AQR Announces 2021 Insight Award Winners

GREENWICH, Conn.–(BUSINESS WIRE)–AQR Capital Management, LLC (“AQR”) today announced the winners of the 2021 AQR Insight Award, which recognizes and rewards outstanding academic papers that offer original, intelligent, and innovative approaches to practical problems in the world of finance. ‘investment.

This year, the first prize was awarded to “Searching for the origins of financial fluctuations: the inelastic market hypothesisby authors Xavier Gabaix of Harvard University and Ralph Koijen of the University of Chicago Booth School of Business. The newspaper received a prize of $50,000.

Additionally, two papers were recognized as Distinguished Papers, sharing second place: “Five Facts About Beliefs and Walletsby authors Stefano Giglio of Yale School of Management, Matteo Maggiori of Stanford University Graduate School of Business, Johannes Stroebel of New York University Stern School of Business, and Stephen Utkus of Vanguard; and “Sustainable investing in balanceby Lubos Pastor of the University of Chicago, Robert F. Stambaugh of the Wharton School of the University of Pennsylvania and Lucian Taylor of the University of Pennsylvania. Each article received a prize of $25,000.

The AQR Insight Award was founded in 2012 and since then 37 of the 41 finalist papers, including 11 first prize papers, have been published in leading academic journals in finance and economics such as the Journal of Financial Economics, Journal of Finance, Review of Financial Studies, Journal of Political Economy, Quarterly Journal of Economics and American Economic Review.

“In one of the most competitive years since the award’s inception, these winning papers each reflected meaningful and practical applications of academic research,” said David Kabiller, co-founder of AQR Capital Management. “The fact that so many of our Insight Award winners are published in leading journals is a testament to the standard of excellence that the AQR Insight Award continues to represent and the high regard of the academic community for the award.

This year’s recognized articles cover a diverse set of important topics in investment management and represent rigorous and exceptional research that enhances understanding of these issues. First prize winner, “In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis develops a framework for theoretically and empirically analyzing fluctuations in the global stock market, exploring the simple and important subject of how the quantities traded affect prices. The article finds a rather surprising result, namely that prices are much more sensitive to the quantities traded than implied by standard economic theories, which assume that prices are quite resistant to trade, especially as a whole. This finding is important for better understanding how and why prices move in financial markets and has implications for trading and rebalancing, as well as the dynamic price changes we see in markets. This line of inquiry should trigger a broader inquiry into the subject of price elasticity, which we believe is key to understanding markets better.

Distinguished Paper”Five Facts About Beliefs and Wallets” shares five findings based on a survey of a large panel of high net worth retail investors and provides useful tips for designing a macro finance model; and “Sustainable investment in balance”, also a distinguished article, brings systematic rigor to ESG investing, offering economic insight into what is happening and why.

The AQR Insight Award winners were chosen through a highly selective process. After narrowing the number of finalists to five papers, the authors presented their research to the AQR Insight Prize Committee, a panel of senior members of the firm, who then deliberated and chose the winners.

In recognition of being among the top five papers this year, the following papers received the distinction of honorable mention: “A quantity-driven theory of term premia and exchange ratesby Robin Greenwood, Samuel Hanson, Jeremy Stein and Adi Sunderam, all of Harvard University; and “Deep Learning in Asset Pricingby Luyang Chen, Markus Pelger and Jason Zhu, all from Stanford University.

For more information on the AQR Insight Award and this year’s winning papers, visit

About AQR

AQR is a global investment management firm dedicated to delivering results for our clients. At the crossroads of economics, behavioral finance, data and technology, AQR’s evolution over two decades has been a continuous exploration of what drives markets and how it can be applied. to client portfolios. The company is based in Greenwich, Connecticut, with offices in Bangalore, Munich, Hong Kong, London and Sydney.

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