AQR Announces Winners of Fifth Annual Insight Award

May 13, 2016

AQR Capital Management, LLC (“AQR”) today announced the winners of its fifth annual AQR Insight Award.

 First Prize was awarded to two papers:

  • “A Tough Act to Follow: Contrast Effects in Financial Markets” by Samuel M. Hartzmark, Ph.D., University of Chicago Booth School of Business, and Kelly Shue, Ph.D., University of Chicago Booth School of Business and NBER; and,
  • “Size Discovery” by Darrell Duffie, Ph.D., Graduate School of Business, Stanford University, and Haoxiang Zhu, Ph.D., MIT Sloan School of Management.

The authors share the $100,000 prize.

“Five years ago, we established the AQR Insight Award to recognize the most significant and innovative academic research that offers practical applications for investors,” said David Kabiller, CFA, Founding Principal at AQR Capital Management. “Today, we are proud of the standard of excellence the AQR Insight Award represents, and to count such esteemed academics among its recipients. We congratulate this year’s winners, whose papers were selected from among many great submissions, and thank them for their contributions to financial research.”

The winners of the fifth annual AQR Insight Award were chosen for their significant, practical insights. “A Tough Act to Follow: Contrast Effects in Financial Markets” studies whether contrast effects — when observing something magnifies or diminishes perception of the next observation — can distort prices in sophisticated, liquid equity markets. “Size Discovery” explores how both buyers and sellers in markets can improve trading efficiencies by adding a size-discovery mechanism, such as a dark pool or “workup,” along with a market price discovery mechanism.

 The following papers earned the distinction of honorable mention:

  • “Excess Volatility: Beyond Discount Rates” by Stefano Giglio, Ph.D. and Bryan Kelly, Ph.D., both from the University of Chicago Booth School of Business;
  • “Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities” by Mikhail Chernov, Ph.D., UCLA Anderson School and CEPR, Francis A. Longstaff, Ph.D., UCLA Anderson School and the NBER, and Brett R. Dunn, UCLA Anderson School; and,    


  • “Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting” by Erik Stafford, Ph.D., Harvard Business School. 


The AQR Insight Award honors exceptional unpublished papers that provide original, intelligent approaches to important issues in the investment world, and stand up to rigorous review.  Up to three papers may share the $100,000 prize. Deadline for entries for the 2017 AQR Insight Award is January 15, 2017. Papers must not be published before December 15, 2016. 

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

About AQR
AQR is a global investment management firm built at the intersection of financial theory and practical application. We strive to deliver superior, long-term results for our clients by looking past market noise to identify and isolate what matters most, and by developing ideas that stand up to rigorous testing. Our focus on practical insights and analysis has made us leaders in alternative and traditional strategies since 1998.

The firm is based in Greenwich, Connecticut, with offices in Boston, Chicago, Los Angeles, London and Sydney. As of March 31, 2016, AQR had approximately $153.6 billion* in assets under management.

* Includes assets of CNH Partners, LLC, an AQR affiliate

This is being provided solely for information purposes and does not constitute an offer or solicitation of an offer, or any advice or recommendation, to purchase securities or financial instruments, and may not be construed as such or serve as the basis of any investment decision.