Robert Korajczyk wins Crowell Prize for stock return study

4/10/2009 - Research on intraday predictability of stock returns has earned Kellogg School professor Robert Korajczyk the Dr. Richard A. Crowell Memorial Prize.

Korajczyk was recognized for his investigation of stock returns over half-hour periods. In the working paper, titled “Intraday Patterns in the Cross-Section of Stock Returns,” the Kellogg professor compares this data to previous returns. One striking discovery: stocks whose returns were higher at a given time of day in the past (up to 40 trading days ago) tend to have higher returns at the same time of day today.

The paper was co-authored by University of Maryland professor Steven L. Heston and Boston College professor Ronnie Sadka (Kellogg PhD ’03).

“The results suggest that some investors’ trading patterns induce some predictability in stock prices,” said Korajczyk, the Harry G. Guthmann Professor of Finance and director of the Zell Center for Risk Research. “The nature of the predictability is of most use to institutional investors, particularly those who engage in high-frequency, algorithmic trading. They can use the results to time their trading programs to avoid some trading costs associated with predictability in prices.”

Awarded since 2001, the Crowell Prize is bestowed by PanAgora Asset Management to the best paper in the field of quantitative investment and is named after the late Dr. Richard A. Crowell, the founder of PanAgora and a pioneer in the field of quantitative investing.

Founded in 1985, Boston-based PanAgora provides quantitative, structured investment strategies for their clients and has more than $17 billion in assets under management. The Crowell Prize competition is designed to provide a forum for new research in quantitative investing that bridges the gap between theory and practice.

Other Kellogg faculty members who have been recognized in the Crowell Prize competition include Assistant Professor of Finance Dimitris Papanikolaou who in 2008 was awarded second place for his paper on sources of systematic risk.

“It is certainly an honor to receive the Crowell Prize,” Korajczyk said. “It is an indication that Kellogg is producing research that is relevant and timely for practitioners.”