Fama-DFA Prize
Awarded for the best papers published in the Journal of Financial Economics in the areas of capital markets and asset pricing
2021
First Place:
Sustainable investing in equilibrium - Ľuboš Pástor, Robert F. Stambaugh, and Lucian A. Taylor
(Volume 142, November 2021, Pages 550-571)
Second Place:
Robust benchmark design - Darrell Duffie and Piotr Dworczak
(Volume 142, November 2021, Pages 775-802)
2020
First Place Winner
Shrinking the cross section
Serhiy Kozak, Stefan Nagel, and Shrihari Santosh
(Volume 135, Issue 2, February 2020, Pages 271-292.)
Second Place Winner
Betting against correlation: Testing theories of the low-risk effect
Clifford S. Asness, Andrea Frazzini, Niels Joachim Gormsen, and Lasse H. Pedersen
(Volume 135, Issue 3, March 2020, Pages 629-652.)
2019
First Place Winner
Characteristics are covariances: A united model of risk and return
Bryan T. Kelly, Seth Pruitt, and Yinan Su
(Volume 134, Issue 3, December 2019, Pages 501-524.)
Second Place Winner
Bubbles for Fama
Robin Greenwood, Andrei Shleifer, and Yang You
(Volume 131, Issue 1, January 2019, Pages 20-43.)
2018
First Place Winner
An intertemporal CAPM with stochastic volatility
John Y. Campbell, Stefano Giglio, Christopher Polk, and Robert Turley
(Volume 128, Issue 2, May 2018, Pages 207-233)
Second Place Winner
Carry
Ralph S.J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen, and Evert B. Vrugt
(Volume 127, Issue 2, February 2018, Pages 197-225)
2017
First Place Winner
Information networks: Evidence from illegal insider trading tips
Kenneth R. Ahern
(Volume 125, Issue 1, July 2017, Pages 26-47)
Second Place Winner
Skill and luck in private equity performance
Arthur G. Korteweg and Morten Sorensen
(Volume 124, Issue 3, June 2017, Pages 535-562)
2016
First Place Winner
Systemic risk and the macroeconomy: An empirical evaluation
Stefano Giglio, Bryan T. Kelly, and Seth Pruitt
(Volume 119, Issue 3, March 2016, Pages 457-471)
Second Place Winner
Momentum crashes
Kent D. Daniel and Tobias J. Moskowitz
(Volume 122, Issue 2, November 2016, Pages 221-247)
2015
First Place Winner
Scale and skill in active management
Lubos Pastor, Robert F. Stambaugh, and Lucian A. Taylor
(Volume 116, Issue 1, April 2015, Pages 23-45)
Second Place Winner
Juicing the dividend yield: Mutual funds and the demand for dividends
Lawrence E. Harris, Samuel M. Hartzmark, and David H. Solomon
(Volume 116, Issue 3, June 2015, Pages 433-451)
2014
First Place Winner
Betting against beta
Andrea Frazzini and Lasse H. Pedersen
(Volume 111, Issue 1, January 2014, Pages 1-25)
Second Place Winner
Limited partner performance and the maturing of the private equity industry
Berk A. Sensoy, Yingdi Wang, and Michael S. Weisbach
(Volume 112, Issue 3, June 2014, Pages 320-343)
(2013)
First Place Winner
The other side of value: The gross profitability premium
Robert Novy-Marx
(Volume 108, Issue 1, April 2013, Pages 1-28)
Second Place Winners (tie)
Anomalies and financial distress
Doron Avramov, Tarun Chordia, Gergana Jostova, and Alexander Philipov
(Volume 108, Issue 1, April 2013, Pages 139-159)
Legislating stock prices
Lauren Cohen, Karl Diether, and Christopher J. Malloy
(Volume 110, Issue 3, December 2013, Pages 574-595)
2012
First Place Winner
Is momentum really momentum?
Robert Novy-Marx
(Volume 103, Issue 3, March 2012, Pages 429-453)
Second Place Winner
Friends with money
Joseph Engelberg, Pengjie Gao, and Christopher A. Parsons
(Volume 103, Issue 1, January 2012, Pages 169-188)
2011
First Place Winner
Corporate bond default risk: A 150-year perspective
Kay Giesecke, Francis A. Longstaff, Stephen Schaefer, and Ilya A. Strebulaev
(Volume 102, Issue 2, November 2011, Pages 233-250)
Second Place Winner
Do hedge funds trade on private information? Evidence from syndicated lending
Nadia Massoud, Debarshi Nandy, Anthony Saunders, and Keke Song
(Volume 99, Issue 3, March 2011, Pages 477-499)
2010
First Place Winner
The good news in short interest
Ekkehart Boehmer, Zsuzsa R. Huszar, and Bradford Jordan
(Volume 96, Issue 1, April 2010, Pages 80-97)
Second Place Winner
A skeptical appraisal of asset-pricing tests
Jonathan Lewellen, Stefan Nagel, and Jay Shanken
(Volume 96, Issue 2, May 2010, Pages 175-194)
2009
First Place Winner
Why is PIN priced?
Jefferson Duarte and Lance Young
(Volume 91, Issue 2, February 2009, Pages 119-138)
Second Place Winner
Do liquidity measures measure liquidity?
Ruslan Y. Goyenko, Craig W. Holden, and Charles A. Trzcinka
(Volume 92, Issue 2, May 2009, Pages 153-181)
2008
First Place Winner
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
(Volume 87, Issue 2, February 2008, pages 374-387)
Second Place Winners (tie)
Venture capital investment cycles: the impact of public markets
Paul Gompers, Anna Kovner, Josh Lerner, and David Scharfstein
(Volume 87, Issue 1, January 2008, pages 1-23)
Dumb money: mutual fund flows and the cross-section of stock returns
Andrea Frazzini and Owen A. Lamont
(Volume 88, Issue 2, May 2008, pages 299-322)
2007
First Place Winner
Laddering in initial public offerings
Grace Qing Hao
(Volume 85, Issue 1, July 2007, pages 102-122)
Second Place Winners (tie)
Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries
Viral V. Acharya, Sreedhar T. Bharath, and Anand Srinivasan
(Volume 85, Issue 3, September 2007, pages 787-821)
Optimism and economic choice
Manju Puri and David T. Robinson
(Volume 86, Issue 1, October 2007, pages 71-99)
2006
First Place Winner
The conditional CAPM does not explain asset-pricing anomalies
Jonathan Lewellen and Stefan Nagel
(Volume 82, Issue 2, November 2006, pages 289-314)
Second Place Winners (tie)
Was there a Nasdaq bubble in the last 1990s?
Lubos Pastor and Pietro Veronesi
(Volume 81, Issue 1, July 2006, pages 61-100)
The other January effect
Michael J. Cooper, John J. McConnell, and Alexei V. Ovtcinnikov
(Volume 82, Issue 2, November 2006, pages 315-341)
2005
First Place Winner
Asset pricing with liquidity risk
Viral V. Acharya and Lasse Heje Pedersen
(Volume 77 Issue 2, August 2005, pages 375-410)
Second Place Winner
The risk and return of venture capital
John H. Cochrane
(Volume 75, Issue 1, January 2005, pages 3-52)
2004
First Place Winner
Why are foreign firms listed in the U.S. worth more?
Craig Doidge, G. Andrew Karolyi, and René M. Stulz
(Volume 71 Issue 2, February 2004, pages 205-238)
Second Place Winner
New lists: Fundamentals and survival rates
Eugene F. Fama and Kenneth R. French
(Volume 73, Issue 2, August 2004, pages 229-269)
2003
First Place Winner
The great reversals: The politics of financial development in the twentieth century
Raghuram G. Rajan and Luigi Zingales
(Volume 69, Issue 1, July 2003, pages 5-50)
Second Place Winners (tie)
A multivariate model of strategic asset allocation
John Y. Campbell, Yeung Lewis Chan and Luis M. Viceira
(Volume 67, Issue 1, January 2003, pages 41-80)
Voting with their feet: Institutional ownership changes around forced CEO turnover
Robert Parrino, Richard W. Sias and Laura T. Starks
(Volume 68, Issue 1, April 2003, pages 3-46)
2002
First Place Winner
Breadth of ownership and stock returns
Joseph Chen, Harrison Hong and Jeremy C. Stein
(Volume 66, Issue 2-3, November 2002, pages 171-205)
Second Place Winner
Mutual fund performance and seemingly unrelated assets
Lubos Pastor and Robert F. Stambaugh
(Volume 63, Issue 3, March 2002, pages 315-349)
2001
First Place Winner
Following the leader: a study of individual analysts earnings forecasts
Rick A. Cooper, Theodore E. Day and Craig M. Lewis
(Volume 61, Issue 3, September 2001, pages 383-416)
Second Place Winner
Forecasting crashes: Trading volume, past returns and conditional skewness in stock prices
Joseph Chen, Harrison Hong and Jeremy C. Stein
(Volume 61, Issue 3, September 2001, pages 345-381)
2000
First Place Winner
Commonality in liquidity
Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam
(Volume 56, Issue 1, April, 2000, pages 3-28)
Second Place Winner
Herding among security analysts
Ivo Welch
(Volume 58, Issue 3, December 2000, pages 369-396)
1999
First Place Winner
Bank entry, competition and the market for corporate securities underwriting
Amar Gande, Manju Puri and Anthony Saunders
(Volume 54, Issue 2, November 1999, pages 165-195)
Second Place Winner
Predictive regressions
Robert F. Stambaugh
(Volume 54, Issue 3, December 1999, pages 375-421)
1998
First Place Winner
Market efficiency, long-term returns, and behavioral finance
Eugene F. Fama
(Volume 49, Issue 3, September 1998, pages 283-306)
Second Place Winners (tie)
Alternative factor specifications, security characteristics, and the cross-section of expected stock returns
Michael J. Brennan Tarun Chordia and Avanidhar Subrahmanyam
(Volume 49, Issue 3, September 1998, pages 345-373)
An empirical analysis of NYSE specialist trading
Ananth Madhavan and George Sofianos
(Volume 48, Issue 2, May 1998, pages 189-210)
1997
First Place Winner
Detecting long-run abnormal stock returns: The empirical power and specification of test-statistics
Brad M. Barber and John D. Lyon
(Volume 43, Issue 3, March 1997, pages 341-372)
Second Place Winner
Analyzing investments whose histories differ in length
Robert F. Stambaugh
(Volume 45, Issue 3, September 1997, pages 285-331)