Fama–DFA Prize

The Fama–DFA Prize is an annual prize given to authors with the best capital markets and asset pricing research papers published in the Journal of Financial Economics. The award is named after Eugene Fama, who is a co-founding advisory editor of the journal, a financial economist who helped to develop the efficient-market hypothesis and random walk hypothesis in asset pricing, a 2013 Nobel laureate in Economics,[1] a professor of finance at the Booth School of Business at the University of Chicago, and a research director for Dimensional Fund Advisors and the Center for Research in Securities Prices.[2] The prize is also named for the investment advisory firm, Dimensional Fund Advisors.

Details

Each year personal and student subscribers to the Journal of Financial Economics vote for the best paper in each of two categories after the journal's editorial office has enumerated all articles and assigned them to either the corporate finance and organizations area or the capital markets and asset pricing areas. Each subscriber may use one vote for each category. Currently the first prize in each category is $5,000 and the second prize is $2,500.

Winners

The following table is a complete list of past first and second-place winners of the Fama–DFA Prize:[3]

Year Place Paper Author(s)
2021[4] First Sustainable investing in equilibrium Ľuboš Pástor, Robert F. Stambaugh, and Lucian A. Taylor
Second Robust benchmark design Darrell Duffie and Piotr Dworczak
2020 First Shrinking the cross section Serhiy Kozak, Stefan Nagel, and Shrihari Santosh
Second Betting against correlation: Testing theories of the low-risk effect Clifford S. Asness, Andrea Frazzini, Niels Joachim Gormsen, and Lasse H. Pedersen
2019 First Characteristics are covariances: A unified model of risk and return Bryan T. Kelly, Seth Pruitt, and Yinan Su
Second Bubbles for Fama Robin Greenwood, Andrei Shleifer, and Yang You
2018 First An intertemporal CAPM with stochastic volatility John Y. Campbell, Stefano Giglio, Christopher Polk and Robert Turley
Second Carry Ralph S.J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen and Evert B. Vrugt
2017 First Information networks: Evidence from illegal insider trading tips Kenneth R. Ahern
Second Skill and luck in private equity performance Arthur G. Korteweg and Morten Sorensen
2016 First Systemic risk and the macroeconomy: An empirical evaluation Stefano Giglio, Bryan T. Kelly, and Seth Pruitt
Second Momentum crashes Kent D. Daniel and Tobias J. Moskowitz
2015 First Scale and skill in active management Lubos Pastor, Robert F. Stambaugh, and Lucian A. Taylor
Second Juicing the dividend yield: Mutual funds and the demand for dividends Lawrence E. Harris, Samuel M. Hartzmark, and David H. Solomon
2014 First "Betting against beta" Andrea Frazzini and Lasse H. Pedersen
Second "Limited partner performance and the maturing of the private equity industry" Berk A. Sensoy, Yingdi Wang, and Michael S. Weisbach
2013 First "The other side of value: The gross profitability premium" Robert Novy-Marx
Second "Anomalies and financial distress" Doron Avramov, Tarun Chordia, Gergana Jostova, and Alexander Philipov
Second "Legislating stock prices" Lauren Cohen, Karl Diether, and Christopher J. Malloy
2012 First "Is momentum really momentum?" Robert Novy-Marx
Second "Friends with money" Joseph Engelberg, Pengjie Gao, and Christopher A. Parsons
2011 First "Corporate bond default risk: A 150-year perspective" Kay Giesecke, Francis A. Longstaff, Stephen Schaefer, and Ilya A. Strebulaev
Second "Do hedge funds trade on private information? Evidence from syndicated lending" Nadia Massoud, Debarshi Nandy, Anthony Saunders, and Keke Song
2010 First "The good news in short interest" Ekkehart Boehmer, Zsuzsa R. Huszar, and Bradford Jordan
Second "A skeptical appraisal of asset-pricing tests" Jonathan Lewellen, Stefan Nagel, and Jay Shanken
2009 First "Why is PIN priced?" Jefferson Duarte and Lance Young
Second "Do liquidity measures measure liquidity?" Ruslan Y. Goyenko, Craig W. Holden, and Charles A. Trzcinka
2008 First "Inter-firm linkages and the wealth effects of financial distress along the supply chain" Michael G. Hertzel, Zhi Li, Micah S. Officer, and Kimberly J. Rodgers
Second "Venture capital investment cycles: the impact of public markets" Paul A. Gompers, Anna Kovner, Josh Lerner, and David Scharfstein
Second "Dumb money: mutual fund flows and the cross-section of stock returns" Andrea Frazzini and Owen A. Lamont
2007 First "Laddering in initial public offerings" Grace Qing Hao
Second "Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries" Viral V. Acharya, Sreedhar T. Bharath, and Anand Srinivasan
Second "Optimism and economic choice" Manju Puri and David T. Robinson
2006 First "The conditional CAPM does not explain asset-pricing anomalies" Jonathan Lewellen and Stefan Nagel
Second "Was there a Nasdaq bubble in the last 1990s?" Lubos Pastor and Pietro Veronesi
Second "The other January effect" Michael J. Cooper, John J. McConnell, and Alexei V. Ovtcinnikov
2005 First "Asset pricing with liquidity risk" Viral V. Acharya and Lasse Heje Pedersen
Second "The risk and return of venture capital" John H. Cochrane
2004 First "Why are foreign firms listed in the U.S. worth more?" Craig Doidge, G. Andrew Karolyi, and René M. Stulz
Second "New lists: Fundamentals and survival rates" Eugene F. Fama and Kenneth R. French
2003 First "The great reversals: The politics of financial development in the twentieth century" Raghuram G. Rajan and Luigi Zingales
Second "A multivariate model of strategic asset allocation" John Y. Campbell, Yeung Lewis Chan and Luis M. Viceira
Second "Voting with their feet: Institutional ownership changes around forced CEO turnover" Robert Parrino, Richard W. Sias and Laura T. Starks
2002 First "Breadth of ownership and stock returns" Joseph Chen, Harrison Hong and Jeremy C. Stein
Second "Mutual fund performance and seemingly unrelated assets" Lubos Pastor and Robert F. Stambaugh
2001 First "Following the leader: a study of individual analysts' earnings forecasts" Rick A. Cooper, Theodore E. Day and Craig M. Lewis
Second "Forecasting crashes: Trading volume, past returns and conditional skewness in stock prices" Joseph Chen, Harrison Hong and Jeremy C. Stein
2000 First "Commonality in liquidity" Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam
Second "Herding among security analysts" Ivo Welch
1999 First "Bank entry, competition, and the market for corporate securities underwriting" Amar Gande, Manju Puri and Anthony Saunders
Second "Predictive regressions" Robert F. Stambaugh
1998 First "Market efficiency, long-term returns, and behavioral finance" Eugene F. Fama
Second "Alternative factor specifications, security characteristics, and the cross-section of expected stock returns" Michael J. Brennan, Tarun Chordia and Avanidhar Subrahmanyam
Second "An empirical analysis of NYSE specialist trading" Ananth Madhavan and George Sofianos
1997 First "Detecting long-run abnormal stock returns: The empirical power and specification of test statistics" Brad M. Barber and John D. Lyon
Second "Analyzing investments whose histories differ in length" Robert F. Stambaugh

See also

Notes

  1. Moffatt, Mike. "About.com:Economics - Eugene Fama". The New York Times Company. Archived from the original on 2007-09-22. Retrieved 2007-09-15.
  2. "The Journal of Financial Economics Best Paper Prizes". Journal of Financial Economics. 2007-06-03. Retrieved 2007-09-11.
  3. "Fama-DFA Prizes for the Best Papers Published in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing". Journal of Financial Economics. Retrieved 2015-10-27.
  4. [Journal of Financial Economics https://www.jfinec.com/news/8a6ji76vynbf84sx7gnzud91k5etjg Jensen and Fama-DFA Prizes]


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