2009 Headlines
O'Hara Wins Top Research Honor
Johnson School finance professor lands prize for her work on asset pricing
July 31, 2009 | Ithaca, NY | Maureen O'Hara , the Robert W. Purcell Professor of Management and professor of finance at the Johnson School at Cornell, and co-author David Easley, the Henry Scarborough Professor of Social Sciences at Cornell, captured the Western Finance Association's award for best paper in asset pricing. The prestigious NASDAQ OMX Prize went to O'Hara and Easley for their paper, "Liquidity and Valuation in an Uncertain World." The award was announced in June at the association's annual meeting. The paper is forthcoming in the Journal of Financial Economics .
In the paper, O'Hara and Easley present a model suggesting that lack of liquidity, like that that characterized the recent market crisis, arises from uncertainty. During the height of the crisis, there was little or no trade in a number of financial assets, even though bids and asks existed for these assets. The researchers argue that this new form of illiquidity makes bid and ask prices unsuitable metrics for establishing fair value of the assets involved.
This new research suggests that mid-point and bid-ask spread may be a better measure of fair value, in an uncertain world. The authors note that these alternative metrics are "better," but not necessarily "best," as every price is subject to some form of bias. "But the midpoint has the advantage that under reasonable conditions, it is closest to the notional value, and hence seems more consistent with the motivations underlying the fail value concept."
O'Hara is an expert in market microstructure theory, and authored a text book by that name. She is a three-time winner of the Smith-Breeden Prize for Distinguished Paper published in the Journal of Finance, as well as best paper honors from the Western Finance Association and Journal of Financial Intermediation.
In October 2009, O'Hara will assume the presidency of the Financial Management Association International, the largest professional finance organization. She is the first person to serve as president of each of the top-three professional organizations in finance. She served as president of the American Finance Association, from 2002 to 2003, and president of the Western Finance Association, from 1997 to 1998.
In addition to her teaching, research, and professional service, O'Hara also serves as Chairman of the Board of Directors of Investment Technology Group, Inc. (NYSE: ITG), a specialized agency brokerage and technology firm.
