“The Less-Efficient Market Hypothesis,” authored by AQR Founding and Managing Principal Cliff Asness, was awarded an “Outstanding Article” recognition in the 26th Annual Bernstein Fabozzi/Jabos Levy Awards. 

Selected annually by its readers, the Bernstein Fabozzi/Jacobs Levy Awards acknowledge and seek to highlight the most innovative and compelling research published each year in The Journal of Portfolio Management. The Awards were established in 1999 to honor Editors Peter L. Bernstein and Frank J. Fabozzi for their extraordinary contributions to the field of finance and to promote research excellence in the theory and practice of portfolio management.

“The Less-Efficient Market Hypothesis” argues that over the past 30+ years, markets have become less informationally efficient in the relative pricing of common stocks, particularly over medium horizons. Cliff advances three hypotheses for why markets may have become less efficient, arguing that technologies such as social media are likely the biggest culprit. Cliff discusses the implication of this change for investors, noting that investors willing to take the other side of these inefficiencies should be rationally rewarded with higher expected returns but also greater risks. Lastly, the article concludes with ideas to make rational diversifying strategies easier to stick with. 

Read the paper here. View more information on the Bernstein Fabozzi/Jacobs Levy Awards here.