Kelly Shue, professor of finance at the Yale School of Management, and a coauthor have won the AQR Insight Award for their paper “ Can the Market Multiply and Divide? Non-Proportional Thinking in Financial Markets.”
The annual AQR Insight Award is presented by AQR Capital Management, an investment firm with a focus on strategies informed by quantitative research. The award “recognizes important, unpublished papers that provide the most significant, new practical insights for tax-exempt institutional or taxable investor portfolios.”
“Can the Market Multiply and Divide?,” cowritten with Richard R. Townsend of the University of California San Diego, argues that “non-proportional thinking can explain the ‘leverage effect’ puzzle, in which volatility is negatively related to past returns, as well as the volatility-size and beta-size relations in the data.”
Shue’s research has explored executive social networks, compensation and promotions, sequential decision errors, mergers and acquisitions, corporate social responsibility, persuasion in corporate financial reporting, and errors in voting. Her research has been featured in numerous news outlets including CNN, NPR, and the Wall Street Journal, and has been awarded the Wharton School-WRDS Award for Best Empirical Finance Paper and the UBS Global Asset Management Award for Research in Investments.