AQR Named a P&I Best Place to Work in Money Management

AQR Capital Management, LLC (“AQR”), a leading global investment firm, today announced the winners of its sixth annual AQR Insight Award.

This year Deviations from Covered Interest Rate Parity was awarded First Prize. The research was authored by Wenxin Du, Ph.D., Federal Reserve Board; Alexander Tepper, Ph.D., Columbia University; and Adrien Verdelhan, Ph.D., MIT Sloan School of Management. The authors will share the $100,000 annual prize.

“Every year, there is a rigorous and highly selective process to determine the finalists from among the many remarkable submissions we receive from around the world,” said David Kabiller, CFA, Co-founder at AQR Capital Management. “This year’s winning paper brings to light important findings for global asset allocation and epitomizes the high standard of excellence the AQR Insight Award represents. We are pleased to recognize the authors’ achievements and congratulate all the 2017 finalists.” The winning paper, Deviations from Covered Interest Rate Parity, examines covered interest rate parity (CIP)—the condition in which interest rates and the spot and forward currency values of any two countries are in equilibrium and thus cannot be arbitraged for profit. While this generally holds true historically, the paper finds that large deviations from CIP—and meaningful arbitrage opportunities—have persisted in global markets since the 2008 global financial crisis caused, at least partially, by banking regulatory reporting changes. The fact that this can occur in some of the largest and most liquid markets in the world is a discovery that the authors explore with important implications for investors and policymakers. For example, deviations from CIP can have meaningful impact on the costs of hedging foreign-currency denominated assets for investors seeking to diversify outside their home countries.

The following research papers earned the distinction of honorable mention in recognition of being among the top five papers selected this year:

An Equilibrium Model of Institutional Demand and Asset Prices
Ralph S.J. Koijen, Ph.D., New York University Stern School of Business, CEPR and NBER
Motohiro Yogo, Ph.D., Princeton University and NBER

Bear Beta
Zhongjin Lu, Ph.D., University of Georgia Terry College of Business
Scott Murray, Ph.D., Georgia State University J. Mack Robinson College of Business

Overpriced Winners
Kent Daniel, Ph.D., Columbia Business School and NBER
Alexander Klos, Ph.D., Kiel University and Kiel Institute for the World Economy
Simon Rottke, Ph.D., FCM, University of Münster

What is the Expected Return on a Stock?
Ian Martin, Ph.D., London School of Economics
Christian Wagner, Ph.D., Copenhagen Business School

The AQR Insight Award honors exceptional unpublished papers that provide original, intelligent approaches to important issues in the investment world. Up to three papers may share the $100,000 prize.

For more information about the AQR Insight Award and this year’s winning papers, please visit