Research paper on deleveraging risk co-authored by Pedro Saffi of Cambridge Judge wins third-place honours at Crowell Prize awards.
Dr Pedro Saffi
A research paper on investment risk due to liquidity shocks, co-authored by Pedro Saffi, University Lecturer in Finance at Cambridge Judge Business School, won third place honours at the annual Crowell Prize awards sponsored by the Quantitative Research Group at Boston-based PanAgora Asset Management.
The awards honour research that links theory and application in the field of quantitative investment management. The winning papers were selected from more than 100 submissions.
The paper “Deleveraging risk” was authored by Scott Richardson, managing director, AQR Asset Management, and professor of accounting, London Business School; Pedro Saffi of Cambridge Judge; and Kari Sigurdsson, vice president, AQR. They will share a $2,000 award.
The paper found that stocks with a high degree of short selling activity experience large positive returns and a decrease in short selling activity around periods of funding capital scarcity.