Kathy Valentine
CFA Institute - North America
434-951-5348
kathy.valentine@cfainstitute.org
Dori Pasternak
Ogilvy Public Relations - New York
212-880-5326
dori.pasternak@ogilvypr.com
Richard Roll Receives Third Graham and Dodd Award For Best Financial Analyst Journal Article of 2004
CHARLOTTESVILLE, Va., April 5, 2005—The CFA Institute Financial Analysts Journal announced today that Richard Roll, the University of California’s Anderson School of Management Japan Alumni chair in International Finance, has received the prestigious Graham and Dodd Award for his article “Empirical TIPS.”
This is the third time Roll has won a Graham and Dodd Award. In 1984 he won for "The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning" and again in 1988 for "The International Crash of October 1987."
Awarded by the FAJ’s advisory council and editorial board, the Graham and Dodd Award for excellence in research and financial writing is the publication’s highest honor. The FAJ is published by CFA Institute, the worldwide association of more than 70,000 financial securities analysts and investment managers.
The article, published in the January-February 2004 issue, describes how investor portfolios can be improved by the addition of U.S. Treasury Inflation-Indexed Securities, or TIPS. It investigates the correlations of TIPS returns with the returns on nominal bonds and with equity returns, TIPS real and effective nominal durations and changes in the volatility of TIPS over time. The analysis is also used to derive near-term and long-term inflation expectations of investors.
The Graham and Dodd Award, created in 1960 to honor Benjamin Graham’s and David L. Dodd’s enduring contributions to the field of investment analysis, is presented each year to the author or authors of the most outstanding article published in the Financial Analysts Journal that year. Past recipients have included such industry leaders as Peter L. Bernstein, William F. Sharpe, Fischer Black and Charles D. Ellis. In 2004, Clifford S. Asness, managing principal with AQR Capital Management in New York, received this prestigious recognition for his article “Surprise! Higher Dividends = Higher Earnings Growth.”
The Financial Analysts Journal advisory council and editorial board have also awarded three “Graham and Dodd Scroll Awards” to recognize additional outstanding articles published in 2004 and a “Best Perspective Award” to recognize the most timely and thought provoking opinion article of the year. Additionally, the FAJ introduced a new “Readers’ Choice” award this year to recognize the best article as determined by the publication’s readers.
The three articles distinguished with a Scroll Award are:
-
“TIPS, the Dual Duration, and the Pension Plan” (September/October
2004) by Laurence B. Siegel, director of policy research in the
Investment Division of The Ford Foundation, New York and M. Barton
Waring, managing director and head of the Client Advisory Group at
Barclays Global Investors, San Francisco
-
“Asset Allocation with Inflation-Protected Bonds” (January/February
2004) by S. P. Kothari, Gordon Y. Billard professor of Management and
head of the Department of Economics, Finance and Accounting at MIT
Sloan School of Management, Cambridge, Mass. and Jay Shanken, Goizueta
chair in Finance at Goizueta School of Business, Emory University,
Atlanta
- “Hedge Fund Benchmarks: A Risk-Based Approach” (September/October 2004) by William Fung, visiting research professor at the London Business School’s Centre for Hedge Fund Education and Research and David A. Hsieh, professor of finance at the Fuqua School of Business, Duke University, Durham, N.C.
Clifford S. Asness’s article, “Stock Options and the Lying Liars Who Don't Want to Expense Them,” (July/August 2004) received the Best Perspectives Award. Introduced in 2004, the Best Perspectives Award recognizes the timeliest and most thought provoking opinion article of the year.
John A. Doukas, Chansog (Francis) Kim and Christos Pantzalis won the inaugural Readers’ Choice Award for “Divergent Opinions and the Performance of Value Stocks” (November/December 2004). Doukas is professor of finance and Eminent Scholar at the Graduate School of Business, Old Dominion University, Norfolk, Va. Kim is associate professor of accounting at the City University of Hong Kong. Pantzalis is associate professor of finance at the University of South Florida, Tampa.
The 60-year-old Financial Analysts Journal is published six times a year. Its purpose is to advance the knowledge and understanding of the practice of investment management through the publication of high-quality, practitioner-relevant research. To celebrate its 60th anniversary, each issue of the FAJ contains special “reflections” pieces written by specially invited authors such as Abby Joseph Cohen, CFA, John C. Bogle and Gary P. Brinson, CFA. These articles will be compiled into a hard-bound anthology at the end of 2005. The award-winning FAJ articles are available online.
About CFA Institute
CFA Institute is the global, non-profit professional association
that administers the CFA curriculum and examination program worldwide
and, through its CFA Centre for Financial Market Integrity, sets
voluntary, ethics-based professional and performance-reporting standards
for the investment industry. CFA Institute has 75,000 members in 119
countries. Its membership includes the world’s 63,000 CFA
charterholders, as well as 130 affiliated professional societies in 51
countries and territories. CFA Institute is headquartered in
Charlottesville, Va., USA, with additional offices in London and Hong
Kong. CFA Institute was known as AIMR (Association for Investment
Management and Research) from 1990 to early 2004, and before that was two
separate organizations whose roots go back to 1947. More
information may be found at www.cfainstitute.org or by calling
1-800-247-8132 or 1-434-951-5499.