The AQR Insight Award winning paper sets method for analyzing market fluctuations


Ralph SJ Koijen, professor of finance at the Booth School of Business at the University of Chicago, and Xavier Gabaix, professor of economics and finance at Harvard University, are recipients of the 2021 AQR Insight Award, which recognizes articles exceptional academics offering original, intelligent articles and innovative approaches to the problems of the investment world.

In their article, “In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis,” the authors established a method for analyzing market fluctuations and exploring how the quantity of something traded affects its price. .

The paper concluded that prices react to quantities traded much more than standard economic theories previously suggested, thus establishing a framework for better understanding how and why prices move within markets.

MM. Gabaix and Koijen shared a prize of $ 50,000.

In addition, two papers tied for second place. One was “Five Facts About Beliefs and Portfolios” by Stefano Giglio, professor of finance at the Yale School of Management; Matteo Maggiori, associate professor of finance at Stanford University Graduate School of Business; Johannes Stroebel, professor of finance at the Leonard N. Stern School of Business at New York University; and Stephen Utkus, director and director of the Vanguard Center for Investor Research at the Vanguard Group.

The other was “Sustainable Investing in Balance” by Lubos Pastor, professor of finance at the Booth School of Business at the University of Chicago; Robert F. Stambaugh, professor of finance and economics at the Wharton School, University of Pennsylvania; and Lucian A. Taylor, associate professor also at the Wharton School at UPenn. Each second place item received $ 25,000.

“In one of the most competitive years since the inception of the award, these award-winning papers each reflected significant and practical applications of academic research,” said David G. Kabiller, co-founder and head of business development at AQR Capital Management in a press release announcing the winners. “The fact that so many of our Insight Award winners continue to be published in leading journals is a testament to the level of excellence that the AQR Insight Award continues to represent and the high regard of the academic community for the award. . “

“Five Facts About Beliefs and Portfolios” shares the results of a survey of high net worth retail investors and offers advice on designing a macro-finance model. “Sustainable Investing in Balance” gives environmental, social and governance investments a rigorous systematic test.

After reducing the number of finalists to five papers, the authors of those papers were invited to present their research to senior members of the AQR, who then deliberated and chose the winners.

The other top five articles that earned honorable mention were “A Quantity Driven Theory of Term Premia and Exchange Rates” by Robin Greenwood, Samuel G. Hanson, Jeremy C. Stein, and Adi Sunderam; and “Deep Learning in Asset Pricing” by Luyang Chen, Markus Pelger and Jason Zhu.

AQR had approximately $ 140 billion in assets under management as of March 31.

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