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Research

AQR Insight Award granted to 2 papers this year

Two academic papers shared first place in AQR Capital Management's seventh annual AQR Insight Award, which is granted to papers that offer original approaches to investment issues, spokesman Kevin Infante confirmed.

This year, one of the winning papers was "International Currencies and Capital Allocation," by Matteo Maggiori, an associate professor of economics at Harvard University, a faculty research fellow at the National Bureau of Economic Research and a research affiliate at the Center for Economic and Policy Research; Brent Neiman, a professor of economics at the University of Chicago Booth School of Business and a faculty research fellow at NBER; and Jesse Schreger, an assistant professor of macroeconomics at Columbia Business School and a faculty research fellow at NBER.

The other winning paper was "Taming the Factor Zoo" by Guanhao Feng, an assistant professor of statistics at City University of Hong Kong College of Business; Stefano Giglio, a professor of finance at the Yale School of Management, a faculty research fellow at NBER and a research affiliate at CEPR; and Dacheng Xiu, an associate professor of econometrics and statistics at the Booth School of Business.

In "International Currencies and Capital Allocation," the authors revealed that although global investors have a strong bias for their home currency, there's still an international preference for the U.S. dollar. Meanwhile, in the "Taming the Factor Zoo," the authors proposed a new methodology based on machine learning and model selection techniques, allowing researchers to test and evaluate potential new factors for asset pricing.

The authors of both of these papers shared the first-place prize of $100,000.

"Since its inception seven years ago, the Insight Award has counted many renowned academics among its recipients," said AQR Capital Management co-founder David G. Kabiller in a news release announcing the winners. "We are pleased to honor this year's winners, whose research advances the boundaries of financial knowledge and congratulate them on this achievement."

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

The remaining papers in the top five that earned honorable mention were "Asset Mispricing," by Kurt F. Lewis, Francis A. Longstaff and Lubomir Petrasek; "A Measure of Risk Appetite for the Macroeconomy," by Carolin Pflueger, Emil Siriwardane and Adi Sunderam; and "Opportunism as a Firm and Managerial Trait: Predicting Insider Trading Profits and Misconduct," by David Hirshleifer and Usman Ali.

AQR and its affiliates had about $225 billion in assets under management as of March 31.