After considering almost 500 research papers, Whitebox Advisors, the $2.3 billion investment advisory based in Minneapolis, today chose the top 10 finalists for its $25,000 prize for the best financial research paper of 2011. The winner will be announced at a luncheon for guests and invited press on June 19th, 2012 in New York City.

“I am proud to say that all the finalists made significant contributions to our understanding of investing and securities markets,” said Andrew Redleaf, Founder and CEO of Whitebox Advisors. “Whitebox has always been committed to the notion that better ideas drive better investments. The researchers we honor today have done more than add to an interesting academic literature. They have shown the way to improve the quality of capital allocation, to make better use of our nation’s resources, and thus build a stronger economy for all Americans.”

The Whitebox Advisors Selected Research prize committee, comprised of Whitebox Founder and CEO, Andrew Redleaf; Global Head of Equity Trading, Dr. Jason Cross; Senior Quantitative Strategist, Dr. Blaise Morton; Sr. Portfolio Manager, Dr. Chris Bemis; and Chief Communications Officer and Director of Whitebox Selected Research, Richard Vigilante; selected the following 10 papers as finalists in the competition (listed in alphabetical order by the first listed author’s last name):

• “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

The two runners up will receive $5,000 per paper and the other finalists will receive $1,500 per paper. Additionally, the top ten papers will be featured in the inaugural Whitebox Advisors Annual Anthology of the Best Financial Research to be published in fall of 2012.

The winner will be announced by Whitebox CEO Andrew Redleaf on Tuesday, June 19th, 2012.

Source: World Beta and Whitebox Advisors