The Fama–DFA Prize is an annual prize given to authors with the best capital markets and asset pricing research papers published in the Journal of Financial Economics. The award is named after Eugene Fama, who is a co-founding advisory editor of the journal, a financial economist who helped to develop the efficient-market hypothesis and random walk hypothesis in asset pricing, a 2013 Nobel laureate in Economics, a professor of finance at the Booth School of Business at the University of Chicago, and a research director for Dimensional Fund Advisors and the Center for Research in Security Prices. The prize is also named for the investment advisory firm, Dimensional Fund Advisors.

Details Each year personal and student subscribers to the Journal of Financial Economics vote for the best paper in each of two categories after the journal's editorial office has enumerated all articles and assigned them to either the corporate finance and organizations area or the capital markets and asset pricing areas. Each subscriber may use one vote for each category. Currently the first prize in each category is $5,000 and the second prize is $2,500.

Winners The following table is a complete list of past first and second-place winners of the Fama–DFA Prize:

YearPlace Paper Author(s)2022[ Journal of Financial Economics https://www.jfinec.com/news/jensen-and-fama-dfa-prize]FirstWhy does the Fed move markets so much? Carolin Pflueger and Gianluca RinaldiSecondThe pass-through of uncertainty shocks to householdsMarco Di Maggio, Amir Kermani, Rodney Ramcharan, Vincent Yao, and Edison Yu2021[Journal of Financial Economics https://www.jfinec.com/news/8a6ji76vynbf84sx7gnzud91k5etjg Jensen and Fama-DFA Prizes]FirstSustainable investing in equilibriumĽuboš Pástor, Robert F. Stambaugh, and Lucian A. TaylorSecondRobust benchmark designDarrell Duffie and Piotr Dworczak2020FirstShrinking the cross sectionSerhiy Kozak, Stefan Nagel, and Shrihari SantoshSecondBetting against correlation: Testing theories of the low-risk effectClifford S. Asness, Andrea Frazzini, Niels Joachim Gormsen, and Lasse H. Pedersen2019FirstCharacteristics are covariances: A unified model of risk and returnBryan T. Kelly, Seth Pruitt, and Yinan SuSecondBubbles for FamaRobin Greenwood, Andrei Shleifer, and Yang You2018FirstAn intertemporal CAPM with stochastic volatilityJohn Y. Campbell, Stefano Giglio, Christopher Polk and Robert TurleySecondCarryRalph S.J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen and Evert B. Vrugt2017FirstInformation networks: Evidence from illegal insider trading tipsKenneth R. AhernSecondSkill and luck in private equity performanceArthur G. Korteweg and Morten Sorensen2016FirstSystemic risk and the macroeconomy: An empirical evaluationStefano Giglio, Bryan T. Kelly, and Seth PruittSecondMomentum crashesKent D. Daniel and Tobias J. Moskowitz2015FirstScale and skill in active managementLubos Pastor, Robert F. Stambaugh, and Lucian A. TaylorSecondJuicing the dividend yield: Mutual funds and the demand for dividendsLawrence E. Harris, Samuel M. Hartzmark, and David H. Solomon2014First"Betting against beta"Andrea Frazzini and Lasse H. PedersenSecond"Limited partner performance and the maturing of the private equity industry"Berk A. Sensoy, Yingdi Wang, and Michael S. Weisbach2013First"The other side of value: The gross profitability premium"Robert Novy-MarxSecond"Anomalies and financial distress"Doron Avramov, Tarun Chordia, Gergana Jostova, and Alexander PhilipovSecond"Legislating stock prices"Lauren Cohen, Karl Diether, and Christopher J. Malloy2012First"Is momentum really momentum?"Robert Novy-MarxSecond"Friends with money"Joseph Engelberg, Pengjie Gao, and Christopher A. Parsons2011First"Corporate bond default risk: A 150-year perspective"Kay Giesecke, Francis A. Longstaff, Stephen Schaefer, and Ilya A. StrebulaevSecond"Do hedge funds trade on private information? Evidence from syndicated lending"Nadia Massoud, Debarshi Nandy, Anthony Saunders, and Keke Song2010First"The good news in short interest"Ekkehart Boehmer, Zsuzsa R. Huszar, and Bradford JordanSecond"A skeptical appraisal of asset-pricing tests"Jonathan Lewellen, Stefan Nagel, and Jay Shanken2009First"Why is PIN priced?"Jefferson Duarte and Lance YoungSecond"Do liquidity measures measure liquidity?"Ruslan Y. Goyenko, Craig W. Holden, and Charles A. Trzcinka2008First"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. RodgersSecond"Venture capital investment cycles: the impact of public markets"Paul A. Gompers, Anna Kovner, Josh Lerner, and David ScharfsteinSecond"Dumb money: mutual fund flows and the cross-section of stock returns"Andrea Frazzini and Owen A. Lamont2007First"Laddering in initial public offerings"Grace Qing HaoSecond"Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries"Viral V. Acharya, Sreedhar T. Bharath, and Anand SrinivasanSecond"Optimism and economic choice"Manju Puri and David T. Robinson2006First"The conditional CAPM does not explain asset-pricing anomalies"Jonathan Lewellen and Stefan NagelSecond"Was there a Nasdaq bubble in the last 1990s?"Lubos Pastor and Pietro VeronesiSecond"The other January effect"Michael J. Cooper, John J. McConnell, and Alexei V. Ovtcinnikov2005First"Asset pricing with liquidity risk"Viral V. Acharya and Lasse Heje PedersenSecond"The risk and return of venture capital"John H. Cochrane2004First"Why are foreign firms listed in the U.S. worth more?"Craig Doidge, G. Andrew Karolyi, and René M. StulzSecond"New lists: Fundamentals and survival rates"Eugene F. Fama and Kenneth R. French2003First"The great reversals: The politics of financial development in the twentieth century"Raghuram G. Rajan and Luigi ZingalesSecond"A multivariate model of strategic asset allocation"John Y. Campbell, Yeung Lewis Chan and Luis M. ViceiraSecond"Voting with their feet: Institutional ownership changes around forced CEO turnover"Robert Parrino, Richard W. Sias and Laura T. Starks2002First"Breadth of ownership and stock returns"Joseph Chen, Harrison Hong and Jeremy C. SteinSecond"Mutual fund performance and seemingly unrelated assets"Lubos Pastor and Robert F. Stambaugh2001First"Following the leader: a study of individual analysts' earnings forecasts"Rick A. Cooper, Theodore E. Day and Craig M. LewisSecond"Forecasting crashes: Trading volume, past returns and conditional skewness in stock prices"Joseph Chen, Harrison Hong and Jeremy C. Stein2000First"Commonality in liquidity"Tarun Chordia, Richard Roll and Avanidhar SubrahmanyamSecond"Herding among security analysts"Ivo Welch1999First"Bank entry, competition, and the market for corporate securities underwriting"Amar Gande, Manju Puri and Anthony SaundersSecond"Predictive regressions"Robert F. Stambaugh1998First"Market efficiency, long-term returns, and behavioral finance"Eugene F. FamaSecond"Alternative factor specifications, security characteristics, and the cross-section of expected stock returns"Michael J. Brennan, Tarun Chordia and Avanidhar SubrahmanyamSecond"An empirical analysis of NYSE specialist trading"Ananth Madhavan and George Sofianos1997First"Detecting long-run abnormal stock returns: The empirical power and specification of test statistics"Brad M. Barber and John D. LyonSecond"Analyzing investments whose histories differ in length"Robert F. Stambaugh

See also

List of economics awards

Notes