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词条 Fama-DFA Prize
释义

  1. Details

  2. Winners

  3. Notes

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, a 2013 Nobel laureate in Economics,[1][2][3] a finance professor at the University of Chicago Booth School of Business, and a research director for both the Dimensional Fund Advisors and the Center for Research in Securities Prices.[4] Fama studied efficient markets in the efficient market hypothesis, which arose from his 1960 Ph.D. dissertation, The Behavior of Stock Market Prices.[5] This dissertation led to publications on random walk hypothesis theory. He is said by some as the best known financial economist in the world.[6] In the areas of portfolio theory and asset pricing the Three-factor model he developed with Kenneth French in "The Cross-Section of Expected Stock Returns." in the June 1992 Journal of Finance is sometimes used.[7] The prize is also co-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:[8]

YearPaperAuthor(s)a
2017FirstSkill and luck in private equity performanceArthur G. Korteweg and Morten Sorensen
SecondInformation networks: Evidence from illegal insider trading tipsKenneth R. Ahern
2016FirstSystemic risk and the macroeconomy: An empirical evaluationStefano Giglio, Bryan T. Kelly, and Seth Pruitt
SecondMomentum crashesKent D. Daniel and Tobias J. Moskowitz
2015FirstScale and skill in active managementLubos Pastor, Robert F. Stambaugh, and Lucian A. Taylor
SecondJuicing the dividend yield: Mutual funds and the demand for dividendsLawrence E. Harris, Samuel M. Hartzmark, and David H. Solomon
2014First"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
2013First"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
2012First"Is momentum really momentum?"Robert Novy-Marx
Second"Friends with money"Joseph Engelberg, Pengjie Gao, and Christopher A. Parsons
2011First"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
2010First"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
2009First"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
2008First"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 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
2007First"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
2006First"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
2005First"Asset pricing with liquidity risk"Viral V. Acharya and Lasse Heje Pedersen
Second"The risk and return of venture capital"John H. Cochrane
2004First"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
2003First"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
2002First"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
2001First"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
2000First"Commonality in liquidity"Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam
Second"Herding among security analysts"Ivo Welch
1999First"Bank entry, competition, and the market for corporate securities underwriting"Amar Gande, Manju Puri and Anthony Saunders
Second"Predictive regressions"Robert F. Stambaugh
1998First"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
1997First"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

Notes

1. ^{{cite web|url=http://economics.about.com/cs/nobelwinners/p/fama.htm|accessdate=2007-09-15|title=About.com:Economics - Eugene Fama|publisher=The New York Times Company.|author=Moffatt, Mike}}
2. ^{{cite web|url=http://gregmankiw.blogspot.com/2006/09/predicting-nobel-prize.html|accessdate=2007-09-15|title= Predicting the Nobel Prize|publisher=Greg Mankiw's Blog|author=Greg Mankiw}}
3. ^{{cite web|url=http://www.boston.com/globe/search/stories/nobel/1995/1995h.html|title=ECONOMIC-EXPECTATIONS PIONEER EARNS NOBEL PRIZE|publisher=Globe Newspaper Company|work=The Boston Globe|accessdate=2007-09-15}}
4. ^{{cite web|url=http://jfe.rochester.edu/jfeprize.htm|accessdate=2007-09-11|title=The Journal of Financial Economics Best Paper Prizes|publisher=Journal of Financial Economics|date=2007-06-03}}
5. ^{{cite web|url=http://www.investorhome.com/emh.htm|accessdate=2007-09-15|title=The Efficient Market Hypothesis & The Random Walk Theory|publisher=Investor Home|date=1999-03-03}}
6. ^{{cite web|url=http://enews.tufts.edu/stories/021502Fama.htm|accessdate=2007-09-15|title=Eugene Fama: economist, professor|publisher=Tufts University|date=2001}}
7. ^{{cite web|url=http://www-news.uchicago.edu/releases/07/070416.fama.shtml|accessdate=2007-09-15|publisher=University of Chicago News Office|title=Professor Eugene Fama wins 2007 Fred Arditti Award|date=2007-04-16|author=Friedman, Allan}}
8. ^{{cite web|url=http://jfe.rochester.edu/winners.htm|accessdate=2015-10-27|title=Fama-DFA Prizes for the Best Papers Published in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing|publisher=Journal of Financial Economics}}

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