Whitebox Advisors Awards $25k Prize for Best Financial Research of the Year

Prize goes to Booth School of Business and Wharton School of Business Professors.

Jun 19, 2012, 15:00 ET from Whitebox Advisors

MINNEAPOLIS, June 19, 2012 /PRNewswire/ -- At a New York City luncheon earlier today, Whitebox Advisors, the $2.3 billion investment advisory based in Minneapolis, announced the winner of the $25,000 prize for the best financial research published in 2011: "Are Stocks Really Less Volatile in the Long Run?" by Lubos Pastor of the Booth School of Business and Robert Stambaugh of the Wharton School of Business.

"The belief that stock prices are more predictable over the long run than over the near term is a bedrock assumption for much of the investment world," said Andrew Redleaf, Founder and CEO of Whitebox advisors, in remarks at the luncheon.  "After devoting years of research to the subject Professors Pastor and Stambaugh now make a powerful argument that this bedrock assumption may not hold.  Their paper serves as a bold bright neon sign proclaiming 'investors beware!'"

"Most advisors work under the assumption that, while stocks may have their ups and downs, over the long run those ups and downs will cancel each other out," said Professor Robert F. Stambaugh at the luncheon. "Our research, however, indicates the opposite; stocks actually become riskier to investors with long horizons."

"Professor Pastor and I thank Mr. Redleaf and Whitebox Selected Research for this honor and for bringing attention to our paper."

In addition, the following two papers were selected as runners up for a prize of $5,000:

  • "Is Momentum Really Momentum" – Journal of Financial Economics; Robert Novy-Marx 
  • "Under-/Over-Valuation of the Stock Market and Cyclically-Adjusted Earnings" – International Finance; Marco Taboga


Further, these remaining seven finalists will receive $1,500 for their efforts:

  • "Information Leakage Prior to Company Issued Guidance" – Financial Management; Anna Agapova and Jeff Madura
  • "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities" – Journal of Econometrics; Tim Bollerslev, Michael S. Gibson and Hao Zhou
  • "The Implied Cost of Capital: A New Approach" – Journal of Accounting and Economics; Kewei Hou, Mathijs A. van Dijk and Yinglei Zhang
  • "A Survey of Alternative Equity Index Strategies" – Financial Analysts Journal; Jason Hsu, Tzee-man Chow, Vitali Kalesnik and Bryce Little
  • "The ABCs of Hedge Funds: Alphas, Betas and Costs" – Financial Analysts Journal; Roger G. Ibbotson, Peng Chen and Kevin X. Zhu
  • "Principal Components as a Measure of Systemic Risk" – Journal of Portfolio Management; Mark Kritzman, Yuanzhen Li, Sebastien Page and Roberto Rigobon
  • "Common Risk Factors in Currency Markets" – The Review of Financial Studies; Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan


The Whitebox Advisors Selected Research prize committee was comprised of Whitebox Founder and CEO, Andrew Redleaf; Global Head of Equity Trading, Dr. Jason Cross; Senior Quantitative Strategist, Dr. Blaise Morton; Sr. Portfolio Manager, Dr. Chris Bemis; and Chief Communications Officer and Director of Whitebox Selected Research, Richard Vigilante.

For more information, please contact Amara Kaiyalethe at Whitebox Advisors via phone (612)-355-2028 or email at akaiyalethe@whiteboxadvisors.com.

SOURCE Whitebox Advisors