BOSTON, Feb. 4, 2019 /PRNewswire/ -- PanAgora Asset Management ("PanAgora" or the "Firm"), one of the world's preeminent systematic quantitative investment firms, today announced the winner of its 17th annual Dr. Richard A. Crowell Prize, which recognizes new and cutting-edge academic research that connects theory and practice in the field of quantitative investing.
This year IQ from IP: Simplifying Search in Portfolio Choice was awarded First Prize. The research was authored by Huaizhi Chen, Harvard Business School; Lauren Cohen, Harvard Business School and NBER; Umit Gurun, University of Texas at Dallas and NBER; Dong Lou, London School of Economics and Christopher Malloy, Harvard Business School and NBER.
"Over the past seventeen years, we have been in a fortunate position to review many fascinating and groundbreaking submissions from leading minds in academia," said Eric Sorensen, Ph.D, President and Chief Executive Officer of PanAgora Asset Management. "We believe this year's winning research makes a meaningful contribution to the science of economics and to the development of constructing optimal investment strategies. We are excited to recognize the authors' research and would like to congratulate all of our 2018 finalists."
The winning paper, IQ from IP: Simplifying Search in Portfolio Choice, examines the monitoring behavior of individual institutional investors, by using web traffic on the SEC's EDGAR servers between 2004 and 2015, to specific events on the stocks in their investment portfolios. The paper identifies that mutual fund managers track a very particular subset of firms and insiders, and that this tracking activity not only remains persistent over time, but also has powerful implications for their portfolio choice and subsequent performance. In an era when investors are faced with hundreds of thousands of information signals produced at a given moment, this behavior is one example of investors trying to better ascertain which signals to track and collect.
The following research papers earned the distinction of being the second and third prize papers selected this year:
Late to Recessions: Market-Timing Portfolios and the Business Cycle
Roberto Gómez-Cram, The Wharton School
The Expected Investment Growth Premium
Jun Li, University of Texas at Dallas
Huijun Wang, University of Delaware
Conceived in 2001, the Crowell Prize recognizes and awards new and cutting-edge academic research that connects theory and practice in the field of quantitative investment. Papers are judged by a Reading Committee comprised of senior members of PanAgora's Quantitative Research Group on their originality, quality of exposition and analytical rigor.
For more information about the Crowell Prize and this year's winning papers, please visit www.panagora.com.
About PanAgora Asset Management:
Founded in 1989, PanAgora Asset Management is a leading global investment firm that utilizes sophisticated quantitative techniques that incorporate fundamental insights and vast amounts of market information spanning absolute and relative return strategies within alternative, risk premia and active equity disciplines. PanAgora had approximately $43 billion of client assets under management, as of December 31, 2017. More information about PanAgora can be found by visiting www.panagora.com
Prosek Partners (on behalf of PanAgora)
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