Yukun Liu, a Ph.D. student in his final year, is the recipient of two prestigious awards for his research work: The 2018 BlackRock Applied Research Award, and the Jack Treynor Prize presented by the Institute for Quantitative Research in Finance (Q-Group).
The BlackRock Applied Research Award was given to Liu for his paper “Labor-Based Asset Pricing,” which develops a labor-based asset pricing model to empirically and theoretically study how expectations of returns and cash flows are captured by firms’ labor search decisions.
“It is a well-deserved prize,” said Economics Professor Aleh Tsyvinski who advises Liu. “Toby and I praise his originality,” he continued, referring to School of Management Professor of Finance, Toby Moskowitz, who also advises Liu.
In a letter from Antonio Baldaque da Silva, BlackRock Chief Risk Strategist, he said, “Liu’s research makes a very nice contribution to asset pricing, improving our understanding of both cross-sectional and time-series return variation, and also contributes to the macro-labor literature.”
Continuing, da Silva said, “Using a novel dataset of job vacancy postings, Liu shows that vacancy rates negatively predict stock returns and positively predict cash flows across firms and across industries. He then takes the results at the aggregate time-series level, suggesting a measure that strongly predicts aggregate stock and bond market returns, even in the presence of other known predictors studied in the literature.”
The BlackRock Applied Research Award recognizes the top five job market papers submitted by Ph.D. candidates on a practical topic pertaining to financial markets, economics, investment management, or risk management, and comes with a $25,000 prize. A complete list of award papers and recipients can be found on the BlackRock award page.
The Jack Treynor Prize was awarded to Liu and his coauthor Sissi Xi Wu from New York University for their paper, “Labor Market Competitor Network and the Transmission of Shocks.” The paper was one of three prize winners out of 12 finalists and 120 total submissions.
The Jack Treynor Prize recognizes superior academic working papers with potential applications in the fields of investment management and financial markets. Each year, the Q-Group awards three prizes for prepublication working papers produced by post-doctoral researchers who are employed full-time by academic institutions.
Liu and the other two winning papers, including one coauthored by William Goetzmann, Edwin J. Beinecke Professor of Management and Professor of Economics, will be recognized during a dinner at the Q-Group spring 2019 meeting in April. Prize winners are also invited to present their research at the Q Group spring conference and are acknowledged in the Financial Analysts Journal. A complete list of award papers and recipients can be found on the Jack Treynor Prize Winners page.