Prize Winners 1990 1991 1992 19933 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008/2009 2009/2010 2010/2011

08

2010/2011

PRIZE WINNERS Awarded for papers presented at the Autumn Seminar 2010 and Spring Seminar 2011
 First prize :

 

Henrik Hasseltoft, first prize Institut für schweizerisches Bankwesen The “FED-model"
  Second prize  :
 

Geert Bekaert, second prize The Wharton School, University of Pennsylvania Inflation Risk and the Inflation Premium
  Third prize  :
 

Raman Uppal CEPR and London Business School. Improving Portfolio Selection Using Option-Implied Volatility And Skewness
 
2009/2010 Prizes awarded for Autumn Seminar 2009 and Spring Seminar 2010
 First prize :

 

Lionel Martellini, first prize
EDHEC Risk and Asset Management Research Center
  Second prize  :

 

Robert Kosowski, second prize
Imperial College Business School

  Third prize  :

 

Roman Kräussl, third prize
De Vrije Universiteit Amsterdam
2008/2009 Joint Prize 2008/2009 Inquire Europe, Inquire UK and Q-group
 First prize :

 

Prizes awarded for Spring and Autumn Seminar and 2009 Spring Seminar

Bruce Mizrach, first prize
Rutgers University
Jump and Cojump Risk in Subprime Home Equity Derivatives.
  Second prize :

 

Joost Driessen, second prize

University of Amsterdam

Derivative Pricing with Liquidity Risk.

Third prize:
 

Ronnie Sadka, third prize

Boston University

The Divergence of Liquidity Commonality in the Cross-Section of Stocks.
2007 Joint Prize 2007 Inquire Europe, Inquire UK and Q-group
 First prize :

 

Russ Wermers, Robert H. Smith School of Business, University of Maryland

"The Investment Value of Mutual Fund Portfolio Disclosure"

First Prize 2007. Paper presented at the Spring Seminar 2007 in Brighton.
  Second prize :

 

Marcus Leippold, Swiss Banking Institute (ISB) and University of Zürich

"Volatility Swaps."

Second Prize 2007 Paper presented at the Autumn Seminar 2007 in Oslo
Third prize:
 

Ludovic Phalippou, University of Amsterdam Faculty of Economics

and Econometrics

"The Performance of Private Equity Funds"

Third Prize 2007. Paper presented at the Autumn Seminar 2007 in Oslo
2006 Joint Prize 2006 Inquire Europe, Inquire UK and Q-group
 First prize :

 
Frank de Jong, Tilburg University
“Pension fund Investments and the Valuation of Liabilities under conditional Indexation”
First Prize 2006. Presented at the Autumn Seminar 2006.
 Second prize :

 

Andrea Buraschi, Imperical Collega
“Correlation risk and Optimal Portfolio Choice”
Second Prize 2006. Presented at the Autumn Seminar 2006.
2005 Joint Prize 2005 Inquire Europe, Inquire UK and Q-group
 First prize :

 

Maria Vassalou, Graduate School of Business
Corporate Innovation, Price Momentum and Equity Returns
First Prize 2005. Presented at the Autumn Seminar 2005.
 Second prize :

 
Roy Hoevenaars, Maastricht University and ABP Investments
Strategic Asset Allocation With Liabilities: Beyond Stocks ad Bonds
Second Prize 2005. Presented at the Autumn Seminar 2005
Third prize:
 

Massimo Massa, INSEAD
Disposition matters: Volume, Volatility and Price
Impact of Behavioral Biases
Honorable Mention
2004 Joint Prize 2004 Inquire Europe, Inquire UK and Q-group
 First prize :

 

Paul Embrechts, ETH Zurich and London School of Economics

“Quantifying Regulatory Capital for Operational Risk: Utopia or Not?”

First Prize 2004. Presented at the Joint Spring Seminar 2004.  
 Second prize :

 		 Bruno Biais, University of Toulouse

“Risk and Capital Requirements in the European Investment Fund Industry”

Second Prize 2004. Presented at the Joint Spring Seminar 2004.
Third prize:
 

Pascal Maenhout, INSEAD

”A Portfolio Perspective on Option Pricing Anomalies”

Third Prize 2004. Presented at the Autumn Seminar 2004
2003 Joint Prize 2003 Inquire Europe, Inquire UK and Q-group
First Prize: Francois Degeorge,
HEC School of Management
The Market Response to Earnings Thresholds
Second Prize: Ludovic Phalippou,
INSEAD
Shady Stocks And The Value Premium
2002 Joint Prize 2002 Inquire Europe, Inquire UK and Q-group
First prize: Geert Bekaert,
Columbia Business School
How do Regime Shifts Affect International Asset Allocation
Sponsor prize: Roy Kouwenberg,
Aegon Asset Management
Do Hedge Funds add Value to a Passive Portfolio?
2001 Joint Prize 2001 Inquire Europe, Inquire UK and Q-group
First prize: Stefana Cavaglia (€ 4.000,-)
Brinson Partners, Inc.
CICCA: Cross-Industry, Cross-Country Allocation
Second prize: Harald Hau (€ 2.000,-)
INSEAD and Centre for Economic Policy Research
Geographical Patterns of Trading Profitability in the Xetra Market
Third prize: Narayan Naik (€ 1.000,-)
London Business School
Characterizing Hedge Fund Risks with Buy-and Hold and Option-Based Strategies
Sponsor prize: Foort Hamelink (€ 2.500,-)
Lombard Odier & Cie
Country, Sector or Style: What Matters Most when Constructing Global Equity Portfolios?
2000 Joint Prize 2000 Inquire Europe, Inquire UK and Q-group
First prize: Roy Kouwenberg (6.000 Sfr.)
University of British Columbia, Vancouver
From Boom til Bust: How Loss Aversion Affects Asset Prices
Presented at the Autumn Seminar 2000 in Venice
Second prize: Luis Viceira, (3.000 Sfr.)
Harvard University
Portfolio Choice for Long-Term Investors
Presented at the Autumn Seminar 2000 in Venice
1999 Joint Prize 1999 Inquire Europe, Inquire UK and Q-group
First prize: Sanjay Srivastava (6.000 Sfr.)
Carnegie Mellon University, Pittsburgh
A Perspective on Credit Risk
Presented at the Autumn Seminar 1999 in Estepona
Second prize: Gunter Loefller (3.000 Sfr.)
Commerzbank, Frankfurt
Using Credit Risk Models in Practice
Presented at the Autumn Seminar 1999 in Estopona
Sponsors Prize: Gunter Loefller (2.500 euro)
Commerzbank, Frankfurt
Using Credit Risk Models in Practice
Presented at the Autumn Seminar 1999 in Estopona
1998 Joint Prize 1998 Inquire Europe, Inquire UK and Q-group
First prize: Francois Degeorge
HEC School of Management, Jouy-en-Josas
Earnings Management to Exceed Thresholds
Second prize: Helene Harasty and Jacques Roulet
Lombard Odier & Cie, Geneva
Modelling Stock Market Returns: an Error Correction Model
Third prize: Ray Ball
University of Rochester
The Effect of Institutional Factors on Properties of Accounting Earnings: International Evidence
1997 Joint Prize 1997 Inquire Europe, Inquire UK and Q-group
First prize: Mark Kritzman
Windham Capital Management
Risk Containment for Investors with Multivariate Utility Functions
Honorable mention: Eric van Leeuwen
Robeco Groep, The Netherlands
A Pan-European Stock Selection Strategy
1996 Joint Prize 1996 Inquire Europe, Inquire UK and Q-group
First prize: Michael Rockinger
HEC School of Management
Determinants of Capital Flows to Mutual Funds
Second prize: James Dow
London Business School
Noise Trading, Delegated Portfolio Management and Economic Welfare
Third prize: P.J. Hanousek
Charles University, Prague
Voucher Privatization and Financial Markets in Czech Republic
1995 Joint Prize 1995 Inquire Europe, Inquire UK and Q-group
First prize: Michael Brennan
University of California Los Angeles
Hedging Long Maturity Commodity Commitments with Short-dated Futures Contracts
Second prize: Bernard Dumas
HEC School of Management
Implied Volatility Smiles: Empirical Tests
1994 Joint Prize 1994 Inquire Europe, Inquire UK and Q-group
Joint first prize: Johan Anders Löflund
Swedish School of Economics and Business Administration
Time-varying Multibeta Risks and Swedish Asset Returns
Joint first prize: Ton C.F. Vorst
Erasmus University Rotterdam
The Impact of Firm-specific News on Implied Volatilities
Third prize: Claudio Giraldi & Vittorio Maggiolini
Banco Commerciale Italiana
Optimal Currency Hedging of International Bond Portfolios
1993 Joint Prize 1993 Inquire Europe, Inquire UK and Q-group
First prize: Jean-Francois Boulier
Credit Commercial de France
European Monetary System: Post Crisis Guidelines
1992 Joint Prize 1992 Inquire Europe, Inquire UK and Q-group
First prize: Tom Berglund
Swedish School of Economics, Helsinki
Time Varying Risk and CAPM-Tests on Data From a Small Stock Market
Second prize: Lawrence E. Harris
University of Southern California, School of Business Administration, Los Angeles
Market Versus Limit Orders: The Super DOT Evidence on Order Submission Strategy
Third prize: Andrew W. Lo
MIT, Sloan School of Management, Cambridge
Datamining, Tactical Asset Allocation and Stock Selection
Honorable mention: Josef Lakonishok
University of Illinois, College of Commerce and Business Administration, Urbana-Champaign
Institutional Trades and Intra-day Stock Behavior
Honorable mention: William P. Rees
University of Strathclyde, Department of Accounting and Finance, Glasgow
The Information Content of German Analysts' Adjustments to Published Earnings
1991 Joint Prize 1991 Inquire Europe, Inquire UK and Q-group
First prize: Bruno Solnik
HEC School of Management, Jouy-en-Josas
Using the Predictability of International Asset Returns
Second prize: Pablo Fernandez
Instituto de Estudios Superiores de la Empresa, Barcelona
Convertible Bonds in Spain: A Different Security
Honorable mention: Philippe Jorion
Colombia University Graduate School of Business, New York
Portfolio Optimization in Practice: An application to International Diversification
Honorable mention: Roni Michaely
Cornell University, Johnson School of Management, Ithaca
Tax Heterogeneity and Risk Sharing: Implications for Risk Sharing Around the Ex-dividend Day
1990 Joint Prize 1990 Inquire Europe, Inquire UK and Q-group
First prize: Joshua Livnat
NYU, Department of Accounting, Taxation and Business Law
The Relationship Between Price and Expected Earnings: Within and Cross Country Comparisons