Three sets of papers by nine researchers, including Harry M. Markowitz, were named winners of the Harry M. Markowitz Awards, according to a joint statement issued Tuesday by New Frontier Advisors and the Journal of Investment Management.
John Y. Campbell, professor of economics at Harvard University; Jens Hilscher, assistant professor of finance in the international business school of Brandeis University; and Jan Szilagyi, partner at Hawker Capital received top recognition for their paper, “Predicting Financial Distress and the Performance of Distressed Stocks.” They will split a $10,000 prize.
In their paper, the co-authors used a model for corporate failure and concluded investors in distressed stocks “were not generally rewarded for the inherent risks,” the statement said.
Runner-up awards of special distinction recognized Mr. Markowitz, adjunct professor finance, Rady School of Management, University of California, San Diego; Robert Snigaroff, president and chief investment officer, Denali Advisors; and David Wroblewski, research analyst at Denali, for their paper, “The Supply and Demand of Alpha.” The paper said the ability to produce alpha “declines with increased assets under management,” finding that positive alpha crossed to negative at an AUM of $300 million, the statement said.
Special distinction also was awarded for a paper, “The National Transportation Safety Board: A Model for Systemic Risk Management.” The authors are Eric Fielding, associate managing director for strategic management, NTSB; Andrew W. Lo, professor of finance, Sloan School of Management, Massachusetts Institute of Technology, and chief investment strategist, AlphaSimplex Group; and Jian Helen Yang, Sloan fellow at the Sloan school.
Each set of runners-up will each receive $5,000 to split among themselves.
The winners of the awards, sponsored by New Frontier and the journal, were selected by a panel of Nobel laureates in economics, consisting of Mr. Markowitz, Robert C. Merton, Myron S. Scholes and William F. Sharpe.
The sponsoring organizations “were pleased to have Harry (Markowitz) and his colleagues submit a paper this year,” H. Gifford Fong, journal editor, said in the statement. “That it has been selected for recognition is testimony to the great work he continues to do.”
Mr. Markowitz did not participate in the voting for his paper, said Richard O. Michaud, president and CIO, New Frontier.
The awards recognize the impact of Mr. Markowitz's work as a financial economist and mathematician in both theoretical and applied finance.
New Frontier underwrites the prizes.
The awards will be presented March 11 at a journal conference.