Notre Dame finance professor wins research award

Notre Dame finance professor wins research award

University of Notre Dame assistant finance professor Huaizhi Chen’s research paper took first place in the 17th annual Dr. Richard A. Crowell Prize, which recognizes new and cutting-edge academic research that connects theory and practice in the field of quantitative investing.

Chen, who researches in the area of behavioral finance at Notre Dame’s Mendoza College of Business, won for the paper “IQ from IP: Simplifying Search in Portfolio Choice.” The research examined the monitoring behavior of individual institutional investors by using web traffic on the Securities and Exchange Commission’s EDGAR servers to specific events on the stocks in their investment portfolios. The paper found that mutual fund managers track a specific subset of firms and insiders, and this tracking activity not only remains persistent over time but also has powerful implications for their portfolio choice and subsequent performance.

“I think the main contribution of the research is to understand how these active asset managers construct and manage their portfolios based on all of the information available,” said Chen. “In principle, there isn’t a lot of direct evidence that managers actively acquire information to be used in portfolio formation. Our paper provides a first step in understanding that.”

Prior to joining Mendoza’s faculty, Chen was a post-doctoral fellow at Harvard Business School. He earned bachelor’s degrees in mathematics and in economics, and a master’s degree in applied mathematics from Case Western Reserve University. He earned a master’s degree in finance and economics, and a doctoral degree in finance from London School of Economics and Political Science.

Chen’s co-authors include Lauren Cohen of Harvard Business School, Umit Gurun of the University of Texas at Dallas, Dong Lou of London School of Economics and Christopher Malloy of Harvard Business School.

The prize is awarded by PanAgora Asset Management, one of the world’s preeminent systematic quantitative investment firms. Papers are judged by a reading committee composed of senior members of PanAgora’s Quantitative Research Group on their originality, quality of exposition and analytical rigor.

Second-place prize was awarded to Roberto Gómez-Cram, The Wharton School, while third place went to Jun Li of the University of Texas at Dallas and Huijun Wang of the University of Delaware. 

Conceived in 2001, the Crowell Prize recognizes and awards new and cutting-edge academic research that connects theory and practice in the field of quantitative investment. Papers are judged by a Reading Committee that includes senior members of PanAgora’s Quantitative Research Group on their originality, quality of exposition and analytical rigor.

For more information about the Crowell Prize and this year’s winning papers, please visit www.panagora.com.