Awards and Honors

Assistant Professor Stefan Lewellen won the 2023 Michael J. Brennan Best Paper Award from the Review of Financial Studies for his paper “The Cross Section of Bank Value”.

Abstract: We study the determinants of value creation in U.S. commercial banks. We develop novel measures of individual banks’ productivities at collecting deposits and making loans that we relate to bank market values. We find that deposit productivity is responsible for two-thirds of the value of the median bank and most variation in value across banks. Variation in productivity is driven by differences across banks in technology, customer demographics, and market power. We also find evidence of synergies between deposit-taking and lending. Our findings suggest that there is significant heterogeneity in banks’ ability to capture value by manufacturing safe assets.

Assistant Professor Mihail Velikov won the 2023 William F. Sharpe Award from the Journal of Financial and Quantitative Analysis for his paper “Zeroing in on the Expected Returns of Anomalies”.

Abstract: We zero in on the expected returns of long-short portfolios based on 204 stock market anomalies by accounting for i) effective bid–ask spreads, ii) post-publication effects, and iii) the modern era of trading technology that began in the early 2000s. Net of these effects, the average anomaly’s expected return is a measly 4 bps per month. The strongest anomalies net, at best, 10 bps after controlling for data mining. Several methods for combining anomalies net around 20 bps. Expected returns are negligible despite cost mitigations that produce impressive net returns in-sample and the omission of additional trading costs, like price impact.

Assistant Professor Mehmet Canayaz received the best paper award at the 2024 CSEF-RCFS Conference on Finance, Labor, and Inequality Conference for his paper “When Protectionism Kills Talent" (NBER Working Paper No. w32466).  The paper is covered by VoxEU, NPR Marketplace, and the CATO Institute.

Abstract: We examine the repercussions of protectionist policies implemented in the United States since 2018 on the composition of workforce and career choices within the semiconductor industry. We find that the shift towards protectionism, aimed at reviving domestic manufacturing and employment, paradoxically resulted in a significant drop in hiring domestic talent. The effect is stronger for entry-level and junior positions, indicating a disproportionate impact on newcomers to the workforce. Additionally, we trace the trajectories of undergraduate and graduate cohorts possessing chip-related skills over time, and document significant shifts away from the chip industry. Our findings highlight the challenges in achieving the goals of initiatives like the 2022 CHIPS and Science Act, emphasizing the need to address talent shortages to sustain the semiconductor industry's intended growth.