Fama-DFA Prize

From Wikipedia, the free encyclopedia
Jump to: navigation, search

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 2013 Nobel laureate in Economics,[1][2][3] 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.[4] Fama studied efficient markets in the efficient market hypothesis, which arose from his 1960 Ph.D. dissertation, The Behavior of Stock Market Prices.[5] This dissertation led to publications on random walk hypothesis theory. He is said by some as the best known financial economist in the world.[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 sometimes used.[7] The prize is also co-named for the investment advisory firm, Dimensional Fund Advisors.


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 following table is a complete list of past first and second place winners of the Fama-DFA Prize:[8]

Year Place Paper Author(s)
2014 First "Betting against beta" Andrea Frazzini and Lasse H. Pedersen
2014 Second "Limited partner performance and the maturing of the private equity industry" Berk A. Sensoy, Yingdi Wang, and Michael S. Weisbach|1997
2013 First "The other side of value: The gross profitability premium" Robert Novy-Marx
2013 Second "Anomalies and financial distress" Doron Avramov, Tarun Chordia, Gergana Jostova, and Alexander Philipov
2013 Second "Legislating stock prices" Lauren Cohen, Karl Diether, and Christopher J. Malloy
2012 First "Is momentum really momentum?" Robert Novy-Marx
2012 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
2011 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
2010 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
2009 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
2008 Second "Venture capital investment cycles: the impact of public markets" Paul Gompers, Anna Kovner, Josh Lerner, and David Scharfstein
2008 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
2007 Second "Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries" Viral V. Acharya, Sreedhar T. Bharath, and Anand Srinivasan
2007 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
2006 Second "Was there a Nasdaq bubble in the last 1990s?" Lubos Pastor and Pietro Veronesi
2006 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
2005 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
2004 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
2003 Second "A multivariate model of strategic asset allocation" John Y. Campbell, Yeung Lewis Chan and Luis M. Viceira
2003 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
2002 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
2001 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
2000 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
1999 Second "Predictive regressions" Robert F. Stambaugh
1998 First "Market efficiency, long-term returns, and behavioral finance" Eugene F. Fama
1998 Second "Alternative factor specifications, security characteristics, and the cross-section of expected stock returns" Michael J. Brennan, Tarun Chordia and Avanidhar Subrahmanyam
1998 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
1997 Second "Analyzing investments whose histories differ in length" Robert F. Stambaugh


  1. ^ Moffatt, Mike. "About.com:Economics - Eugene Fama". The New York Times Company. Retrieved 2007-09-15. 
  2. ^ Greg Mankiw. "Predicting the Nobel Prize". Greg Mankiw's Blog. Retrieved 2007-09-15. 
  3. ^ "ECONOMIC-EXPECTATIONS PIONEER EARNS NOBEL PRIZE". The Boston Globe. Globe Newspaper Company. Retrieved 2007-09-15. 
  4. ^ "The Journal of Financial Economics Best Paper Prizes". Journal of Financial Economics. 2007-06-03. Retrieved 2007-09-11. 
  5. ^ "The Efficient Market Hypothesis & The Random Walk Theory". Investor Home. 1999-03-03. Retrieved 2007-09-15. 
  6. ^ "Eugene Fama: economist, professor". Tufts University. 2001. 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. Retrieved 2015-10-27.