A paper co-authored by Martin Lettau, the Kruttschnitt Family Chair in Financial Institutions, has been selected as the best empirical paper of 2021 by the Journal of Econometrics.
The paper, “Estimating Latent Asset Pricing Factor,” won the journal’s Dennis J. Aigner Award.
Published in 2021, the paper was co-authored by Markus Pelger of Stanford University. The researchers developed a new statistical method to find the most important risk factors in pricing assets, which is crucial for optimal portfolio and risk management.