Year |
Place |
Paper |
Author(s) |
2022[4] |
First |
Why does the Fed move markets so much? |
Carolin Pflueger and Gianluca Rinaldi |
Second |
The pass-through of uncertainty shocks to households |
Marco Di Maggio, Amir Kermani, Rodney Ramcharan, Vincent Yao, and Edison Yu |
2021[5] |
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 |