Tomasz Piskorski, Edward S. Gordon Associate Professor of Real Estate at Columbia Business School, has been named a co-recipient of the 2013 AQR Insight Award for his research on how to identify and quantify misreported loans in the $2 trillion market for private mortgage-backed securities. The award, sponsored by AQR Capital Management, recognizes unpublished research papers that provide significant, new practical insights for tax-exempt institutional or taxable investor portfolios.
The award recognizes Professor Piskorski, James Witkin of Columbia Business School, and Amit Seru of the University of Chicago Booth School of Business, for their paper “Asset Quality Misrepresentation by Financial Intermediaries: Evidence from RMBS Market.” This work was made possible in part due to generous research support of the Paul Milstein Center for Real Estate at Columbia Business School.
Piskorski, Seru, and Witkin constructed two measures of misrepresentation of asset quality — misreported occupancy status of borrowers and misreported second liens — by comparing the characteristics of mortgages disclosed to the investors at the time of sale with actual characteristics of these loans. About 10 percent of mortgages sold by intermediaries from 2005 to 2007 contained false information, much of which could be traced to financial institutions. Investors then used that false information when pricing the assets.
“We are delighted to have our paper selected for this honor,” said Professor Piskorski, who teaches real estate finance at Columbia Business School. “This new award is among the most prestigious recognizing academic finance papers. We hope that our work will lead to regulation on disclosure among lenders, underwriters, and investors and improvements in the securitization market.”
Among hundreds of submissions from 23 countries, the AQR Insight Award Committee chose five finalists, who presented their research in person on April 25 in Greenwich, Connecticut. Piskorski, Witkin, and Seru will share the $100,000 AQR Insight Award prize with Martin Lettau and Michael Weber of the Haas School of Business and Matteo Maggiori of the New York University Stern School of Business for research predicting market returns for currencies and other asset classes.
Though many academic finance papers are written each year, the AQR Insight Award is given to the research that best addresses the real-world challenges investors face in asset allocation, security selection, portfolio implementation, risk management, and other areas, the company said. This is the second annual AQR Insight Award.
AQR Capital Management is a global investment management firm employing a disciplined and analytical research process to macroeconomic and fundamental data.