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The Securities Industry and Financial Markets Association (SIFMA) and Financial Management Association International (FMA) today announced the winners of the 3rd annual prize for Best Dissertation Proposal for Fixed Income Research, and the 1st annual prize for Best Dissertation Proposal for Equity Research.
I-Hsuan Ethan Chiang, who will receive his Ph.D from Boston College in Spring 2008, is awarded the prize for Fixed-Income Research. His dissertation proposal, “Skewness & Co-Skewness in Bond Returns” explores skewness and co-skewness in discrete-horizon bond returns. Mr. Chiang’s analysis concludes that bond returns are skewed, and the contribution to systematic skewness explains the cross sectional variation in expected bond returns.
Yi Tang, who will be receiving his Ph.D from Baruch College, CUNY in May 2008, is the winner of the Equity Research award. His dissertation proposal, titled “Market Pricing of Economic Risks & Stock Returns” looked at the market prices of economic risks from the stock market and linking systematic economic risks to stock returns via carefully separating the cash flow effect from the pricing kernel effect. Mr. Tang’s analysis concludes that the market charges a positive price for the real output growth risk, but a negative price for the inflation risk.
“The sophisticated analysis presented by Mr. Chiang and Mr. Tang represents a deep understanding of the financial markets and the various drivers that impact the movement of the markets,” said Steve Davidson, vice president of capital markets research, SIFMA. “Our continuing support of the outstanding dissertation proposal awards in conjunction with the FMA represents SIFMA’s commitment to strengthen the links between the markets and academic research.”
SIFMA and FMA, International created this award to encourage and reward creative research in the fixed-income and equity research markets. The $3,000 prize awarded to each winner is designed to help Ph.D candidates examine all the facets of the fixed-income and equities markets.
