In September 2024, the European Finance Association (EFA) awarded the IQAM Runner-up Prize 2024 to NES Professor Anna Obizhaeva and her co-author Albert Kyle (University of Maryland) for their paper “Large Bets and Stock Market Crashes”.
The IQAM Prize, formerly known as the Spängler-IQAM Prize, has been awarded annually for the last 14 years to authors of the best investment papers published in the past year in the journal of the European Finance Association, Review of Finance, which is considered the top finance journal in Europe. Papers are selected and nominated by the journal editorial board.
In their research “Large Bets and Stock Market Crashes,” the authors propose a new approach to investigating stock market crashes through the lens of market microstructure invariance, a conceptual framework developed by the authors. The study further offers several practical insights about why stock market crashes happen, how to prevent them if possible, and how to respond to them if they occur.
The paper was published in Review of Finance in November 2023.