Professor Bryan Kelly Wins JFE's Fama-DFA Best Paper Prize
Congratulations ICF Faculty Associate Director, Professor Bryan T. Kelly, for winning the Fama-DFA Prize for the Best Paper Published in 2019 in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing.
Professor Kelly’s paper, “Characteristics are covariances: A united model of risk and return,” co-authored with Seth Pruitt and Yinan Su, was voted the winning paper by readers of the JFE as the best paper in its category published in a 2019 issue of the JFE.
About the winning paper:
“Characteristics are covariances: A united model of risk and return”
Bryan T. Kelly, Seth Pruitt and Tinan Su
Volume 134, Issue 3, December 2019, Pages 501-524.
We propose a new modeling approach for the cross section of returns. Our method, Instrumented Principal Component Analysis (IPCA), allows for latent factors and time-varying loadings by introducing observable characteristics that instrument for the unobservable dynamic loadings. Read more.
Past recipients of the Fama-FDA Prize include fellow Yale SOM finance faculty:
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2018: Stefano Giglio: “An intertemporal CAPM with stochastic volatility” (First Place)
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2018: Tobias J. Moskowitz: “Carry” (Second Place)
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2016: Stefano Giglio & Bryan T. Kelly: “Systemic risk and the macroeconomy: An empirical evaluation” (First Place)
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2016: Tobias J. Moskowitz: “Momentum crashes” (Second Place)
About the Fama-DFA Prizes for Capital Markets and Asset Pricing:
Each year, after the last issue of the Journal of Financial Economics has reached subscribers, the editorial office of the JFE collects votes from readers for the best paper in each of these broad categories. The editorial office will publish on the home page, http://jfe.rochester.edu the list of papers published in the JFE in the prior year assigned to one of these two research areas.
The voting occurred electronically from February 1 and continue through May 31, 2020.
All people who have refereed three or more papers for the JFE during 2019 or who have published a paper in the JFE during 2019 will be limited to one vote in each category. The editor's office will audit and determine the validity of votes. At the end of the election, winners will be announced on the back cover of the JFE and on the home page of the JFE editorial office.