Narasimhan Jegadeesh and Sheridan Titman are to be honored with the Wharton-Jacobs Levy Prize for Quantitative Financial Innovation for their work on momentum investing.
Mr. Jegadeesh, dean's distinguished chair in finance at the Goizueta Business School at Emory University, and Mr. Titman, Walter W. McAllister centennial chair in financial services at the McCombs School of Business at the University of Texas at Austin, are being recognized for their 1993 paper, "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," in the Journal of Finance.
The article linked strategies of buying recent stock winners and selling recent losers to significant positive returns.
"Narasimhan Jegadeesh and Sheridan Titman's work on momentum investing is as creative as it is rigorous," said Erika H. James, dean of the Wharton School, University of Pennsylvania, in a news release Tuesday announcing the award. "We honor them for improving our understanding of complex financial phenomena, which exemplifies Wharton's commitment to elevating the impact of high-quality scholarship to drive innovation in finance and progress in business and in society."
Bruce I. Jacobs, co-chief investment officer, portfolio manager and co-director of research at Jacobs Levy Equity Management and chairman of the selection committee, said in the news release that Messrs. Jegadeesh and Titman's paper represented a significant advancement for the investment industry in providing strong evidence against the efficient market hypothesis.
"They documented a factor of considerable strength and robustness that could be harnessed by skilled practitioners for the benefit of investors," Mr. Jacobs said.
The award will be presented Friday in New York during the fall conference of the Wharton School's Jacobs Levy Equity Management Center for Quantitative Financial Research.