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) |
|---|---|---|---|
| 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, , and |
| Second | Carry | , Tobias J. Moskowitz, Lasse Heje Pedersen and | |
| 2017 | First | Information networks: Evidence from illegal insider trading tips | |
| Second | Skill and luck in private equity performance | and Morten Sorensen | |
| 2016 | First | Systemic risk and the macroeconomy: An empirical evaluation | , , and |
| Second | Momentum crashes | and Tobias J. Moskowitz | |
| 2015 | First | Scale and skill in active management | Lubos Pastor, Robert F. Stambaugh, and |
| Second | Juicing the dividend yield: Mutual funds and the demand for dividends | , , and | |
| 2014 | First | "Betting against beta" | and Lasse H. Pedersen |
| Second | "Limited partner performance and the maturing of the private equity industry" | , , and Michael S. Weisbach | |
| 2013 | First | "The other side of value: The gross profitability premium" | |
| Second | "Anomalies and financial distress" | , , , and | |
| Second | "Legislating stock prices" | , , and Christopher J. Malloy | |
| 2012 | First | "Is momentum really momentum?" | |
| Second | "Friends with money" | , , and | |
| 2011 | First | "Corporate bond default risk: A 150-year perspective" | , , , and Ilya A. Strebulaev |
| Second | "Do hedge funds trade on private information? Evidence from syndicated lending" | , , Anthony Saunders, and | |
| 2010 | First | "The good news in short interest" | , , and |
| Second | "A skeptical appraisal of asset-pricing tests" | Jonathan Lewellen, Stefan Nagel, and | |
| 2009 | First | "Why is PIN priced?" | and |
| Second | "Do liquidity measures measure liquidity?" | , Craig W. Holden, and | |
| 2008 | First | "Inter-firm linkages and the wealth effects of financial distress along the supply chain" | , Zhi Li, , and |
| Second | "Venture capital investment cycles: the impact of public markets" | Paul A. Gompers, , Josh Lerner, and David Scharfstein | |
| Second | "Dumb money: mutual fund flows and the cross-section of stock returns" | and | |
| 2007 | First | "Laddering in initial public offerings" | |
| Second | "Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries" | , , and | |
| Second | "Optimism and economic choice" | Manju Puri and | |
| 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" | , John J. McConnell, and | |
| 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?" | , , 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, and | |
| Second | "Voting with their feet: Institutional ownership changes around forced CEO turnover" | , and | |
| 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" | , and |
| 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" | , Richard Roll and Avanidhar Subrahmanyam |
| Second | "Herding among security analysts" | Ivo Welch | |
| 1999 | First | "Bank entry, competition, and the market for corporate securities underwriting" | , 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, and Avanidhar Subrahmanyam | |
| Second | "An empirical analysis of NYSE specialist trading" | and | |
| 1997 | First | "Detecting long-run abnormal stock returns: The empirical power and specification of test statistics" | and |
| Second | "Analyzing investments whose histories differ in length" | Robert F. Stambaugh |
See also[]
Notes[]
- ^ Moffatt, Mike. "About.com:Economics - Eugene Fama". The New York Times Company. Archived from the original on 2007-09-22. Retrieved 2007-09-15.
- ^ "The Journal of Financial Economics Best Paper Prizes". Journal of Financial Economics. 2007-06-03. Retrieved 2007-09-11.
- ^ "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.
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- Economics journals
- Economics awards