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.

2022 winners:

First place:
Predicting Financial Crises 
Presenter: Robin Greenwood

Second place:
Stock Market Anomalies and the Psychology of Risk Attitudes
Presenter:  Nicholas Barberis

Third place:
Fall: Disagreement, Skewness and Asset Pricing
Presenter:   Christian Goulding

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 Ýmrohoroðlu, 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