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”
D.Sc., Aalto University School of Business, CEPR and IFN
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
Salman Arif, Ph.D., Kelley School of Business, Indiana
Azi Ben-Rephael, Ph.D., Kelley School of Business,
Charles M.C. Lee, Ph.D., Stanford University
Graduate School of Business
“Leverage Constraints and Asset Prices: Insights from Mutual Fund
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The AQR Insight Award honors exceptional unpublished papers that provide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.
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
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
View source version on businesswire.com: http://www.businesswire.com/news/home/20150529005476/en/