IQAM-Forschungspreis 2024
Deka IQAM Research Prize 2024
DekaBank’s private Institute for Quantitative Capital Market Research awarded a research prize for the fifth time in 2024
Every two years, the Deka-IQAM Research Institute honors excellent research work in the field of capital market research. The time has come again on November 19, 2024. The best works were honored for the fifth time.
From the large number of papers submitted, three studies particularly impressed the scientific advisory board of Deka-IQAM Research. The six-member committee assessed the papers submitted from all over the world based on both their theoretical contribution and their practical relevance.
The following works were honored:
The Prize Winners
| 1. Prize: „Narrative Attention Pricing” | Hojoon Lee, Xiaoxia Lou, Gideon Ozik, Ronnie Sadka (EDHEC Business School |
| 2. Prize: “Hedging Climate Change Risk: A Real-time Market Attention Approach” | Yang Cao, Miao Liu, Rachel Xi Zhang (Carroll School of Management, Boston College) |
| 3. Prize: „Growing the Efficient Frontier on Panel Trees“ | Lin William Cong, Guanhao Feng, Jingyu He, Xin He (Cornell University SC Johnson College of Business and NBER) |
From left to right: Dr. Michael Wegener, Dr. Matthias Danne, the prize winners Gideon Ozik und Miao Liu sowie Dr. Ulrich Neugebauer, Dr. Dominik Wolff und Valery Trosdorf
Trends influence share prices: This is the conclusion of the study “Narrative Attention Pricing” by Hojoon Lee, Xiaoxia Lou, Gideon Ozik and Ronnie Sadka from the EDHEC Business School in France. The team has analyzed hundreds of news articles since 2013 and identified around 350 trends. These include terms such as cloud computing, renewable energy, social media and national security.
The authors of the study have calculated for each share whether the share price is influenced negatively or positively by the topic. The shares are then sorted according to this influencing factor and so-called long-short portfolios are formed for each theme. The difference in the returns of long and short portfolios averages 7 percent. This has shown that trends have a significant influence on share returns and can potentially be helpful for share selection in fund management.
Second place went to the study “Hedging Climate Change Risk: A Real-time Market Attention Approach”. The authors from the Carroll School of Management at Boston College present a new method for measuring climate risks. By linking earnings calls, in which listed companies discuss the financial results of the last reporting period, with share price data, the team was able to measure the loss and profit opportunities of companies on climate risks.
The top 3 is completed by a study on estimating the efficiency lines of equity portfolios