| Year
|
Place
|
Paper
|
Author(s)
|
| 2022[4]
|
First
|
Why does the Fed move markets so much?
|
Carolin Pflueger and Gianluca Rinaldi
|
| Second
|
The pass-through of uncertainty shocks to households
|
Marco Di Maggio, Amir Kermani, Rodney Ramcharan, Vincent Yao, and Edison Yu
|
| 2021[5]
|
First
|
Sustainable investing in equilibrium
|
Ľuboš Pástor, Robert F. Stambaugh, and Lucian A. Taylor
|
| Second
|
Robust benchmark design
|
Darrell Duffie and Piotr Dworczak
|
| 2020
|
First
|
Shrinking the cross section
|
Serhiy Kozak, Stefan Nagel, and Shrihari Santosh
|
| Second
|
Betting against correlation: Testing theories of the low-risk effect
|
Clifford S. Asness, Andrea Frazzini, Niels Joachim Gormsen, and Lasse H. Pedersen
|
| 2019
|
First
|
Characteristics are covariances: A unified model of risk and return
|
Bryan T. Kelly, Seth Pruitt, and Yinan Su
|
| Second
|
Bubbles for Fama
|
Robin Greenwood, Andrei Shleifer, and Yang You
|
| 2018
|
First
|
An intertemporal CAPM with stochastic volatility
|
John Y. Campbell, Stefano Giglio, Christopher Polk and Robert Turley
|
| Second
|
Carry
|
Ralph S.J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen and Evert B. Vrugt
|
| 2017
|
First
|
Information networks: Evidence from illegal insider trading tips
|
Kenneth R. Ahern
|
| Second
|
Skill and luck in private equity performance
|
Arthur G. Korteweg and Morten Sorensen
|
| 2016
|
First
|
Systemic risk and the macroeconomy: An empirical evaluation
|
Stefano Giglio, Bryan T. Kelly, and Seth Pruitt
|
| Second
|
Momentum crashes
|
Kent D. Daniel and Tobias J. Moskowitz
|
| 2015
|
First
|
Scale and skill in active management
|
Lubos Pastor, Robert F. Stambaugh, and Lucian A. Taylor
|
| Second
|
Juicing the dividend yield: Mutual funds and the demand for dividends
|
Lawrence E. Harris, Samuel M. Hartzmark, and David H. Solomon
|
| 2014
|
First
|
"Betting against beta"
|
Andrea Frazzini and Lasse H. Pedersen
|
| Second
|
"Limited partner performance and the maturing of the private equity industry"
|
Berk A. Sensoy, Yingdi Wang, and Michael S. Weisbach
|
| 2013
|
First
|
"The other side of value: The gross profitability premium"
|
Robert Novy-Marx
|
| Second
|
"Anomalies and financial distress"
|
Doron Avramov, Tarun Chordia, Gergana Jostova, and Alexander Philipov
|
| Second
|
"Legislating stock prices"
|
Lauren Cohen, Karl Diether, and Christopher J. Malloy
|
| 2012
|
First
|
"Is momentum really momentum?"
|
Robert Novy-Marx
|
| Second
|
"Friends with money"
|
Joseph Engelberg, Pengjie Gao, and Christopher A. Parsons
|
| 2011
|
First
|
"Corporate bond default risk: A 150-year perspective"
|
Kay Giesecke, Francis A. Longstaff, Stephen Schaefer, and Ilya A. Strebulaev
|
| Second
|
"Do hedge funds trade on private information? Evidence from syndicated lending"
|
Nadia Massoud, Debarshi Nandy, Anthony Saunders, and Keke Song
|
| 2010
|
First
|
"The good news in short interest"
|
Ekkehart Boehmer, Zsuzsa R. Huszar, and Bradford Jordan
|
| Second
|
"A skeptical appraisal of asset-pricing tests"
|
Jonathan Lewellen, Stefan Nagel, and Jay Shanken
|
| 2009
|
First
|
"Why is PIN priced?"
|
Jefferson Duarte and Lance Young
|
| Second
|
"Do liquidity measures measure liquidity?"
|
Ruslan Y. Goyenko, Craig W. Holden, and Charles A. Trzcinka
|
| 2008
|
First
|
"Inter-firm linkages and the wealth effects of financial distress along the supply chain"
|
Michael G. Hertzel, Zhi Li, Micah S. Officer, and Kimberly J. Rodgers
|
| Second
|
"Venture capital investment cycles: the impact of public markets"
|
Paul A. Gompers, Anna Kovner, Josh Lerner, and David Scharfstein
|
| Second
|
"Dumb money: mutual fund flows and the cross-section of stock returns"
|
Andrea Frazzini and Owen A. Lamont
|
| 2007
|
First
|
"Laddering in initial public offerings"
|
Grace Qing Hao
|
| Second
|
"Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries"
|
Viral V. Acharya, Sreedhar T. Bharath, and Anand Srinivasan
|
| Second
|
"Optimism and economic choice"
|
Manju Puri and David T. Robinson
|
| 2006
|
First
|
"The conditional CAPM does not explain asset-pricing anomalies"
|
Jonathan Lewellen and Stefan Nagel
|
| Second
|
"Was there a Nasdaq bubble in the last 1990s?"
|
Lubos Pastor and Pietro Veronesi
|
| Second
|
"The other January effect"
|
Michael J. Cooper, John J. McConnell, and Alexei V. Ovtcinnikov
|
| 2005
|
First
|
"Asset pricing with liquidity risk"
|
Viral V. Acharya and Lasse Heje Pedersen
|
| Second
|
"The risk and return of venture capital"
|
John H. Cochrane
|
| 2004
|
First
|
"Why are foreign firms listed in the U.S. worth more?"
|
Craig Doidge, G. Andrew Karolyi, and René M. Stulz
|
| Second
|
"New lists: Fundamentals and survival rates"
|
Eugene F. Fama and Kenneth R. French
|
| 2003
|
First
|
"The great reversals: The politics of financial development in the twentieth century"
|
Raghuram G. Rajan and Luigi Zingales
|
| Second
|
"A multivariate model of strategic asset allocation"
|
John Y. Campbell, Yeung Lewis Chan and Luis M. Viceira
|
| Second
|
"Voting with their feet: Institutional ownership changes around forced CEO turnover"
|
Robert Parrino, Richard W. Sias and Laura T. Starks
|
| 2002
|
First
|
"Breadth of ownership and stock returns"
|
Joseph Chen, Harrison Hong and Jeremy C. Stein
|
| Second
|
"Mutual fund performance and seemingly unrelated assets"
|
Lubos Pastor and Robert F. Stambaugh
|
| 2001
|
First
|
"Following the leader: a study of individual analysts' earnings forecasts"
|
Rick A. Cooper, Theodore E. Day and Craig M. Lewis
|
| Second
|
"Forecasting crashes: Trading volume, past returns and conditional skewness in stock prices"
|
Joseph Chen, Harrison Hong and Jeremy C. Stein
|
| 2000
|
First
|
"Commonality in liquidity"
|
Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam
|
| Second
|
"Herding among security analysts"
|
Ivo Welch
|
| 1999
|
First
|
"Bank entry, competition, and the market for corporate securities underwriting"
|
Amar Gande, Manju Puri and Anthony Saunders
|
| Second
|
"Predictive regressions"
|
Robert F. Stambaugh
|
| 1998
|
First
|
"Market efficiency, long-term returns, and behavioral finance"
|
Eugene F. Fama
|
| Second
|
"Alternative factor specifications, security characteristics, and the cross-section of expected stock returns"
|
Michael J. Brennan, Tarun Chordia and Avanidhar Subrahmanyam
|
| Second
|
"An empirical analysis of NYSE specialist trading"
|
Ananth Madhavan and George Sofianos
|
| 1997
|
First
|
"Detecting long-run abnormal stock returns: The empirical power and specification of test statistics"
|
Brad M. Barber and John D. Lyon
|
| Second
|
"Analyzing investments whose histories differ in length"
|
Robert F. Stambaugh
|