The three professors could hardly be more interesting.
One of them, John Y. Campbell, professor of applied economics at Harvard University, was among a few economists summoned by Alan Greenspan to confer a couple of days before the Fed chairman delivered his infamous "irrational exuberance" speech.
Another, Andrew W. Lo, professor of finance at the Sloan School of Management, Massachusetts Institute of Technology, has been dubbed one of the new stars in finance.
The third, A. Craig MacKinlay, professor of finance at the Wharton School, University of Pennsylvania, sometimes assists money management firms in developing investment strategies.
The three collaborated on a book -- "The Econometrics of Financial Markets," published by Princeton University Press -- which is regarded as the first comprehensive text on quantitative methods specifically for investing.
Now they have won acclaim for their book, being recognized with the Paul A. Samuelson Award for Outstanding Scholarly Writing on Lifelong Financial Security by the Teachers Insurance and Annuity Association -- College Retirement Equities Fund, New York.
TIAA-CREF honored the co-authors for their book's relevance to investment management.
"In writing the book, we aimed to fill a void in the field of econometrics and its relationship to the financial markets," Mr. MacKinlay said. In the past couple of decades, quantitative investing has grown in practice and sophistication, he noted. But until their own work, "No book brought together the empirical and quantitative tools for financial management."
"It's a useful book for anyone using quantitative techniques for investing," added Mr. MacKinlay, who has done consulting to money management firms and other organizations.
Mr. Campbell noted, "The book is intended to help quantitative managers use statistical methods to analyze data."
Recalling the meeting with Mr. Greenspan, Mr. Campbell said, "I said the kinds of things which are consistent with what he said" in his speech. "But I think he had his views made up before the meeting."
The book includes sections on the efficient markets hypothesis, that is, in its strongest form, prices reflect all available information immediately and no investor can have an advantage.
Mr. Campbell said the book notes how the stock market is more predictable in the long term than the short term. "Because in the short run, the stock market is so noisy," he added.
Mr. Lo and Mr. MacKinlay are both members of the scientific advisory board of Investment Technology Group, which, among other things, operates the POSIT stock trading system. Mr. Lo, recently named a new star of finance by a publication, couldn't be reached for comment.
TIAA-CREF, which has some $210 billion under management, noted in a release acclaiming the book for its award, "(T)he authors have given investment professionals a practical tool to utilize in actual investment strategies and practices." The three co-authors have made "a major contribution in the evolution of economic science from a field largely interested in public policy to one also concerned with how economics can impact decisions made by investment professionals."
