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 2020?
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Did you referee three or more JFE papers in 2020? Yes No



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Providing liquidity in an illiquid market: Dealer behavior in U.S. corporate bonds Michael Goldstein; Edith Hotchkiss
Potential pilot problems: Treatment spillovers in financial regulatory experiments Ekkehart Boehmer; Charles Jones; Xiaoyan Zhang
Idea sharing and the performance of mutual funds Julien Cujean
Shorting flows, public disclosure, and market efficiency Xue Wang; Xuemin (Sterling) Yan; Lingling Zheng
Anomalies across the globe: Once public, no longer existent? Heiko Jacobs; Sebastian Mueller
Earnings, retained earnings, and book-to-market in the cross section of expected returns Ray Ball; Joseph Gerakos; Juhani Linnainmaa; Valeri Nikolaev; Christopher J. Malloy
Shrinking the cross section Serhiy Kozak; Stefan Nagel; Shrihari Santosh
Trading and arbitrage in cryptocurrency markets Igor Makarov; Antoinette Schoar
Show me the money: The monetary policy risk premium Ali Ozdagli; Mihail Velikov
Trading out of sight: An analysis of cross-trading in mutual fund families Alexander Eisele; Tamara Nefedova; Gianpaolo Parise; Kim Peijnenburg
Measuring skewness premia Hugues Langlois
An inconvenient cost: The effects of climate change on municipal bonds Marcus Painter
Is information risk priced? Evidence from abnormal idiosyncratic volatility Yung Chiang Yang; Bohui Zhang; Chu Zhang
Do fire sales create externalities? Sergey Chernenko; Adi Sunderam
Betting against correlation: Testing theories of the low-risk effect Clifford S. Asness; Andrea Frazzini; Niels Joachim Gormsen; Lasse H. Pedersen
Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns Yigit Atilgan; Turan G. Bali; K. Ozgur Demirtas; A. Doruk Gunaydin
Pricing structured products with economic covariates Yong Seok Choi; Hitesh Doshi; Kris Jacobs; Stuart M. Turnbull
Time-series momentum: Is it there? Dashan Huang; Jiangyuan Li; Liyao Wang; Guofu Zhou
A comparison of some structural models of private information arrival Jefferson Duarte; Edwin Hu; Lance Young
Portfolio rebalancing in general equilibrium Miles S. Kimball; Matthew D. Shapiro; Tyler Shumway; Jing Zhang
Is the active fund management industry concentrated enough? David Feldman; Konark Saxena; Jingrui Xu
Cross-asset signals and time series momentum Aleksi Pitkäjärvi; Matti Suominen; Lauri Vaittinen
OTC premia Gino Cenedese; Angelo Ranaldo; Michalis Vasios
Economic momentum and currency returns Magnus Dahlquist; Henrik Hasseltoft
Why do option returns change sign from day to night? Dmitriy Muravyev; Xuechuan (Charles) Ni
The term structure of liquidity provision Jennifer S. Conrad; Sunil Wahal
International R&D spillovers and asset prices Federico Gavazzoni; Ana Maria Santacreu
Liquidity regimes and optimal dynamic asset allocation Pierre Collin-Dufresne; Kent D. Daniel; Mehmet Saglam
Mutual fund investments in private firms Sungjoung Kwon; Michelle Lowry; Yiming Qian
Time-varying inflation risk and stock returns Martijn Boons; Frans de Roon; Fernando Duarte; Marta Szymanowska
Investor experiences and financial market dynamics Ulrike Malmendier; Demian Pouzo; Victoria Vanasco
Shared analyst coverage: Unifying momentum spillover effects Usman Ali; David Hirshleifer
Global currency hedging with common risk factors Wei Opie; Steven J. Riddiough
Private money creation with safe assets and term premia Sebastian Infante
Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick size pilot program Kee H. Chung; Albert J. Lee; Dominik M. Rosch
Why does public news augment information asymmetries? Julio A. Crego
Pre-trade hedging: Evidence from the issuance of retail structured products Brian Henderson; Neil D. Pearson; Li Wang
Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads Patrick Augustin; Mikhail Chernov ; Dongho Song
Security analysts and capital market anomalies Li Guo; Frank Weikai Li ; K.C. John Wei
Mood beta and seasonalities in stock returns David Hirshleifer; Danling Jiang ; Yuting Meng
Is the credit spread puzzle a myth? Jennie Bai; Robert Goldstein; Fan Yang
Prime (information) brokerage Nitish Kumar; Kevin Mullally; Sugata Ray; Yuehua Tang; Jefferson Duarte; Edwin Hu
The importance of being special: Repo markets during the crisis Stefano Corradin; Angela Maddaloni
Institutional allocations in the primary market for corporate bonds Stanislava Nikolova; Liying Wang; Juan (Julie) Wu
Terrorist attacks and investor risk preference: Evidence from mutual fund flows Albert Y. Wang; Michael Young
What you see is not what you get: The costs of trading market anomalies Andrew J. Patton; Brian M. Weller
Turning alphas into betas: Arbitrage and endogenous risk Thummim Cho
Heterogeneous beliefs and return volatility around seasoned equity offerings Ann Marie Hibbert; Qiang Kang; Alok Kumar; Suchismita Mishra
The U.S. Treasury floating rate note puzzle: Is there a premium for mark-to-market stability? Matthias Fleckenstein; Francis A. Longstaff
Business cycles and currency returns Riccardo Colacito; Steven J. Riddiough; Lucio Sarno
Does the Ross recovery theorem work empirically? Jens Carsten Jackwerth; Marco Menner
Why do discount rates vary? Serhiy Kozak; Shrihari Santosh
The conditional expected market return Fousseni Chabi-Yo; Johnathan Loudis
The scarcity effect of QE on repo rates: Evidence from the Euro area William Arrata; Benoit Nguyen; Imene Rahmouni-Rousseau; Miklos Vari
Swap trading after Dodd-Frank: Evidence from Index CDS Lynn Riggs; Esen Onur; David Reiffen; Haoxiang Zhu
Information arrival, delay, and clustering in financial markets with dynamic freeriding Cyrus Aghamolla; Tadashi Hashimoto
Fiscal policy driven bond risk premia Lorenzo Bretscher; Alex Hsu; Andrea Tamoni
Location choice, portfolio choice Ioannis Branikas; Harrison Hong; Jiangmin Xu
On the performance of volatility-managed portfolios Scott Cederburg; Michael S. O'Doherty; Feifei Wang; Xuemin (Sterling) Yan
IQ from IP: Simplifying search in portfolio choice Huaizhi Chen; Lauren Cohen; Umit G. Gurun; Dong Lou
Regulatory cooperation and foreign portfolio investment Mark H. Lang; Mark G. Maffett; James Omartian; Roger Silvers
The effect of exogenous information on voluntary disclosure and market quality Sivan Frenkel; Ilan Guttman; Ilan Kremer
Liquidity risk and exchange-traded-fund returns, variances, and tracking errors Kyoung-Hun Bae; Daejin Kim
Sophisticated investors and market efficiency: Evidence from a natural experiment Yong Chen; Bryan T. Kelly; Wei Wu
Is conflicted investment advice better than no advice? John Chalmers; Jonathan M. Reuter
The term structure and inflation uncertainty Tomas Breach; Stefania D'Amico; Athanasios Orphanides
Corporate bond mutual funds and asset fire sales Jaewon Choi; Saeid Hoseinzade; Sean Seunghun Shin; Hassan Tehranian
Strategic trading and unobservable information acquisition Snehal Banerjee; Bradyn Breon-Drish
Credit migration and covered interest rate parity Gordon Y. Liao
When low beats high: Riding the sales seasonality premium Gustavo Grullon; Yamil Kaba; Alexander Nunez-Torres
Fund tradeoffs Lubos Pastor; Robert F. Stambaugh; Lucian A. Taylor
Asset pricing: A tale of night and day Terrance Hendershott; Dmitry Livdan; Dominik Roesch
The price effects of liquidity shocks: A study of SEC's tick-size experiment Rui Albuquerque; Shiyun Song; Chen Yao
Dealers' insurance, market structure, and liquidity Francesca Carapella; Cyril Monnet
Collateral constraints and asset prices Georgy Chabakauri; Brandon Yueyang Han
Time-varying demand for lottery: Speculation ahead of earnings announcements Bibo Liu; Huijun Wang; Jianfeng Yu; Shen Zhao
Do people feel less at risk? Evidence from disaster experience Ming Gao; Yu-Jane Liu; Yushui Shi

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