Whitebox folks awarding $25k to the top paper (HT: Tradestream). Papers below:
- “Information Leakage Prior to Company Issued Guidance” – Financial Management; Anna Agapova and Jeff Madura
- “Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities” – Journal of Econometrics; Tim Bollerslev, Michael S. Gibson and Hao Zhou
- “The Implied Cost of Capital: A New Approach” – Journal of Accounting and Economics; Kewei Hou, Mathijs A. van Dijk and Yinglei Zhang
- “A Survey of Alternative Equity Index Strategies” – Financial Analysts Journal; Jason Hsu, Tzee-man Chow, Vitali Kalesnik and Bryce Little
- “The ABCs of Hedge Funds: Alphas, Betas and Costs” – Financial Analysts Journal; Roger G. Ibbotson, Peng Chen and Kevin X. Zhu
- “Principal Components as a Measure of Systemic Risk” – Journal of Portfolio Management; Mark Kritzman, Yuanzhen Li, Sebastien Page and Roberto Rigobon
- “Common Risk Factors in Currency Markets” – The Review of Financial Studies; Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan
- “Is Momentum Really Momentum” – Journal of Financial Economics; Robert Novy-Marx
- “Are Stocks Really Less Volatile in the Long Run?” – Journal of Finance; Lubos Pastor and Robert Stambaugh
- “Under-/Over-Valuation of the Stock Market and Cyclically-Adjusted Earnings” – International Finance; Marco Taboga
