Maryland Smith’s Serhiy Kozak won the 2020 Fama-DFA Prize for the best paper published in the Journal of Financial Economics in the area of capital markets and asset pricing. Kozak’s research, “Shrinking the Cross Section,” was published in the February 2020 issue of the journal.
Kozak, an assistant professor of finance, worked with Stefan Nagel of the University of Chicago and Shrihari Santosh of the University of Colorado on the research. It explains that a proper characterization of the investment opportunities in equity markets has to consider a large number of predictors jointly. To tackle this high-dimensional problem they adapt machine learning methods for the specific conditions in asset pricing.
Each year, Journal of Financial Economics subscribers vote for the best paper in each of two categories after the journal's editorial office has enumerated all articles and assigned them to the corporate finance and asset pricing areas. The award is named after influential economist Eugene Fama, a 2013 Nobel laureate in economics and co-founding advisory editor of the journal. The prize is also named for investment advisory firm Dimensional Fund Advisors, where Fama is a research director.
Kozak’s research focuses on embedding economic and asset pricing restrictions into machine learning methods to study the dynamics of asset prices. He earned his PhD at the University of Chicago in 2013.
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