Professor Stefano Giglio and his co-authors Matteo Maggiori (Stanford University) and Johannes Stroebel (New York University) tied for second place of this year’s AQR Top Insight Award 2021 for their paper, “Five Facts About Portfolio Beliefs.” This award recognizes and rewards exceptional academic working papers that offer original, intelligent approaches to practical issues in the investment world.
In their paper, the authors study a newly-designed survey administered to a large panel of wealthy retail investors. The survey elicits beliefs that are important for macroeconomics and finance, and matches respondents with administrative data on their portfolio composition, their trading activity, and their log-in behavior. The authors establish five facts in this data which provide useful guidance for the design of macro-finance models.
Professor Giglio previously won the AQR Insight Award in 2018 for his paper, “Taming the Factor Zoo.”
Click here to find out more about the AQR Insight Award.