PanAgora Asset Management is pleased to announce the 2024 winners of the Dr. Richard A. Crowell Memorial Prize, recognizing outstanding academic research that bridges theory and practice in quantitative investing and management.
1st Place
“News-based Investor Disagreement and Stock Returns”
By Sophia Zhengzi Li and Zeyao Luan, Rutgers Business School
This year’s winning paper explores how differences of opinion among investors—captured through news-based measures of disagreement—impact stock returns. By analyzing investor sentiment extracted from news content, the authors uncover meaningful insights for equity markets.
2nd Place
“Narrative Momentum”
By Hojoon Lee (Boston College), Xiaoxia Lou (University of Delaware), Gideon Ozik (EDHEC Business School), and Ronnie Sadka (Boston College)
This paper introduces a “narrative momentum” strategy that quantifies the real-time intensity of economic narratives across thousands of digital media sources. The authors construct portfolios that respond to rising and declining narratives—revealing a momentum effect distinct from traditional price or factor momentum.
3rd Place
“Animating Stock Markets”
By Tomasz Kaczmarek (Poznan University) and Kuntara Pukthuanthong (Trulaske College of Business, University of Missouri)
This innovative study treats stock price movements as animated sequences, using Variational Recurrent Neural Networks (VRNNs) to forecast future trajectories. The model captures temporal dynamics in stock behavior and delivers portfolios that outperform standard benchmarks and highlights the potential of advanced machine-learning techniques to enhance portfolio construction and deepen our understanding of stock market predictability.
The Crowell Prize honors the legacy of Dr. Richard A. Crowell, PanAgora’s founder, by celebrating research that advances quantitative investment thinking. Each year, submissions are reviewed for originality, analytical rigor, and contribution to the field by members of PanAgora’s Quantitative Research Group.