Gatton Scholars Earn Fama-DFA Top Prize

LEXINGTON, Ky. (Sept. 30, 2011) − A team of scholars in the University of Kentucky's Gatton College of Business and Economics recently brought home the top prize for best research paper published in the Journal of Financial Economics during the past year.

Brad Jordan, professor of finance and the Richard W. and Janis H. Furst Endowed Chair in Finance, was lead author on the study which focused on an area of capital markets and asset pricing.  Jordan's co-authors were Ekkehart Boehmer, professor of finance at EDHEC in Nice, France, and Zsuzsa R. Huszar, a recent Ph.D. graduate in economics in Gatton who is now at the prestigious National University of Singapore.

Jordan and his colleagues found that stocks with relatively high short interest subsequently experience negative abnormal returns, but the effect can be brief in duration and of debatable economic significance.  In contrast, stocks with low short interest are significantly undervalued, a finding at odds with  modern asset pricing models.

The Fama-DFA prize is named for Eugene F. Fama, a professor of finance at the University of Chicago who is widely recognized as the "father of modern finance."  DFA stands for Dimensional Fund Advisors.

"This prestigious award is a wonderful example of the outstanding work being done by our faculty and graduate students," said Merl Hackbart, interim dean of the Gatton College.

Jordan is in his 15th year at the Gatton College, after previously serving on the faculties of the University of Georgia and the University of Missouri-Columbia.