Matthew Spiegel Wins Best Paper Award

Matthew Spiegel, professor of finance, has been named co-winner of the annual Ross Best Paper Award from the journal Finance Research Letters for "Patterns in Cross Market Liquidity."

The paper, published in March 2008, was the journal’s inaugural "challenge" paper aimed at stimulating new areas for research. In it, Spiegel notes that academic research has largely focused on understanding liquidity differences within a market, for example, why one stock is more liquid than another. But little work has been done to explain cross market liquidity, or why some types of securities are more liquid than others, and why some markets exist while others do not.

Spiegel outlined patterns of liquidity that appear across markets, highlighting where the theories used to understand within market liquidity fall short of explaining cross market issues such as why stocks are more liquid than high-yield bonds or why commodity markets exist for orange juice and silver, but not for potatoes and steel. He argued that an overarching theory that explains the observed patterns in the market data is needed.

The Ross Best Paper Award is named after Stephen A. Ross, the Franco Modigliani Professor of Finance and Economics at the Sloan School of Management at MIT, to recognize his contributions to the field of finance.