The Quantitative Research Group at PanAgora Asset Management has awarded Wing Wah Tham with the 2014 Crowell Second Prize for his paper “Market Illiquidity, Funding Liquidity, and Bond Risk Premia”, with Elvira Sojli and Kees Bouwman. In the words of the jury, “Your paper and presentation were truly outstanding and deserving this recognition. It’s quality of research such as yours, which contributes so much to the field of quantitative asset management.”
Wing Wah Tham is an Assistant Professor of Financial Econometrics and a Marie Curie Fellow at Erasmus School of Economics, Erasmus University (ESE). Elvira Sojli is an Assistant Professor of Finance and a Marie Curie Fellow at Rotterdam School of Management, Erasmus University (RSM). Kees E. Bouwman is a former Assistant Professor in Financial Econometrics at Erasmus School of Economics and a senior analyst from Cardano.
In this paper, Sojli and co-authors Kees E. Bouwman and Wing Wah Tham argue that stock market illiquidity is a timely variable that is related to “flight-to-quality" episodes and might contain information about expected future business conditions through funding liquidity and investment channels.
Awarded since 2001, the Crowell Prize is bestowed by PanAgora Asset Management to the best paper in the field of quantitative investment and is named after the late Dr. Richard A. Crowell, the founder of PanAgora and a pioneer in the field of quantitative investing.
Founded in 1985, Boston-based PanAgora provides quantitative, structured investment strategies for their clients and has more than $17 billion in assets under management. The Crowell Prize competition is designed to provide a forum for new research in quantitative investing that bridges the gap between theory and practice.