Two Papers Share First Prize
AQR Capital Management, LLC (“AQR”) today announced the winners
of its fourth annual AQR Insight Award.
Two papers share First Prize: “Commodity Trade and the Carry
Trade: A Tale of Two Countries,” by Robert Ready, Ph.D., Simon
School of Business, University of Rochester; Nikolai Roussanov,
Ph.D., Wharton School, University of Pennsylvania, and NBER; and
Colin Ward, Ph.D., Carlson School of Management, University of
Minnesota; and “Option-Based Credit Spreads,” by Christopher
L. Culp, Ph.D., Johns Hopkins University and Swiss Finance
Institute; Yoshio Nozawa, Ph.D., Federal Reserve Board; and Pietro
Veronesi, Ph.D., University of Chicago Booth School of Business,
NBER and CEPR.
“Commodity Trade and the Carry Trade” describes a general
equilibrium model of international trade and currency pricing that
identifies risk differences across currencies and can be used to
understand profitable carry trade strategies. “Option-Based Credit
Spreads” offers a novel, model-free benchmark for credit risk
analysis, which can be used to run empirical experiments on
credit-spread biases, the impact of asset uncertainty, and
bank-related rollover risk.
“Since we founded the AQR Insight Award in 2011, we have
received submissions from top researchers from around the globe,”
said AQR Founding Principal, David Kabiller, CFA. “This year was no
exception. We continue to be impressed with the caliber of papers
we receive, and the exchange of ideas that comes with inviting
these authors to AQR to present their work.”
The First Prize papers will share the $100,000 prize
equally.
The following authors earned honorable mentions for their
research:
“Common Factors in Return Seasonalities”Matti Keloharju,
D.Sc., Aalto University School of Business, CEPR and IFNJuhani T.
Linnainmaa, Ph.D., University of Chicago Booth School of Business
and NBER Peter M. Nyberg, D.Sc., Aalto University School of
Business
“Do Short-Sellers Profit From Mutual Funds? Evidence from
Daily Trades”Salman Arif, Ph.D., Kelley School of Business,
Indiana UniversityAzi Ben-Rephael, Ph.D., Kelley School of
Business, Indiana UniversityCharles M.C. Lee, Ph.D., Stanford
University Graduate School of Business
“Leverage Constraints and Asset Prices: Insights from Mutual
Fund Risk Taking”Oliver Boguth, Ph.D., W. P. Carey School of
Business, Arizona State University Mikhail Simutin, Ph.D., Rotman
School of Management, University of Toronto
The papers are available on the AQR website:
aqr.com/insightaward
The AQR Insight Award honors exceptional unpublished papers that
provide original, intelligent approaches to important issues in the
investment world, and stand up to rigorous review.
Many papers recognized by the AQR Insight Award Committee have
gone on to be published in leading academic journals. The First
Prize paper in 2012, “Market Expectations in the Cross Section of
Present Values,” was published in The Journal of Finance, while the
Distinguished Paper, “The Other Side of Value: The Gross
Profitability Premium,” was published in the Journal of Financial
Economics. The 2012 Honorable Mention papers “Countercyclical
Currency Risk Premia” and “The Short of It: Investor Sentiment and
Anomalies,” and 2013 Honorable Mention “Disagreement and Asset
Prices” have also been published in the Journal of Financial
Economics.
Deadline for entries for the 2016 AQR Insight Award is January
15, 2016. Papers must not be published before December 15,
2015.
More information and instructions for submitting papers online
may be found at aqr.com/insightaward.
About AQR
AQR is a global investment management firm built at the
intersection of financial theory and practical application. We
strive to deliver superior, long-term results for our clients by
looking past market noise to identify and isolate what matters
most, and by developing ideas that stand up to rigorous testing.
Our focus on practical insights and analysis has made us leaders in
alternative and traditional strategies since 1998.
The firm is based in Greenwich, Connecticut, with offices in
Chicago, Los Angeles, London and Sydney. As of March 31, 2015, AQR
had approximately $131.6 billion* in assets under management.
* Includes assets of CNH Partners, LLC, an AQR affiliate
This is being provided solely for information purposes and does
not constitute an offer or solicitation of an offer, or any advice
or recommendation, to purchase securities or financial instruments,
and may not be construed as such or serve as the basis of any
investment decision.
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