BOSTON, Dec. 19, 2019 /PRNewswire/ -- PanAgora Asset Management ("PanAgora"), one of the world's preeminent systematic quantitative investment firms, today announced the winner of its 18th 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, first prize was awarded to "Foreign Sentiment" by authors Azi Ben-Rephael, Rutgers Business School; Xi Dong, Zicklin School of Business, Baruch College; Massimo Massa, INSEAD; and Changyun Zhou, Zicklin School of Business, Baruch College.
"At PanAgora, we believe a holistic approach to research based in creativity and innovation is foundational to continue to answer key questions in the financial industry," said Eric Sorensen, Ph.D., President and Chief Executive Officer of PanAgora. "This year's winning research contributes meaningfully to the understanding of investor sentiment and behavior across markets topics which are of paramount importance in an ever evolving and globally connected world. We would like to thank all of those who have submitted and participated in this year's award and congratulate the winners."
The winning paper "Foreign Sentiment," constructs a direct measure of U.S. investor foreign sentiment using flow shifts towards international mutual funds to better understand whether foreign and local sentiments play different roles in affecting asset prices across markets. This research reveals that the reversal pattern associated with U.S. foreign sentiment in international markets is driven by overreaction to local negative public news, and in a sharp contrast, non-U.S. local sentiment predictive ability is not driven by misreaction to local public signals. This research also finds that the response to news is stronger for countries that are culturally remote from the U.S.
The following research papers were selected as the second and third prize winners this year:
Second prize: "Deep Learning in Characteristics-Sorted Factor Models" which develops a bottom-up approach to deep learning optimization to study the characteristics-sorted factor model in asset pricing. Guanhao Feng, College of Business, City University of Hong Kong Nicholas G. Polson, Booth School of Business, University of Chicago Jianeng Xu, Booth School of Business, University of Chicago
Third prize: "Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain" which conducts a spectral analysis of the relation between fund flows and mispricing showing that capital supplied by mutual fund investors moves more slowly than capital supplied by hedge fund investors. Xi Dong, Zicklin School of Business, Baruch College Namho Kang, Bentley University Joel Peress, INSEAD
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.
About PanAgora Asset Management: PanAgora Asset Management is a quantitative investment manager whose proprietary approach is designed to capitalize on inefficiencies across market cycles and to deliver relative and absolute returns through distinct and innovative equity, multi-asset and risk premia strategies. PanAgora's approach combines the firm's fundamental investment philosophy and original research with an advanced quantitative framework. These elements come together in an open, collaborative environment that builds upon the intellectual versatility of its team and leverages their complementary strengths — all of which are essential to meeting and exceeding the evolving objectives of institutional investors worldwide.
PanAgora was founded in 1989 and is based in Boston, MA. Shareholders include the Firm's employees and Great-West Life of Canada, a member of the Power Financial Corporation Group of Companies. More information about PanAgora can be found by visiting www.panagora.com