Mo wins European Finance Association Award

Haitao Mo Headshot

Haitao Mo

September 20, 2019

Haitao Mo, assistant professor in the Department of Finance, co-authored a paper that won the 2019 Spängler IQAM Best Paper in Investments Prize from the European Finance Association (EFA).

Which Factors?, was written by Mo as well as Kewei Hou from The Ohio State University and China Academy of Financial Research, Chen Xue from the University of Cincinnati, and Lu Zhang from The Ohio State University and National Bureau of Economic Research.

Factor models are the core driving forces behind modern investment management and recent industry developments such as ETFs. While Capital Asset Pricing Model (CAPM) is a classical example, many different models have been proposed recently, pioneered by the q-factor and q5 models which are developed by the same set of authors.

In the award-winning paper, the authors showed that those recently proposed, seemingly different factor models are closely related. In spanning tests, the q-factor model largely subsumes the Fama–French five- and six-factor models, and the q5 model subsumes the Stambaugh–Yuan four-factor model. Further, Stambaugh–Yuan “mispricing” factors are sensitive to the construction procedure, and once replicated via the traditional approach, are close to the q-factors, with correlations of 0.8 and 0.84. Finally, consistent with the investment-based asset pricing theory, valuation theory predicts a positive relation between the expected investment and the expected return.

The 2019 Spängler IQAM Best Paper Prize was awarded at the EFA Annual Meeting for the best paper on investment published in the journal of the European Finance Association, the Review of Finance. The prize-winning paper is selected by the Editorial Board of the journal.

About the European Finance Association

The European Finance Association is an international organization that works to serve its community members based in Europe and the rest of the world. The EFA also acts as an evolving professional network for the exchange of ideas, expertise, news and knowledge in finance. The European Finance Association’s mission is to, “foster a professional society for academics, practitioners, and doctoral students in the greater field of Finance, who are interested in research areas such as financial management and financial theory along with their applications.”

About the Department of Finance

The Department of Finance prepares students for careers in investments through coursework related to the program and helps them develop knowledge in studies related to real estate, risk management, insurance and business law. The finance faculty has compiled a strong record of excellence in research and teaching, creating exciting educational opportunities for students. Additionally, major media outlets seek out faculty members often because of their expertise in the financial world. For more information, visit our home page or call 225-578-6291.


Elizabeth Eaton
E. J. Ourso College of Business