ROGER F. MURRAY PRIZE WINNERS

1980 - PRESENT

2007

First Prize
Olivia S. Mitchell, The Wharton School, University of Pennsylvania
“Demographics and Finances of Baby Boomers”

Second Prize
Alon Brav, The Fuqua School of Business, Duke University
“Hedge Fund Activism, Corporate Governance, and Firm Performance”

Third Prize
Michael J. Cooper, The David Eccles School of Business, University of Utah
“Corporate Political Contributions and Stock Returns”

2006

First Prize
Kenneth J. Winston, Chief Risk Officer,
Morgan Stanley Investment Management
“Buy Side Risk Management”

Second Prize
Edwin Elton and Martin J. Gruber, Nomura Professors of Finance,
Leonard. N. Stern School of Business, New York University
“Participant Reaction and the Performance of Funds Offered by 401(k) Plans”

Third Prize
Stewart C. Myers, Girdon Y. Billard Professor of Finance, MIT Sloan School of Management
“Capital Allocation”

2005

First Prize
Campbell R. Harvey, J. Paul Sticht Professor of International Business,
Fuqua School of Business, Duke University

...and...

Claude Erb, Managing Director, Trust Company of the West
“The Tactical and Strategic Value of Commodity Futures”

Second Prize (tie)
Nicholas Barberis, Professor of Finance, Yale School of Management
“Understanding Comovement”

Second Prize (tie)
Kent Smetters, Associate Professor of Insurance and NBER Research Associate
The Wharton School, University of Pennsylvania
“The Long-Term Budget Outlook and Social Security Reform: Implications For Financial Markets”

2004

First Prize
Halbert White, Professor of Economics, University of California at San Diego
“A Reality Check for Data Snooping: with Application to Technical Trading, Calendar Effects and Mutual Fund Performance”

Second Prize
Lawrence Harris, Fred V. Keenan Chair in Finance, University of Southern California School of Business
“Secondary Trading Costs in the Bond Market”

Third Prize
Stephen Schaefer, Professor of Finance, London Business School
“Structural Models of Credit Risk Are Useful”

2003

First Prize
Richard G. Sloan, Professor, University of Michigan Business School
“Earning Quality, Firm Performance and Stock Returns”

Second Prize
Harry M. Kat, Professor of Risk Management, Sir John Cass Business School
“Hedge Funds and Skewness”

Third Prize
Jonathan Berk, Professor, Haas School of Business, University of California at Berkeley
“Mutual Fund Flows and Performance in Rational Markets”

2002

First Prize
Lawrence Harris, Institute Research Coordinator, Fred V. Keenan Chair in Finance, USC
“Why People Trade”

Second Prize
Joseph Chen, Assistant Professor, University of Southern California
“Downside Correlation and Expected Stock Returns”

Third Prize
Eric M. Leeper, Professor, Department of Economics, Indiana University
“Macro Policies and Inflation: An Overview”

2001

First Prize
Steward C. Myers, Gordon Y. Billard Professor of Finance, Sloan School of Management, Massachusetts Institute of Technology
“Financial Architecture”

Second Prize
Albert Kyle, Associate Professor of Finance, Fuqua School of Business Administration, Duke University,

and

Wei Xiong, Assistant Professor, Bendheim Center for Finance, Princeton University
“Contagion as a Wealth Effect”

Third Prize
Richard Roll, Allstate Chair in Finance, Anderson School of Business Administration, UCLA,

and

Avanidhar Subrahmanyam, Professor, The Anderson School of Business Administration, UCLA,

and

Tarun Chordia, Associate Professor, Goizueda Business School, Emory University
“Market Liquidity, Trading Activity, and Order Imbalance”

2000

First Prize
Elroy Dimson, London Business School
“A Century of Investment Returns”

Second Prize
Richard Bookstaber, Moore Capital Management
“A Taxonomy of Market Crisis”

Third Prize
John Y. Campbell, Harvard University and Arrowstreet Capital, LP
“Strategic Asset Allocation: Portfolio Choices for Long Term Investors”

1999

First Prize
Martin Nowak, The Institute for Advanced Study
“The Evolution of Cooperation: Direct, Indirect and Spatial Reciprocity”

Second Prize
Terrance Odean, Graduate School of Management, University of California, Davis
“The Courage of Misguided Convictions: The Trading Behavior of Individual Investors”

Third Prize
Jay Shanken, William E. Simon Graduate School, University of Rochester
“Behavioral Finance: A (Somewhat) Skeptical View”

1998

First Prize
Chester Spatt, Graduate School of Industrial Administration, Carnegie Mellon University, “Equilibrium Forward Curves for Commodities”

Second Prize
Campbell R. Harvey, Fuqua School of Business, Duke University,
“Measuring the Risk of International Investments”

Third Prize
Selahattin İmrohoroğlu, Marshall School of Business, University of Southern California,
“Projected U. S. Demographics and Social Security”

1997

First Prize
Steven Heston, Olin School of Business, Washington University,”Option Pricing with Infinitely Divisible Distributions”

Second Prize
Olivier Ledoit, University of California, Los Angeles, “Improved Estimation of the Covariance Matrix of Stock Returns with an Application to Portfolio Selection”

Third Prize
William Goetzmann, Yale School of Management, “A Century of Global Stock Markets”

1996

First Prize
Jonathan Berk, University of Washington, “Size and Book-to-Price Anomalies”

Second Prize
Hayne H. Leland, University of California at Berkeley, “Bond Prices, Yield Spreads and Optimal Capital Structure with Default Risk”

Third Prize - Tie
Donald Keim, The Wharton School, University of Pennsylvania, “A Review of Global Market Anomalies”

Jay Shanken, William E. Simon Graduate School of Business Administration, University of Rochester, “A Review of Empirical Research and New Methodologies”

1995

First Prize
Mark Rubinstein and Jens Carsten Jackwerth, “Recovering Probability Distributions from Contemporaneous Security Prices”.

Second Prize
Campbell R. Harvey, Tadas E. Viskanta and Claude E. Erb, “Inflation and World Equity Selection”.

Third Prize
Florencio Lopez-de-Silanes, “Determinants of Privatization Prices”.

1994

First Prize
Keith Ambactsheer, KPA Advisory Services Inc., "The Economics of Pension Fund Management".

Second Prize
André F. Perold and Erik R. Sirri, Harvard Business School, "The Cost of International Equity Trading".

Third Prize
Philippe Jorion, University of California at Irvine, "Estimation Risk in Portfolio Selection".

1993

First Prize
Richard H. Thaler, Johnson School of Management, Cornell University, "Myopic Loss Aversion and the Equity Premium Puzzle".

Second Prize
Kenneth A. Froot, Graduate School of Business Administration, Harvard University, "Currency Hedging Over Long Horizons".

Third Prize
Josef Lakonishok, College of Commerce and Business Administration, University of Illinois, "Contrarian Investment, Extrapolation, and Risk".

1992

First Prize
Robert B. Litterman, Goldman Sachs & Company, "Global Asset Allocation and the Home Bias", co-authored by Fischer Black.

Second Prize
Andrew W. Lo, Sloan School of Management, Massachusetts Institute of Technology, and A. Craig MacKinlay, The Wharton School, University of Pennsylvania, "An Ordered Probit Analysis of Transaction Stock Prices".

Third Prize
Laurie Simon Bagwell, Kellogg Graduate School of Management, Northwestern University, "Dutch Auction Stock Repurchases".

Honorable Mention
Randolph Preston McAfee, University of Texas at Austin, "Auction Theory II".

1991

First Prize
H. Gifford Fong and Oldrich Vasicek, Gifford Fong Associates, "Fixed-Income Volatility Management: A New Approach to Return and Risk Analyses in Fixed-Income Management".

Second Prize
Kenneth A. Froot, Harvard University Graduate School of Business, "New Trading Practices and Short-Run Market Efficiency".

Third Prize
Robert L. Hagin, Miller, Anderson & Sherrerd, "The Torpedo Effect: The Subtle Risk of High Expected Growth".

Honorable Mention
Vernon L. Smith, University of Arizona, "Off-Floor Trading, Disintegration, and the Bid-Ask Spread in Experimental Markets".

1990

First Prize
Robert F. Engle, III, University of California, San Diego, "Volatility: Statistical Models for Financial Data".

Second Prize
Lawrence Harris, University of Southern California, "Program Trading and Intraday Volatility".

Third Prize
Kenneth R. French, University of Chicago, "Are Japanese Stock Markets Too High?".

Honorable Mention
Paul Pfleiderer, Stanford University, "Sunshine Trading: The Effects of Preannouncement on Traders' Welfare and on Price Volatility".

1989

First Prize
Mark L. Mitchell, University of Chicago, "Do Bad Bidders Become Good Targets?".

Second Prize
Jack L. Treynor, Treynor Capital Management, "The Value of Control".

Third Prize
Edwin J. Elton and Martin J. Gruber, New York University, "A Multi-Index Risk Model of the Japanese Stock Market - Expectational Data and Japanese Stock Prices".

Honorable Mention
Fischer Black, Goldman Sachs Asset Management, "Universal Hedging - How to Optimize Currency Risk and Reward in International Equity Portfolios".

1988

First Prize
Kenneth R. French , Graduate School of Business, University of Chicago, "Forecasting Returns on Corporate Bonds and Common Stock", co-authored by Eugene F. Fama.

Second Prize
Lawrence H. Summers, Harvard University, "Noise Trading and Stock Price Movements".

Third Prize
William A. Brock, University of Wisconsin, "Applications of Nonlinear Science Statistical Inference Theory to Finance and Economics".

Honorable Mention
Richard H. Thaler, Johnson Graduate School of Management, Cornell University, "Further Evidence of Investor Overreaction and Stock Market Seasonality", co-authored by Werner F.M. DeBondt.

1987

First Prize
Sanford J. Grossman, Princeton University, "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies".

Second Prize
Andre F. Perold, Harvard Business School, "Conditional Allocation Policies for the Self-Insured Pension Fund".

Third Prize
Mike Miles, University of North Carolina, "Motivation for Institutional Real Estate Sales and Implications for Generalizing from Specific Property Sales to Asset Class Returns - Commercial Real Estate Returns and Portfolio Allocation Decisions".

Honorable Mention
Robert Litterman, Jose Scheinkman and Laurence Weiss, Goldman, Sachs & Company, "Volatility and the Yield Curve". Bruce N. Lehmann, Graduate School of Business, Columbia University, and David M. Modest, School of Business Administration, University of California at Berkeley, "The Arbitrage Price Theory and Market Anomalies".

1986

First Prize
Robert C. Merton, Sloan School of Management, Massachusetts Institute of Technology, "On the Current State of the Stock Market Rationality Hypothesis".

Second Prize
Lawrence R. Glosten, Kellogg Graduate School of Management, Northwestern University, and Lawrence E. Harris, School of Business Administration, University of Southern California, "Estimating the Components of the Bid/Ask Spread".

Third Prize - Tie
Martin L. Leibowitz, Salomon Brothers, "A New Perspective on Asset Allocation".
Mark Rubinstein, School of Business Administration, University of California at Berkeley, "Derivative Assets Analysis".

Honorable Mention
Richard Bookstaber and Joseph A. Langsam, Morgan Stanley & Company, "Exposure Management and Valuation of Bonds With Imbedded Options".

1985

First Prize
Terry A. Marsh and Robert C. Merton, Sloan School of Management, Massachusetts Institute of Technology, "Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices".

Second Prize
Gary P. Brinson and Jeffrey J. Diermeir, First Chicago Investment Advisors, "The Multiple Asset Investment Setting".

Third Prize
Ronald W. Masulis, Sheridan Titman and Mark S. Grinblatt, Graduate School of Management, UCLA, "The Valuation Effects of Stock Splits and Stock Dividends".

Honorable Mention
Edward I. Altman, New York University, "Anatomy and Portfolio Strategies of the High Yield Debt Market", co-authored by Scott A. Nammacher, PepsiCo, Inc. Edwin J. Elton, Martin J. Gruber and Joel Rentzler, Graduate School of Business, New York University, "Professionally Managed Publicly Traded Commodity Funds".

1984

First Prize
Mark Rubinstein, University of California at Berkeley, and Leland, O'Brien, Rubinstein Associates, "Alternative Paths to Portfolio Insurance".

Second Prize
James A. Tilley, Morgan Stanley and Company, "A Synthetic Options Framework for Asset Allocation".

Third Prize
Richard A. Ippolito, Office of Policy and Research, United States Department of Labor, "Economic Burden of Corporate Pension Liabilities".

Honorable Mention
Takeo Nakamura, Nomura Capital Management and N. Terada, Nomura Research Institute, "Is The Japanese Stock Market Efficient?".

1983

First Prize
D. Don Ezra and Keith P. Ambachtsheer, Pension Finance Associates, Ltd., "The Struggle for Pension Fund Wealth".

Second Prize
Richard Roll, Graduate School of Management, University of California at Los Angeles, "The Merits of the Arbitrage Pricing Theory for Portfolio Management".

Third Prize
Michael R. Gibbons, Graduate School of Business, Stanford University, "Empirical Examinations of the Return Generating Process of the Arbitrage Pricing Theory".

1982

First Prize
Richard Bookstaber and Roger Clarke, Brigham Young University, "Using Options to Alter Portfolio Return Distributions".

Second Prize
Edwin Elton and Martin Gruber, New York University, "Professional Expectations: Accuracy and Diagnosis of Errors".

Third Prize
Stephen Figlewski, New York University, "Stock Index Futures: Theory and Application in a New Market".

Honorable Mention
Donald Keim, The Wharton School, University of Pennsylvania, "The Interrelation Between Dividend Yields, Equity Values and Stock Returns: Implications of Stock Return Seasonality".

William Sharpe, Stanford University, "Some Factors in New York Stock Exchange Security Returns, 1931-1979".

1981

First Prize - Tie

Michael J. Brennan and Eduardo Schwartz, University of British Columbia, "Bond Pricing and Market Efficiency".

Irwin Tepper, Irwin Tepper Associates, "Funding Private Pensions".

Third Prize
Mark Rubinstein, University of California at Berkeley, "Nonparametric Tests of Alternative Option Pricing".

Honorable Mention
Martin L. Leibowitz and Alfred Weinberger, Salomon Brothers, "Risk Control Procedures Under Contingent Immunization".

Stephen M. Schaefer, London Business School, "The Dynamics of the Term Structure and Alternative Immunization Strategies".

Robert J. Shiller, Yale University, "Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividend?". 1982

1980

First Prize
Eugene F. Fama, University of Chicago, "Stock Returns, Real Activity, Inflation and Money".

Second Prize
William Beaver, Stanford University, "Interpreting Disclosures of the Effects of Changing Prices".

Third Prize
Richard Roll, UCLA, "The Expected Return Benchmark and Management Performance Evaluation".

Honorable Mention
Gifford Fong and Oldrich Vasicek, Gifford Fong Associates, "A Risk Minimizing Strategy for Single or Multi-Period Immunization".

Harry M. Markowitz, IBM, and Andre Perold, Harvard University, "A Procedure for the Fast Determination of Efficient Portfolios".