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Xavier Gabaix awarded American Finance Association Fischer Black Prize 2011
Sat, 07 May 2011 06:20:00 GMT
The American Finance Association is pleased to announce the award of the 2011 Fischer Black Prize to Xavier Gabaix, the Martin J. Gruber Professor of Finance at the New York University Stern School of Business.
The Fischer Black Prize is awarded biannually to a financial economist under age 40 for a body of original research that is relevant to finance practice as exemplified by the research of the late Fischer Black, the co-author of the seminal Black-Scholes option pricing model and other highly original contributions.
Professor Gabaix has many notable and highly original research contributions on a number of subjects in financial economics, including the level of compensation of corporate executives, and behaviorally influenced decision making and its influence on asset market behavior. In some of his work, he has cleverly exploited axiom-based models of the shapes of the tails of probability distributions. A hallmark of Professor Gabaix's research style is his propensity to take unexpected directions.
The committee charged with this year's selection consisted of:
- Darrell Duffie (Stanford University)
- Robert McDonald (Northwestern University)
- Laura Starks (University of Texas)
- Dimitri Vayanos (London School of Economics)
- Luigi Zingales (University of Chicago).
Previous Winners Include:
- Raghuram G. Rajan, 2003. For work on "the role of institutions in finance and their effects on economic growth."[7]
- Tobias J. Moskowitz, 2007. For "ingenious and careful use of newly available data to address fundamental questions in finance."[8]
- Harrison G. Hong, 2009.
No winner was announced in 2005.
Research by Xavier Gabaix includes:
"The Granular Origins of Aggregate Fluctuations" (2010), forthcoming, Econometrica, Technical Appendix, Data on the granular residual
When the distribution of firm sizes is fat-tailed, the central limit theorem breaks down, and idiosyncratic shocks to large firms explain a non-trivial fraction of aggregate fluctuations."The Effect of Risk on the CEO Market" with Alex Edmans (2010), forthcoming, Review of Financial Studies
Risk aversion causes distortions in talent allocation - risky firms hire less talented CEOs. Tractable market equilibrium allowing calibration of costs of corporate governance."The Area and Population of Cities: New Insights from a Different Perspective on Cities" with Hernan Rozenfeld, Diego Rybski, and Hernan Makse (2010), forthcoming, American Economic Review.
We build cities ''from the bottom up'' by clustering areas obtained from high-resolution data, and find that a beautiful Zipf's law for population and for areas, for cities above 12,000 inhabitants in the USA and 5,000 inhabitants in Great Britain."The Age of Reason: Financial Decisions over the Life-Cycle with Implications for Regulation", with Sumit Agarwal, John C. Driscoll, and David Laibson (2009), Brookings Papers on Economic Activity, vol. 2009, issue 2, p. 51-117.
The young and the old make the most mistakes, and people reach maximal performance at age 53."Power Laws in Economics and Finance", (2009), Annual Review of Economics, 1, p. 255-93.
Most "laws" in economics are power laws: a survey of theory and empirics on power laws."Power Laws", (2008), Entry for The New Palgrave Dictionary of Economics, 2nd Edition.
A short survey on power laws."Is CEO Pay Really Inefficient? A Survey of New Optimal Contracting Theories", with Alex Edmans (2009), European Financial Management, 15(3), p. 486-496.
"Why Has CEO Pay Increased So Much?", with Augustin Landier, Quarterly Journal of Economics, vol. 123(1), 2008, p. 49-100, Technical Appendix.
A tractable model of CEO pay. An upshot: the six-fold rise in CEO pay between 1980 and 2003 can be fully attributed to the six-fold increase in market capitalization of large companies during that period."Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market", with Arvind Krishnamurthy and Olivier Vigneron, Journal of Finance, vol. 62(2), April 2007, p. 557-595, Technical Appendix.
A "limits of arbitrage" model explains patterns of risk premia in MBS.
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