Richard Roll, UCLA Anderson’s Joel Fried Chair in Applied Finance, has been awarded the 2012 Harry M. Markowitz Award by the Journal of Investment Management and New Frontier Advisors.
Roll and his co-author, Moshe Levy of the Jerusalem School of Business Administration at Hebrew University of Jerusalem, were recognized for their paper, “A New Perspective on the Validity of the CAPM: Still Alive and Well.” The paper demonstrates that “the Capital Asset Pricing Model (CAPM) cannot be empirically rejected, in spite of the many academic studies that suggest otherwise.”
"I'm both surprised and very pleased to have received the Markowitz Award," said Roll. "The CAPM has been subject to lot of criticism over the years. We developed a different kind of model as a way to empirically test it which provides more support for the CAPM than previous papers. If the paper is correct in its findings, then practioners may use the CAPM with more confidence."
