Svetlana Bryzgalova, Sven Lerner, Martin Lettau and Markus Pelger were awarded the 21st Annual Crowell Prize for their paper entitled, “Missing Financial Data”.
Dr. Eric Sorensen, PanAgora’s President and CEO, said in a news release announcing the award: “PanAgora’s commitment to unique, innovative research that addresses the evolving needs of quantitative investors remains a key tenet of our business model. This year’s winning piece supports this principle through its examination of the relevance of missing data in firm-specific characteristics and the growing impact this phenomenon can have on investors. We would like to congratulate our winners and again thank all of the participants for their time and commitment to furthering the field of quantitative investing.”
Thank you again to all who participated, and congratulations to our winners! Read the press release below for more information about the prize and this year’s winning submissions.
PANAGORA ASSET MANAGEMENT ANNOUNCES WINNERS OF 21ST ANNUAL
DR. RICHARD A. CROWELL MEMORIAL PRIZE
BOSTON April 18, 2023 — PanAgora Asset Management (“PanAgora”), one of the world’s leading quantitative investment firms, announced today the winners of its 21st annual Dr. Richard A. Crowell Memorial Prize, which recognizes new and cutting-edge academic research that successfully connects theory and practice in quantitative investing and management.
This year’s winning paper was awarded to “Missing Financial Data,” authored by Svetlana Bryzgalova of London Business School; Martin Lettau of the Haas School of Business, University of California, Berkeley; and Sven Lerner and Markus Pelger, both of Stanford University.
“PanAgora’s commitment to unique, innovative research that addresses the evolving needs of quantitative investors remains a key tenet of our business model,” said Eric Sorensen, Ph.D., President and Chief Executive Officer of PanAgora. “This year’s winning piece supports this principle by proposing a novel method to impute missing financial data that exploits both time-series and cross-sectional dependency of data. We would like to congratulate our winners and again thank all of the participants for their time and commitment to furthering the field of quantitative investing.”
“Missing Financial Data” discusses the prevalence and structure of missing financial data, which can impact risk premia estimates, cross-sectional anomalies, and portfolio construction. Traditional approaches to imputation are not effective due to complex systematic missing patterns in the data, but a novel method that uses both time-series and cross-sectional dependency to impute missing values has been proposed. Further details on this year’s second- and third-prize winners can be found below:
“Deep Learning Statistical Arbitrage” — The authors developed a new method for statistical arbitrage, which involves exploiting temporal price differences between similar assets. The method involves constructing arbitrage portfolios using conditional latent asset pricing factors, extracting time series signals with a machine-learning solution called a convolutional transformer, and forming an optimal trading policy that maximizes risk-adjusted returns under constraints.
- Jorge Guijarro-Ordonez – Stanford University
- Markus Pelger – Stanford University
- Greg Zanotti – Stanford University
“Should Retail Investors Listen to Social Media Analysts? Evidence from Text-Implied Beliefs” uses machine learning to analyze nonprofessional social media investment analysts’ beliefs about individual stocks based on their opinions. The study finds that SMAs’ consensus beliefs predict abnormal returns and earnings surprises.
- Chukwuma Dim – George Washington University
The prize is named in honor of PanAgora’s founder, the late Dr. Richard A. Crowell. Each year, PanAgora solicits submissions from dissertation-stage graduate students and faculty at accredited academic institutions and practitioners in the field of quantitative investment. Papers are judged on their originality, quality of exposition and analytical rigor by a reading committee, formed of members of PanAgora’s Quantitative Research Group.
For more information about the Crowell Prize and this year’s winning papers, please visit https://www.panagora.com/crowell-prize/.
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 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 each member’s complementary strengths — all of which are essential for meeting and exceeding the evolving objectives of institutional investors worldwide.
PanAgora was founded in 1989 and is based in Boston. Shareholders include the firm’s employees and Great-West Life of Canada, a member of the Power Financial Corporation Group of Companies. For more information, visit www.panagora.com.