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Matteo Maggiori Research Wins 2013 AQR Insight Award

Matteo Maggiori_article

This is precisely the kind of empirical research the AQR Insight Award was created to encourage: rigorous, relevant empirical analysis motivated by economic theory. – David G. Kabiller, AQR Co-Founding Principal

Matteo Maggiori, Assistant Professor of Finance at NYU Stern and Affiliated Assistant Professor in NYU’s Department of Economics, was presented with the second annual AQR Insight Award on May 20, along with his co-authors, Martin Lettau, Ph.D., and Michael Weber of the University of California at Berkeley’s Haas School of Business, for their paper, “Conditional Risk Premia in Currency Markets and Other Asset Classes.” The AQR Insight Award, sponsored by AQR Capital Management, recognizes unpublished papers that provide significant new practical insights to institutional investors. The prize comes with a monetary award of $100,000, which will be shared with Tomasz Piskorski, Ph.D., and James Witkin of Columbia University’s Graduate School of Business, and Amit Seru, Ph.D., of the Booth School of Business, University of Chicago, whose work was selected as a Distinguished Paper. The AQR Insight Award Committee selected the winners from among hundreds of submissions from 23 countries.

In their paper, Professor Maggiori and his co-authors use the downside-risk capital asset pricing model (DR-CAPM) to price the cross section of currency returns. They find that the DR-CAPM can explain the cross section of equity, commodity, sovereign bond and currency returns, thus offering a unified risk view of these asset classes. In contrast, popular models that have been developed for a specific asset class fail to jointly price other 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,” said AQR Co-Founding Principal David G. Kabiller said. “This is precisely the kind of empirical research the AQR Insight Award was created to encourage: rigorous, relevant empirical analysis motivated by economic theory.”