Market-Return Research Wins 2013 AQR Insight Award

A Second Paper, on Misrepresentations in the Mortgage Market, Shares in the Annual $100,000 Prize for Unpublished Papers

A 2013 AQR Insight Award prize winner, Matteo Maggiori, Ph.D., of the New York University Stern School of Business presents to the AQR Insight Award Committee on April 25, 2013, in Greenwich, Conn. Photo by Robert B. Sweig

GREENWICH, Conn.--()--AQR Capital Management, LLC today presented its second annual AQR Insight Award to Martin Lettau, Ph.D., and Michael Weber of the University of California at Berkeley’s Haas School of Business and Matteo Maggiori, Ph.D., of the New York University Stern School of Business for their innovative and practical unpublished research in predicting market returns for currencies and other asset classes.

Lettau, Maggiori and Weber will share the AQR Insight Award prize of $100,000 with Tomasz Piskorski, Ph.D., and James Witkin of Columbia Business School, and Amit Seru, Ph.D., of the University of Chicago Booth School of Business. Their work, selected as a Distinguished Paper, focuses on how to identify and quantify misreported loans in the $2 trillion market for private mortgage-backed securities.

The AQR Insight Award is designed to encourage and acknowledge academics whose research promises to be of significant use to institutional investors. Among hundreds of submissions from 23 countries, the AQR Insight Award Committee chose five finalists, who presented their research in person on April 25 in Greenwich, Conn.

Lettau, Maggiori and Weber’s paper, “Conditional Risk Premia in Currency Markets and Other Asset Classes,” uses the downside-risk Capital Asset Pricing Model (DR-CAPM) to price the cross section of currency returns. They also assert that the DR-CAPM can do the same for equity, commodity, sovereign bond and currency returns, “thus offering a unified risk view of these asset classes.”

“This paper is an example of relevant empirical research motivated by economic intuition and financial theory. It explores the implication of securities’ downside risk, or the risk of losses during periods of market distress. That is a topic of extreme relevance for both asset managers and investors,” AQR Co-Founding Principal David G. Kabiller said of the winning research. “This is precisely the kind of empirical research the AQR Insight Award was created to encourage: rigorous, relevant empirical analysis motivated by economic theory.”

The following authors earned honorable mentions for their research:

“Disagreement and Asset Prices”
Bruce I. Carlin, Ph.D., UCLA Anderson School of Management
Francis A. Longstaff, Ph.D., UCLA Anderson School of Management
Kyle Matoba, UCLA Anderson School of Management
“Measuring Managerial Skill in the Mutual Fund Industry”
Jonathan B. Berk, Ph.D., Stanford Graduate School of Business
Jules H. van Binsbergen, Ph.D., Stanford Graduate School of Business
“Which News Moves Stock Prices? A Textual Analysis”
Jacob Boudoukh, Ph.D., IDC Arison School of Business, Herzliya, Israel
Ronen Feldman, The Hebrew University’s School of Business Administration
Shimon Kogan, University of Texas at Austin’s McCombs School of Business
Matthew Richardson, Ph.D., New York University Stern School of Business

For more information about the 2013 AQR Insight Award winners, please visit

About The AQR Insight Award

To honor and encourage applied innovation in academic research, the AQR Insight Award, sponsored by AQR Capital Management, LLC recognizes important, unpublished papers that provide the most significant new practical insights for tax-exempt institutional or taxable investor portfolios. As many as three papers share a $100,000 prize.

The third annual AQR Insight Award submission deadline is January 15, 2014.

About AQR

AQR Capital Management, LLC is a global investment management firm employing a disciplined and analytical research process to macroeconomic and fundamental data. AQR’s diversified offerings range from traditional benchmark-oriented long-only strategies to absolute return alternative strategies. As of March 31, 2013, AQR managed approximately $79.5 billion worldwide for institutional investors, including pensions, insurance companies, endowments, foundations and sovereign wealth funds, as well as registered investment advisors. Founded in 1998, AQR is based in Greenwich, Connecticut, with offices in Chicago, London and Sydney.

This is being provided solely for information purposes and does not constitute an offer or solicitation of an offer, or any advice or recommendation, to purchase securities or financial instruments, and may not be construed as such or serve as the basis of any investment decision.


AQR Capital Management, LLC
Margaret E. Wyrwas, 203-742 3608


AQR Capital Management, LLC
Margaret E. Wyrwas, 203-742 3608