Journal of Financial Economics
Jensen / Fama-DFA Best Paper Prizes Contest

Fama-DFA Prizes for Capital Markets and Asset Pricing

Full Name
Did you publish a paper in the JFE in 2016?
Yes No
Did you referee three or more JFE papers in 2016? Yes No



Click the radio button to the left of your favorite paper then click Submit.
You will then be able to review your selection a final time before submitting it

Analyzing volatility risk and risk premium in option contracts: A new theory Peter Carr; Liuren Wu
Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB's securities markets programme Fabian Eser; Bernd Schwaab
Decision-making approaches and the propensity to default: Evidence and implications Jeffrey R. Brown; Anne M. Farrell; Scott Weisbenner
Product market competition, R&D Investment, and stock returns Lifeng Gu
Discerning information from trade data David Easley; Marcos M. Lopez de Prado; Maureen O'Hara
Disaster recovery and the term structure of dividend strips Michael Hasler; Roberto Marfe
Information trade-offs in dynamic financial markets Efstathios Avdis
Anxiety in the face of risk Thomas Eisenbach; Martin C. Schmalz
Time-to-produce, inventory, and asset prices Zhanhui Chen
Have financial markets become more informative? Jennie Bai; Thomas Philippon; Alexi Savov
Systemic risk and the macroeconomy: An empirical evaluation Stefano Giglio; Bryan T. Kelly; Seth Pruitt
Sentiments, financial markets, and macroeconomic fluctuations Jess Benhabib; Xuewen Liu; Pengfei Wang
The common factor in idiosyncratic volatility: Quantitative asset pricing implications Bernard Herskovic; Bryan T. Kelly; Hanno Lustig; Stijn van Nieuwerburgh
Can information be locked up? Informed trading ahead of macro-news announcements Gennaro Bernile; Jianfeng Hu; Yuehua Tang
Volatility risk premia and exchange rate predictability Pasquale Della Corte; Tarun Ramadorai; Lucio Sarno
Heuristic portfolio trading rules with capital gain taxes Marcel Fischer; Michael F. Gallmeyer
Who neglects risk? Investor experience and the credit boom Sergey Chernenko; Samuel G. Hanson; Adi Sunderam
Time is money: Rational life cycle inertia and the delegation of investment management Hugh H. Kim; Raimond Maurer; Olivia S. Mitchell
Ambiguity aversion and household portfolio choice puzzles: Empirical evidence Stephen G. Dimmock; Roy Kouwenberg; Olivia S. Mitchell; Kim Peijnenburg
State variables, macroeconomic activity, and the cross-section of individual stocks Martijn Boons
Roughing up beta: Continuous vs. discontinuous betas, and the cross-section of expected stock returns Tim Bollerslev; Sophia Zhengzi Li; Viktor Todorov
Disagreement, speculation, and aggregate investment Steven D. Baker; Burton Hollifield; Emilio Osambela
The cross sectional variation of volatility risk premia Ana Gonzalez-Urteaga; Gonzalo Rubio
Gambling preference and individual equity option returns Suk-Joon Byun; Da Hea Kim
Nominal price illusion Justin Birru; Baolian Wang
Early option exercise: Never say never Mads Vestergaard Jensen; Lasse H. Pedersen
Limited attention, marital events and hedge funds Yan Lu; Sugata Ray; Melvyn Teo
Market conditions, fragility and the economics of market making Amber Anand; Kumar Venkataraman
Rethinking reversals Timothy C. Johnson
Accruals, cash flows, and operating profitability in the cross section of stock returns Ray Ball; Joseph Gerakos; Juhani Linnainmaa; Valeri Nikolaev
Are retail traders compensated for providing liquidity? Jean-Noel Barrot; Ron Kaniel; David Sraer
A trend factor: Any economic gains from using information over investment horizons? Yufeng Han; Guofu Zhou; Yingzi Zhu
Asset allocation and monetary policy: Evidence from the Eurozone Harald Hau; Sandy Lai
Are Friday announcements special? Overcoming selection bias Roni Michaely; Amir Rubin; Alexander Vedrashko
Failure to refinance Benjamin Keys; Devin G. Pope; Jaren C. Pope
Performance measurement with selectivity, market and volatility timing Wayne Ferson; Haitao Mo
Capitalizing on capitol hill: Informed trading by hedge fund managers Meng Gao; Jiekun Huang
The influence of political bias in state pension funds Daniel Bradley; Christos Pantzalis; Xiaojing Yuan
Capital structure effects on the prices of equity call options Robert Geske; Avanidhar Subrahmanyam; Yi Zhou
Momentum crashes Kent D. Daniel; Tobias J. Moskowitz
Price and volatility co-jumps Federico M. Bandi; Roberto Reno
Does variance risk have two prices? Evidence from the equity and option markets Laurent Barras; Aytek Malkhozov
Why does the option to stock volume ratio predict stock returns? Li Ge; Tse-Chun Lin; Neil D. Pearson
Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports Yee Cheng Loon; Zhaodong(Ken) Zhong
The volatility of a firm's assets and the leverage effect Jaewon Choi; Matthew S. Richardson
Have we solved the idiosyncratic volatility puzzle? Kewei Hou; Roger K. Loh
Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina? Loriana Pelizzon; Marti G. Subrahmanyam; Davide Tomio; Jun Uno
Short interest and aggregate stock returns David E. Rapach; Matthew C. Ringgenberg; Guofu Zhou
Market maturity and mispricing Heiko Jacobs
Institutional investors and stock return anomalies Roger Edelen; Ozgur S. Ince; Gregory Kadlec
Cyclicality, performance measurement, and cash flow liquidity in private equity David T. Robinson; Berk A. Sensoy
Patient capital outperformance: The investment skill of high active share managers who trade infrequently Martijn K.J. Cremers; Ankur Pareek
The expected returns and valuations of private and public firms Ilan Cooper; Richard Priestley
Quadratic variance swap models Damir Filipovic; Elise Gourier; Loriano Mancini
Liquidity, resiliency and market quality around predictable trades: Theory and evidence Hank Bessembinder; Allen Carrion; Laura Tuttle; Kumar Venkataraman
Comovement revisited Honghui Chen; Vijay Singal ; Robert F. Whitelaw
Should we be afraid of the dark? Dark trading and market quality Sean Foley; Talis J. Putnins
Short selling meets hedge fund 13F: An anatomy of informed demand Yawen Jiao; Massimo Massa; Hong Zhang
Shorting at close range: A tale of two types Carole Comerton-Forde; Charles Jones; Talis J. Putnins
Can analysts pick stocks for the long run? Oya Altinkilic; Robert S. Hansen; Liyu Ye
Reading the tea leaves: Model uncertainty, robust forecasts, and the autocorrelation of analysts' forecast errors Juhani Linnainmaa; Walter Torous; James Yae
Using options to measure the full value-effect of an event: Application to Obamacare Paul A. Borochin; Joseph H. Golec
Indexing and active fund management: International evidence Martijn K.J. Cremers; Miguel A. Ferreira; Pedro P. Matos; Laura Starks
Assessing asset pricing models using revealed preference Jonathan Berk; Jules van Binsbergen

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