Two scholars from the University of Chicago Booth School of Business won the 2018 AQR Insight Award for two separate papers—one for research into international currencies and another for research into new factors for asset pricing.
Chicago Booth Professor of Economics Brent Neiman received the honor for the paper, “International Currencies and Capital Allocation,” with Harvard University’s Matteo Maggiori and Columbia University’s Jesse Schreger. (See video of the presentation)
The researchers introduced a new dataset representing global investment for 25 countries, finding that, while investors have a strong home currency bias, the exception is an international preference for the U.S. dollar. This preference has strengthened since the 2008 global financial crisis, which highlights the role of the U.S. dollar in international finance and the increased benefits to U.S. firms.
Chicago Booth Associate Professor of Econometrics and Statistics Dacheng Xiu won for the paper, “Taming the Factor Zoo,” with Guanhao Feng of the City University of Hong Kong College of Business and Stefano Giglio of the Yale School of Management.
The authors proposed a new methodology based on machine learning and model selection techniques, which allows researchers to systematically test and evaluate potential new factors for asset pricing. Using this new approach to evaluate a large set of factors proposed in academic literature, they revealed that only a small number are significant
The two papers tied for first place, and the recipients share a $100,000 prize.
The AQR Insight Award, sponsored by AQR Capital Management, was established seven years ago to recognize exceptional academic papers that offer original, intelligent approaches to issues in the investment world.
Ever year top academics from around the world are invited to submit unpublished papers for review. The top five finalists are invited to AQR to present their research to senior members of the firm, who then deliberate and choose the winners.
In past years, Booth faculty who have received the first place prize include: Assistant Professor Samuel Hartzmark and Associate Professor Kelly Shue for research on the effect of earnings news on financial markets (2016), Professor of Finance Pietro Veronesi for research into credit risk (2015), Professor of Economics Eric Budish and PhD student John Shim for research on high-frequency trading (2014), and Associate Professor of Finance Bryan Kelly for research into more accurately predicting market returns (2012).