Academics Motohiro Yogo, Joao F. Gomes and Leonid Kogan today were awarded the Crowell Memorial Prize by PanAgora Asset Management for their paper, “Durability of Output and Expected Stock Returns.” Mr. Yogo is an assistant professor of finance at the Wharton School of the University of Pennsylvania, Mr. Gomes is an associate professor at Wharton, and Mr. Kogan is the Nippon Telephone and Telegraph Professor of Management at the MIT Sloan School of Management.
Their paper found that stock returns are related to systematic or business-cycle risk. “In the period from 1927-2004, the authors found that an investment strategy that is long on durable-good producers and short on service producers earned a risk premium of 4.5% annually,” according to a PanAgora news release. “This finding is justified by the fact that durable-good producers have more cyclical cash flows, and consequently, their returns are exposed to higher systematic risk.”
Dimitris Papanikolaou, senior lecturer and Donald P. Jacobs scholar at Northwestern University’s Kellogg School of Management, took second with his paper, “Sources of System Risk,” and Martijn Cremers, associate professor of finance at Yale School of Management, won third prize for “Deviations from Put-Call Parity and Stock Return Predictability.”
PanAgora has awarded the prize since 2001 in honor of company founder Richard Crowell, who was an early leader in quantitative investing.