The Roger F. Murray Prize is conducted annually to recognize excellence and scientific achievement in quantitative financial research. Each year, three prizes ($5,000; $3,000; and $2,000) are awarded to individuals who present outstanding research at the Q Group’s seminars.
Criteria for the award include originality and novelty of ideas and concepts, usefulness and timeliness of the results to the investment community, and comprehensibility of verbal and written presentations.
View Past Winners
About Roger Murray
Roger F. Murray was an economist whose financial acumen made him a frequent adviser to members of Congress and business leaders during the 1950’s and 60’s. As a vice president of the Bankers Trust Company and later a business professor at Columbia University, Dr. Murray helped untangle some of America’s most frustrating problems. In 1962, Dr. Murray, an originator of the individual retirement account concept, worked for passage of the Keogh Act, which enabled self-employed people to have tax-deferred pension accounts. Many of Mr. Murray’s other opinions were particularly forward thinking. In 1952, he warned banks to pursue aggressive equity portfolios, noting that “timing wasn’t everything” when trading stocks. That same year, he opposed a plan by Senator Albert Gore of Tennessee, to tax executive stock options, contending that salaries were not enough to lure executives away from established companies. At Bankers Trust, Mr. Murray quickly found his specialty in investment strategy and, in 1956, carried that specialty to Columbia University, where he was associate dean, S. Sloan Colt Professor of Banking and Finance, professor emeritus and distinguished lecturer. He retired from Columbia in 1978.
Roger Franklin Murray was born Oct. 11, 1911 and graduated Phi Beta Kappa from Yale in 1932. He then earned M.B.A. and Ph.D. degrees from the New York University Graduate School of Business Administration. Murray died on April 13, 1998 at 86 years old.
Past Roger F. Murray Prize Winners
1980—PRESENT
Roger F. Murray Prize Winners
The Institute for Quantitative Research in Finance (The Q Group) is pleased to announce the winners of its annual Roger F. Murray Prizes, awarded to individuals who present outstanding research at the Q Group’s semi-annual seminars.
2021 winners:
First place:
A New Index of the Business Cycle
Presenter: David Turkington
Second place:
Volatility-of-Volatility Risk in Asset Pricing
Presenter: Tarun Chordia
Third place (Tie):
Duration-Based Stock Valuation
Presenter: Jules van Binsbergen
Decoding Systematic Relative Investing: A Pairs Approach
Presenter: Campbell Harvey
2020
First Prize:
Robert Hodrick
Variance Risk in Global Markets
Second Prize:
Tyler Muir
Hedging Risk Factors
Third Prize:
David Tesmar
Sticky Expectations and the Profitability Anomaly
2019
First Prize:
Martin Lettau
Factors That Fit Time Series and Cross-Section of Stock Returns
Second Prize:
Robert Novy-Marx
Betting Against Betting Against Beta
Third Prize:
Mark Grinblatt
Global Market Inefficiencies
2018
Spring Winner:
Bryan Kelly, Professor of Finance, Yale School of Management
Empirical Asset Pricing via Machine Learning
Fall Winner:
Charles M.C. Lee, Stanford University Graduate School of Business
Stephen Teng Sun, City University of Hong Kong
Rongfei Wang, Peking University Guanghua School of Management
Ran Zhang, Peking University Guanghua School of Management
Technological Links and Predictable Returns
2017
First Prize:
Clifford S. Asness, AQR
Betting Against Correlation
Second Prize:
Fatih Guvenen, University of Minnesota
Life Incomes in the U.S. Over Six Decades
Third Prize (Tie):
Samuel M. Hartzmark, University of Chicago Booth School of Business
Dividend Disconnect
Professor Deborah Lucas, Sloan Distinguished Professor of Finance, MIT Sloan School of Management and Director, MIT Golub Center for Finance and Policy
Hacking Reverse Mortgages
2016
First Prize:
Larry Harris, Marshall School of Business, USC.
Transaction Costs, Trade Throughs and Riskless Principal Trading in Corporate Bond Markets
Second Prize:
Andrew Lo, MIT Sloan School of Management and Director of the MIT Laboratory for Financial Engineering. Spectral Portfolio Theory
Third Prize:
Olivia S. Mitchell (Presenter), International Foundation of Employee Benefit Plans Professor and Professor of Insurance and Risk Management, The Wharton School, University of Pennsylvania.
Co-Author: Annamaria Lusardi, Denit Trust Chair of Economics and Accountancy at the George Washington University School of Business. Challenges of an Aging World for the Financial Industry
2015
First Prize:
Andrew B. Weisman (Presenter), Janus Liquid Alternative Investments. Co-Author: Richard R. Lindsey, Janus Liquid Alternative Investments. Forced Liquidations, Fire Sales and the Cost of Illiquidity
Second Prize:
Alberto Cavallo, Cecil & Ida Green Associate Professor of Applied Economics, MIT Sloan School of Management, Faculty Research Fellow, NBER. Purchasing Power Parities with Online Data
Third Prize:
Bryan T. Kelly (Presenter), Associate Professor of Finance and Richard N. Rosett Faculty Fellow, Booth School of Business, University of Chicago. Co-Authors: Stefano Giglio, University of Chicago Booth School of Business; Seth Pruitt, Arizona State University, W.P. Carey School of Business. Systemic Risk and the Macroeconomy
2014
First Prize:
R. David McLean, Dianne and Irving Kipnes Chair in Finance and Development and Associate Professor, Alberta School of Business. Does Academic Research Destroy Stock Return Predictability?
Second Prize:
Andrew Ang, Ann F. Kaplan Professor of Business, Chair, Finance and Economics Division, Columbia Business School. Estimating Private Equity Returns From Limited Partner Cash Flows
Third Prize:
Charles M.C. Lee, Joseph McDonald Professor of Accounting, Stanford Graduate School of Business, Stanford University. In Short Supply: Short Selling and Stock Returns
2013
First Prize:
Stephen A. Ross, Franco Modigliani Professor of Financial Economics and Professor of Finance, MIT Sloan School of Management. The Recovery Theorum
Second Prize:
Douglas T. Breeden, William W. Priest, Jr. Professor of Finance, Fuqua School of Business, Duke University. Central Bank Policy Impact on the Distribution of Future Interest Rates
Third Prize:
Jeremy Siegel, Russell E. Palmer Professor of Finance, Wharton School, University of Pennsylvania. The Cape Ratio: A New Look
2012
First Prize:
Mark Kritzman (Presenter), Windham Capital Management. Toward Determining Systemic Importance
Second Prize:
Jiang Wang (Presenter), MIT Sloan School of Management. Noise As Information For Illiquidity
Third Prize:
Motohiro Yogo (Presenter), Federal Reserve Bank, Minneapolis. Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice
2011
First Prize:
Albert S. Kyle (Presenter), Charles E. Smith Professor of Finance, Robert H. Smith School of Business, University of Maryland. Co-authors: Andrei Kirilenko, Mehrdad Samadi, Tugkan Tuzun. Flash Crash: Impact of High Frequency Trading on an Electronic Market
Second Prize:
Andrew Ang (Presenter), Ann F. Kaplan Professor of Business, Columbia Business School, Columbia University. Co-authors: Dimitris Papanikolaou, Mark M. Westerfield. Portfolio Choice With Illiquid Assets
Third Prize:
Andrea Frazzini (Presenter), Vice President, AQR Capital Management LLC. Co-author: Lasse H. Pedersen. Betting Against Beta
2010
First Prize:
Steven N. Kaplan (Presenter), Neubauer Family Professor of Entrepreneurship and Finance, The University of Chicago Booth School of Business. The Effects of Stock Lending on Security Prices. An Experiment by: Steven N. Kaplan and Tobias J. Moskowitz and Berk A. Sensoy
Second Prize:
Stephen H. Penman, (Presenter) George O. May Professor of Accounting, Graduate School of Business, Columbia University and Francesco Reggiani, Department of Accounting, Bocconi University. Returns to Buying Earnings and Book Value: Accounting for Growth and Risk
Third Prize:
Charles Jones (Presenter), Richard W. Lear Professor of Finance and Economics, Chair, Finance and Economics Division, Graduate School of Business, Columbia University and Ekkehart Boehmer, Lundquist College of Business, University of Oregon, and Xiaoyan Zhang, Johnson Graduate School of Management, Cornell University. Shackling Short Sellers: The Effects of the Recent and Proposed Restrictions
2009
First Prize:
Albert S. Kyle, Smith Chair Professor of Finance, and Anna Obizhaeva, Assistant Professor of Finance, University of Maryland at College Park. Market Microstructure Invariants
Second Prize:
Philippe Jorion, Chancellor’s Professor, University of California, Irvine. Credit Contagion From Counterparty Risk
Third Prize:
K. J. Martijn Cremers, Associate Professor of Finance, Yale School of Management. Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation
Kenneth A. Froot, Andreas R. Jakurski Professor of Business Administration, Graduate School of Business Administration, Harvard and Founding Partner, FDO Partners. Market Disruption, Economic Crisis, And Investor Behavior
2008
First Prize:
M. Keith Chen, Assistant Professor of Economics, Yale School of Management. How Basic Are Behavioral Biases
Second Prize:
Ralph S. J. Koijen, Assistant Professor of Finance, Graduate School of Business, University of Chicago. The Cross Section of Managerial Ability and Risk Preferences
Third Prize:
K. Geert Rouwenhorst, Professor of Finance, Deputy Director, International Center for Finance, Yale School of Management. The Fundamentals of Commodity Futures Returns
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:
Nicholas Barberis, Professor of Finance, Yale School of Management. Understanding Comovement
Third Prize:
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, Avanidhar Subrahmanyam, Professor, The Anderson School of Business Administration, UCLA, 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 Ãmrohoroðlu, 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:
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. Co-authored by Fischer Black. Global Asset Allocation and the Home Bias.
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. Co-authored by Eugene F. Fama. Forecasting Returns on Corporate Bonds and Common Stock
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. Co-authored by Werner F.M. DeBondt. Further Evidence of Investor Overreaction and Stock Market Seasonality
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:
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. Co-authored by Scott A. Nammacher, PepsiCo, Inc. Anatomy and Portfolio Strategies of the High Yield Debt Market
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
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?
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
