Fama-DFA Prize

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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 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.[1] Fama is widely recognized as the father of efficient markets since the efficient market hypothesis arose from his 1960 Ph.D. dissertation, The Behavior of Stock Market Prices.[2] This dissertation led to publications on random walk hypothesis theory. He is described by some as the best known financial economist in the world,[3] and he is regularly cited as a contender for the Nobel Prize in Economics.[4][5][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 highly respected and well-cited.[7] The prize is also co-named for the investment advisory firm, Dimensional Fund Advisors.

Details[edit]

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. The 2007 voting occurred from February 1 - May 31, 2007.[1]

Winners[edit]

The following table is a complete list of past winners of the Fama-DFA Prize:[8]

Paper Author(s) Year Issue
"Detecting long-run abnormal stock returns: The empirical power and specification of test statistics" Brad M. Barber and John D. Lyon 1997 March
"Market efficiency, long-term returns, and behavioral finance" Eugene F. Fama 1998 September
"Bank entry, competition, and the market for corporate securities underwriting" Amar Gande, Manju Puri and Anthony Saunders 1999 November
"Commonality in liquidity" Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam 2000 April
"Following the leader: a study of individual analysts' earnings forecasts" Rick A. Cooper, Theodore E. Day and Craig M. Lewis 2001 September
"Breadth of ownership and stock returns" Joseph Chen, Harrison Hong and Jeremy C. Stein 2002 November
"The great reversals: The politics of financial development in the twentieth century" Raghuram G. Rajan and Luigi Zingales 2003 July
"Why are foreign firms listed in the U.S. worth more?" Craig Doidge, G. Andrew Karolyi, and René M. Stulz 2004 February
"Asset pricing with liquidity risk" Viral V. Acharya and Lasse Heje Pedersen 2005 August
"The conditional CAPM does not explain asset-pricing anomalies" Jonathan Lewellen and Stefan Nagel 2006 November

Notes[edit]

  1. ^ a b "The Journal of Financial Economics Best Paper Prizes". Journal of Financial Economics. 2007-06-03. Retrieved 2007-09-11. 
  2. ^ "The Efficient Market Hypothesis & The Random Walk Theory". Investor Home. 1999-03-03. Retrieved 2007-09-15. 
  3. ^ "Eugene Fama: economist, professor". Tufts University. 2001. Retrieved 2007-09-15. 
  4. ^ Moffatt, Mike. "About.com:Economics - Eugene Fama". The New York Times Company. Retrieved 2007-09-15. 
  5. ^ Greg Mankiw. "Predicting the Nobel Prize". Greg Mankiw's Blog. Retrieved 2007-09-15. 
  6. ^ "ECONOMIC-EXPECTATIONS PIONEER EARNS NOBEL PRIZE". The Boston Globe. Globe Newspaper Company. Retrieved 2007-09-15. 
  7. ^ Friedman, Allan (2007-04-16). "Professor Eugene Fama wins 2007 Fred Arditti Award". University of Chicago News Office. Retrieved 2007-09-15. 
  8. ^ "Fama-DFA Prizes for the Best Papers Published in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing". Journal of Financial Economics. 2007-06-02. Retrieved 2007-09-11.