Written on 17 October 2011.
The second prize went to Jonathan Lewellen of Darmouth College, Stefan Nagel of Stanford University and Jay Shanken of Emory University.
Entitled The Good News in Short Interest, the paper finds that while stocks with relatively high short interest subsequently experience negative abnormal returns, the effect can be transient and of debatable economic significance. In contrast, relatively heavily traded stocks with low short interest experience both statistically and economically significant positive abnormal returns, which are often larger than the negative returns observed for heavily shorted stocks. These results show that the positive information associated with low short interest, which is publicly available, is only slowly incorporated into prices, which raises a broader market efficiency issue. They also cast doubt on existing theories of the impact of short sale constraints.
The Fama-DFA Prizes are one of two sets of highlysought prizes awarded annually by the Journal of Financial Economics; the Jensen Prizes are awarded to the best papers in the areas of corporate finance and organisations. These prizes are named after founding editor Michael Jensen of Harvard University and advisory editor Eugene Fama of the University of Chicago, who have served the journal from its inception. Past winners of these prizes on the EDHECRisk Institute PhD in Finance faculty also include Professor Harrison Hong of Princeton University, Professor Florencio L�pez-de-Silanes of EDHEC Business School and Professor Pietro Veronesi of the University of Chicago.
The Journal of Financial Economics provides a specialised forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in capital markets, financial institutions, corporate finance, corporate governance and the economics of organisations. According to the Institute for Scientific Newsletter PhD in Finance June/August 2011 - 10 - Information, it is one of the top three journals in business finance in terms of impact factor and in the top-ten in the wider category of economics journals. Professor G. William Schwert of the University of Rochester currently serves as the journal's managing editor.