Ryan Lewis, PhD candidate in Finance, London Business School, has won the inaugural AQR Fellowship Award
The AQR Fellowship Award is one of a series of awards presented by the AQR Asset Management Institute to recognise academic and research excellence in asset management among both London Business School students and rising scholars around the world.
He was presented the award by David Kabiller, Founding Principal of AQR Capital Management, at the Insight Summit 2015 held by London Business School’s AQR Asset Management Institute on 26 October. The annual award, which includes a prize of £10,000, recognises a PhD student demonstrating intellectual rigour, academic excellence and innovation. The award is open to London Business School PhD students in their fourth year of study with research interests in the field of asset management.
Ryan Lewis, PhD candidate in Finance, London Business School said: “I would like to thank the AQR Asset Management Institute for their generous sponsorship of PhD studies through the research award and funding of data purchases. The Institute’s support helps cement the symbiotic relationship between the academic study of financial markets and the organisations that participate in those markets.”
Ryan primarily researches the role of intermediaries in asset pricing where he has worked on the role of activist investors in the bankruptcy process. Distressed funds are able to obtain better outcomes for bond classes but demand a premium for doing so. The premium is highest when defaulted assets are abundant but activist wealth is low, leading to reduced post-default prices in recession states. His model accurately captures time series variation in post-default trading prices and returns to distressed investing, and improves the ability to match spreads vs a fixed recovery rate framework.
In related research Ryan examines more specifically this reorganisation process and how assets are allocated among various parties. There he documents the important role of prices in promoting bankruptcy efficiency.
Ryan has a separate line of research that explores scale in the Mutual Fund industry. He develops a measure to capture a funds pricing impact on purchases and sales and shows that funds which face constraints appear to diversify away from existing positions in response to inflows. When their assets increase, the same constrained funds experience significant underperformance relative to unconstrained funds over long horizons.
After studying Economics and Mathematics at Swarthmore College, Ryan worked in the Macroeconomics research division of the New York Federal Reserve Bank. Subsequently he moved to the private sector where he held roles including analyst at a distressed strategy hedge fund. His activities centred on enterprise valuation across a variety of industries and bankruptcy process risk assessment. Ryan is an active member of the CFA Institute.
View Ryan’s latest paper “Corporate Debt Markets and Recovery Rates with Vulture Investors”.
More about the awards.