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," says Roll. "The CAPM has been subject to a 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."
Professors Roll and Levy’s work was recognized by a selection panel comprised of Nobel Prize winners Harry M. Markowitz, Robert C. Merton, Myron S. Scholes and William F. Sharpe. Sponsored jointly by the Journal of Investment Management and new Frontier Advisors, LLC, the Markowitz Award recognizes the impact of Dr. Markowitz’ work as a financial economist mathematician on both theoretical finance and the practice of asset management. It was established in 2010 to support future research and innovation in practical investment management. Papers are judged on their practical significance, technical excellence, and theoretical quality. Professors Roll and Levy received a $10,000 honorarium along with the award.
“This is critically important research for both investors and managers from one of the pioneering critics of CAPM, Professor Roll,” said Dr. Richard Michaud, president and CIO at New Frontier Advisors in a released statement. “The results imply that many standard analyses common in investment practice may be far more reliable than hitherto assumed.”
The Markowitz Award comes about a year after Roll received the Graham and Dodd Best Perspectives Award for his paper, "The Possible Misdiagnosis of a Crisis."