Texas Tech University

Dr. Myers Wins JFQA William F. Sharpe Award

Trevor Bell

November 23, 2015

Dr. Brett Myers, assistant professor in the Area of Finance, won the William F. Sharpe Award in the 2014 volume of the Journal of Financial and Quantitative Analysis (JFQA) for his paper, "How Does the Market Value Toxic Assets." The award recognizes researchers who, through their articles published in the JFQA, have most contributed to the understanding of important areas of financial economics. The paper was co-authored with Dr. Francis Longstaff from UCLA Anderson School of Management.

The paper investigates the valuation of what is possibly the most toxic of all toxic assets: the equity tranche of a collateralized debt obligation (CDO). In theory, CDO equity should be similar in nature to bank stock since both represent residual claims on a portfolio of loans. The researchers find that CDO equity returns are much more related to stock returns than to fixed income returns. CDO equity returns track the returns of financial stocks much more closely than any other industry.

For more information about the paper or his research interests, Dr. Myers can be reached at brett.myers@ttu.edu.

This supports the efforts outlined in the Rawls College of Business Strategic Plan. Learn more about the LEADER 2020 Strategic Plan and follow our progress on Twitter at #RawlsLeads.