illinois, “Contrarian Investment, Extrapolation, and Risk”..

1992

First Prize

Robert B. Litterman, Goldman Sachs & Company, “Global Asset Allocation and the Home Bias”, co-authored by Fischer Black.

Second Prize

Andrew W. Lo, Sloan School of Management, Massachusetts Institute of Technology, and A. Craig MacKinlay, The Wharton School, University of Pennsylvania, “An Ordered Probit Analysis of Transaction Stock Prices”.

Third Prize

Laurie Simon Bagwell, Kellogg Graduate School of Management, Northwestern University, “Dutch Auction Stock Repurchases”.

Honorable Mention

Randolph Preston McAfee, University of Texas at Austin, “Auction Theory II”.

1991

First Prize

H. Gifford Fong and Oldrich Vasicek, Gifford Fong Associates, “Fixed-Income Volatility Management: A New Approach to Return and Risk Analyses in Fixed-Income Management”.

Second Prize

Kenneth A. Froot, Harvard University Graduate School of Business, “New Trading Practices and Short-Run Market Efficiency”.

Third Prize

Robert L. Hagin, Miller, Anderson & Sherrerd, “The Torpedo Effect: The Subtle Risk of High Expected Growth”.

Honorable Mention

Vernon L. Smith, University of Arizona, “Off-Floor Trading, Disintegration, and the Bid-Ask Spread in Experimental Markets”.

1990

First Prize

Robert F. Engle, III, University of California, San Diego, “Volatility: Statistical Models for Financial Data”.

Second Prize

Lawrence Harris, University of Southern California, “Program Trading and Intraday Volatility”.

Third Prize

Kenneth R. French, University of Chicago, “Are Japanese Stock Markets Too High?”.

Honorable Mention

Paul Pfleiderer, Stanford University, “Sunshine Trading: The Effects of Preannouncement on Traders’ Welfare and on Price Volatility”.

1989

First Prize

Mark L. Mitchell, University of Chicago, “Do Bad Bidders Become Good Targets?”.

Second Prize

Jack L. Treynor, Treynor Capital Management, “The Value of Control”.

Third Prize

Edwin J. Elton and Martin J. Gruber, New York University, “A Multi-Index Risk Model of the Japanese Stock Market – Expectational Data and Japanese Stock Prices”.

Honorable Mention

Fischer Black, Goldman Sachs Asset Management, “Universal Hedging – How to Optimize Currency Risk and Reward in International Equity Portfolios”.

1988

First Prize

Kenneth R. French , Graduate School of Business, University of Chicago, “Forecasting Returns on Corporate Bonds and Common Stock”, co-authored by Eugene F. Fama.

Second Prize

Lawrence H. Summers, Harvard University, “Noise Trading and Stock Price Movements”.

Third Prize

William A. Brock, University of Wisconsin, “Applications of Nonlinear Science Statistical Inference Theory to Finance and Economics”.

Honorable Mention

Richard H. Thaler, Johnson Graduate School of Management, Cornell University, “Further Evidence of Investor Overreaction and Stock Market Seasonality”, coauthored by Werner F.M. DeBondt.

1987

First Prize

Sanford J. Grossman, Princeton University, “An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies”.

Second Prize

Andre F. Perold, Harvard Business School, “Conditional Allocation Policies for the Self-Insured Pension Fund”.

Third Prize

Mike Miles, University of North Carolina, “Motivation for Institutional Real Estate Sales and Implications for Generalizing from Specific Property Sales to Asset Class Returns – Commercial Real Estate Returns and Portfolio Allocation Decisions”.

Honorable Mention

Robert Litterman, Jose Scheinkman and Laurence Weiss, Goldman, Sachs & Company, “Volatility and the Yield Curve”.

Bruce N. Lehmann, Graduate School of Business, Columbia University, and David M. Modest, School of Business Administration, University of California at Berkeley, “The Arbitrage Price Theory and Market Anomalies”.

1986

First Prize

Robert C. Merton, Sloan School of Management, Massachusetts Institute of Technology, “On the Current State of the Stock Market Rationality Hypothesis”.

Second Prize

Lawrence R. Glosten, Kellogg Graduate School of Management, Northwestern University, and Lawrence E. Harris, School of Business Administration, University of Southern California, “Estimating the Components of the Bid/Ask Spread”.

Third Prize – Tie

Martin L. Leibowitz, Salomon Brothers, “A New Perspective on Asset Allocation”. Mark Rubinstein, School of Business

Administration, University of California at Berkeley, “Derivative Assets Analysis”.

Honorable Mention

Richard Bookstaber and Joseph A. Langsam, Morgan Stanley & Company, “Exposure Management and Valuation of Bonds With Imbedded Options”.

1985

First Prize

Terry A. Marsh and Robert C. Merton, Sloan School of Management, Massachusetts Institute of Technology, “Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices”.

Second Prize

Gary P. Brinson and Jeffrey J. Diermeir, First Chicago Investment Advisors, “The Multiple Asset Investment Setting”.

Third Prize

Ronald W. Masulis, Sheridan Titman and Mark S. Grinblatt, Graduate School of Management, UCLA, “The Valuation Effects of Stock Splits and Stock Dividends”.

Honorable Mention

Edward I. Altman, New York University, “Anatomy and Portfolio Strategies of theHigh Yield Debt Market”, co-authored by Scott A. Nammacher, PepsiCo, Inc.

Edwin J. Elton, Martin J. Gruber and Joel Rentzler, Graduate School of Business, New York University, “Professionally Managed Publicly Traded Commodity Funds”.

1984

First Prize

Mark Rubinstein, University of California at Berkeley, and Leland, O’Brien, Rubinstein Associates, “Alternative Paths to Portfolio Insurance”.

Second Prize

James A. Tilley, Morgan Stanley and Company, “A Synthetic Options Framework for Asset Allocation”.

Third Prize

Richard A. Ippolito, Office of Policy and Research, United States Department of Labor, “Economic Burden of Corporate Pension Liabilities”.

Honorable Mention

Takeo Nakamura, Nomura Capital Management and N. Terada, Nomura Research Institute, “Is The Japanese Stock Market Efficient?”.

1983

First Prize

D. Don Ezra and Keith P. Ambachtsheer, Pension Finance Associates, Ltd., “The Struggle for Pension Fund Wealth”.

Second Prize

Richard Roll, Graduate School of Management, University of California at Los Angeles, “The Merits of the Arbitrage Pricing Theory for Portfolio Management”.

Third Prize

Michael R. Gibbons, Graduate School of Business, Stanford University, “Empirical Examinations of the Return Generating Process of the Arbitrage Pricing Theory”.

1982

First Prize

Richard Bookstaber and Roger Clarke, Brigham Young University, “Using Options to Alter Portfolio Return Distributions”.

Second Prize

Edwin Elton and Martin Gruber, New York University, “Professional Expectations: Accuracy and Diagnosis of Errors”.

Third Prize

Stephen Figlewski, New York University, “Stock Index Futures: Theory and Application in a New Market”.

Honorable Mention

Donald Keim, The Wharton School, University of Pennsylvania, “The Interrelation Between Dividend Yields, Equity Values and Stock Returns:Implications of Stock Return Seasonality”.

William Sharpe, Stanford University, “Some Factors in New York Stock Exchange Security Returns, 1931-1979″.

1981

First Prize – Tie

Michael J. Brennan and Eduardo Schwartz, University of British Columbia, “Bond Pricing and Market Efficiency”.

Irwin Tepper, Irwin Tepper Associates, “Funding Private Pensions”.

Third Prize

Mark Rubinstein, University of California at Berkeley, “Nonparametric Tests of Alternative Option Pricing”.

Honorable Mention

Martin L. Leibowitz and Alfred Weinberger, Salomon Brothers, “Risk Control Procedures Under Contingent Immunization”.

Stephen M. Schaefer, London Business School, “The Dynamics of the Term Structure and Alternative Immunization Strategies”.

Robert J. Shiller, Yale University, “Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividend?”. 1982

1980

First Prize

Eugene F. Fama, University of Chicago, “Stock Returns, Real Activity, Inflation and Money”.

Second Prize

William Beaver, Stanford University, “Interpreting Disclosures of the Effects of Changing Prices”.

Third Prize

Richard Roll, UCLA, “The Expected Return Benchmark and Management Performance Evaluation”.

Honorable Mention

Gifford Fong and Oldrich Vasicek, Gifford Fong Associates, “A Risk Minimizing Strategy for Single or Multi-Period Immunization”.

Harry M. Markowitz, IBM, and Andre Perold, Harvard University, “A Procedure for the Fast Determination of Efficient Portfolios”.