Congratulations to Leeds School of Business’ assistant professor Shrihari Santosh for winning the Fama-DFA Prize for the Best Paper, published in 2020 by the Journal of Financial Economics in the areas of capital markets and asset pricing.
The paper, “Shrinking the Cross Section” co-authored by Santosh, Serhiy Kozak and Stefan Nagel, won first place in its category.
He and his co-authors used stochastic discount factors (SDFs) to summarize the cross-section of expected stock returns in a high-dimensional setting with a large number of characteristics and their interactions, using tools from machine learning combined with economically motivated objective functions.
“Personally, I view the prize as important external validation of my work. It is a great source of pride,” said Santosh.
The Fama-DFA Prize for Capital Markets and Asset Pricing is voted on each year by the readers of the JFE. The award is named after Eugene Fama as well as the investment advisory firm, Dimensional Fund Advisors.
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