Skip to main content

2017 Sharpe Award

The JFQA editorial team is pleased to announce the winners of the annual William F. Sharpe Award for Scholarship in Financial Research.

The 2017 prize has been awarded to:

Zhi Da, University of Notre Dame
Dayong Huang, University of North Carolina at Greensboro
Hayong Yun, Michigan State University

for their paper Industrial Electricity Usage and Stock Returns,” published in the February 2017 issue (Vol. 52, No. 1) of the Journal of Financial and Quantitative Analysis.


The growth rate of industrial electricity usage predicts future stock returns up to 1 year with an R2 of 9%. High industrial electricity usage today predicts low stock returns in the future, consistent with a countercyclical risk premium. Industrial electricity usage tracks the output of the most cyclical sectors. Our findings bridge a gap between the asset pricing literature and the business cycle literature, which uses industrial electricity usage to gauge production and output in real time. Industrial electricity growth compares favorably with traditional financial variables, and it outperforms Cooper and Priestley’s output gap measure in real time.

Enjoy free access to the full paper until December 31, 2018. 

Additional links:
Discover more about the William F. Sharpe Award