Thank you to all who participated in the 20th Crowell Memorial Prize submissions. PanAgora would like to take this time to congratulate the winners: Amin Hosseini, Gergana Jostova, Alexander Philipov, and Robert Savickas. They are recognized for their paper titled “The Social Media Risk Premium. Eric Sorensen, PanAgora’s president, and CEO said, “This year’s winning paper taps into social media, an integral element to how businesses operate and communicate with stakeholders, and contributes meaningfully to the understanding of investor and market sentiment towards a timely phenomenon. As we celebrate the 20th anniversary of the Crowell Prize, we thank all the participants for their quality submissions and advancing our commitment to further the field of quantitative investment.” Congratulations on the accomplishment. Read the press release below for more information about the prize and this year’s winners.
PanAgora Asset Management Announces Winners of 20th Annual Dr. Richard A.
Crowell Memorial Prize
Boston, MA., March 14, 2022 – PanAgora Asset Management (“PanAgora”), one of the
world’s leading quantitative investment firms, announced today the winners of its 20th
annual Dr. Richard A. Crowell Memorial Prize, which recognizes new and cutting-edge
academic research that successfully connect theory and practice in quantitative investing
This year’s winning paper was awarded to “The Social Media Risk Premium” authored by
Amir Hosseini, Gergana Jostova, and Robert Savickas of George Washington University, as
well as Alexander Philipov of George Mason University.
“At PanAgora, we support innovative, forward-looking research that addresses timely issues
along with the evolving needs of quantitative investors,” said Eric Sorensen, Ph.D.,
President and Chief Executive Officer of PanAgora. “This year’s winning paper taps into
social media, an integral element to how businesses operate and communicate with
stakeholders, and contributes meaningfully to the understanding of investor and market
sentiment towards a timely phenomenon. As we celebrate the 20th anniversary of the
Crowell Prize, we thank all the participants for their quality submissions and advancing our
commitment to further the field of quantitative investment.”
“The Social Media Risk Premium” investigates whether social media risk is a priced risk
factor through leveraging a novel dataset on the presence of all U.S. public firms on Twitter.
The findings show that systematic social media risk is priced in the cross-section of stock
and bond returns, indicating that firms with higher social media betas generally expect
greater returns. The paper also proves that the social media risk premium is stronger if
there is low sentiment and high uncertainty.
Further details on this year’s second and third prize winners can be found below:
“Competitor Network, Distress Propagation, and Industry Returns”— Through building a
competition network that links industries based upon their common market players, findings
show that industries with higher competition network centrality have higher exposure to
cross-industry spillover effects of distress shocks, resulting in higher expected stock returns.
• Winston Wei Dou, Wharton School of Business, University of Pennsylvania
• Shane A. Johnson, San Diego State University
• Mingming Ao Shao, Mays Business School, Texas A&M University
• Wei Wu, Mays Business School, Texas A&M University
“Streaks in Daily Returns” — Through the development of a simple model of return
extrapolation and testing with daily U.S. market data, results imply that consecutive days in
returns help generate sizable returns in both U.S. and international markets.
• Alexander Klos, Kiel University
• Alexandra Koehl, Kiel University
• Simon Rottke, University of Amsterdam
Named in honor of PanAgora’s founder, the late Dr. Richard A. Crowell, PanAgora solicits
submissions each year from dissertation-stage graduate students and faculty at accredited
academic institutions, as well as practitioners working in quantitative investment. Papers
were judged by a Reading Committee formed of members of PanAgora’s Quantitative
Research Group on their originality, quality of exposition and analytical rigor.
For more information about the Crowell Prize and this year’s winning papers, please
About PanAgora Asset Management:
PanAgora Asset Management is a quantitative investment manager whose proprietary
approach is designed to capitalize on inefficiencies across market cycles and to deliver
relative and absolute returns through distinct and innovative equity, multi-asset and risk
premia strategies. PanAgora’s approach combines the firm’s fundamental investment
philosophy and original research with an advanced quantitative framework. These elements
come together in an open, collaborative environment that builds upon the intellectual
versatility of its team and leverages their complementary strengths — all of which are
essential to meeting and exceeding the evolving objectives of institutional investors
PanAgora was founded in 1989 and is based in Boston, MA. Shareholders include the
Firm’s employees and Great-West Life of Canada, a member of the Power Financial
Corporation Group of Companies. More information can be found by