The Bank of Canada will sponsor two sessions at the 2003 NFA meetings, a session on Empirical Studies of Canadian Capital Markets and a session on Interest Rate Modelling.  The first session will consider empirical work focusing on market microstructure, liquidity, volatility or valuation of Canadian fixed income, equity, foreign exchange and derivatives markets.  The second session will consider theoretical models of the yield curve and interest rate dynamics.  The best paper out of the two sessions will win a prize of 500 Can$.

The winner of the Bank of Canada research award is :

Susan E.K. Christoffersen (McGill University), 

Chris C. Geczy (University of Pennsylvania),

David K. Musto (University of Pennsylvania) and

Adam V. Reed (University of North Carolina)

“The Limits of Dividend Arbitrage: Implications for Cross-Border Investment”

 

 

The prize, rewarding academic excellence in the field of derivatives, will also give some weight to papers focusing specifically on derivatives traded at the Montreal Exchange.

         The award will be 1 000 Can$.

The winner of the Montreal Exchange Award is :

Peter Christoffersen (McGill University)

Steve Heston (University of Maryland) and Kris Jacobs (McGill University)

“Option Valuation With Conditional Skewness”

 

The winner of this year is :

Robert J. Elliott (University of Calgary) and

Craig Wilson (University of Saskatchewan)

"The Term Structure of Interest Rates in a Markov Setting”

 

Best Corporate Finance Paper - $500 award sponsored by McGraw-Hill Ryerson Limited

The winner of this year is :

Murray Carlson (University of British Columbia), 

Adlai Fisher (University of British Columbia) and 

Ron Giammarino (University of British Columbia)

“Corporate Investment and Asset Price Dynamics: Implications for the Cross Section of Returns”