Prof. Tobias Moskowitz Wins Jacobs Levy Center Best Paper Prize
The study investigates whether common asset pricing models would be effective in an efficient market—that is, one in which public information is properly reflected in prices.
Tobias Moskowitz, the Dean Takahashi ’80 B.A., ’83 M.P.P.M. Professor of Finance, has won the Jacobs Levy Center Best Paper Prize for 2022 for his paper “Pricing Without Mispricing,” together with his co-authors, Jianan Liu of the University of Hong Kong and Robert Stambaugh of the University of Pennsylvania.
The award was presented by the Jacobs Levy Equity Management Center for Quantitative Research at the Wharton School of the University of Pennsylvania at its annual conference in September. It honors studies in the center’s working paper series that “enhance the understanding of financial markets through the study and promotion of quantitative techniques and methods as applied to such fields as the analysis of domestic and international stocks and bonds, and the management of investment portfolios.”
In their paper, Moskowitz, Liu, and Stambaugh investigate whether common asset pricing models would be effective in an efficient market—that is, one in which public information is properly reflected in prices—by testing them using decade-old information. They find that the Capital Asset Pricing Model (CAPM) passes this test but other prominent models do not, including various multifactor models.
Moskowitz’s research focuses on financial markets and investments, including the behavior of prices and investors. He has explored topics as diverse as momentum in stock returns, biases in investment portfolios, the social effects of bank mergers, the return to private business ownership, mutual and hedge fund performance, the political economy of financial regulation, and the economics of sports. He is the faculty director of Yale SOM’s Master’s Degree in Asset Management program and a principal at AQR Capital Management in Greenwich, Connecticut.