Big Data: Long-Term Implications for Financial Markets and Firms
Organized by Itay Goldstein, Chester S. Spatt, and Mao Ye
Supported by the National Science Foundation
March 8, 2019
Royal Sonesta Hotel, 40 Edwin H. Land Blvd., Cambridge, MA
Thursday, March 7
7:00 pm
Dinner, Parkview Room, Royal Sonesta Hotel
Friday, March 8
8:00 am
Coffee and Pastries
FORMAT: 20 minutes for authors, 15 minutes for discussants and 5 minutes for general discussion
Financial Intermediation
8:30 am

Consumer-Lending Discrimination in the FinTech Era

Robert P. Bartlett III, Stanford University
Adair Morse, University of California, Berkeley and NBER
Richard Stanton, University of California, Berkeley
Nancy Wallace, University of California, Berkeley

Discussant:
Manju Puri, Duke University and NBER
9:10 am

High-Frequency Analysis of Financial Stability

Michael Gofman, University of Rochester
Sajjad Jafri, Queen's University
James T. Chapman, Bank of Canada

Discussant:
Antoine Martin, Federal Reserve Bank of New York
9:50 am
Break
Market Microstructure
10:10 am

Demand for Information, Uncertainty, and the Response of U.S. Treasury Securities to News

Hedi Benamar, Federal Reserve Board of Governors
Thierry Foucault, HEC School of Management
Clara Vega, Federal Reserve Board of Governors

Discussant:
Michael J. Fleming, Federal Reserve Bank of New York
10:50 am

Institutional Order Handling and Broker-Affiliated Trading Venues

Amber Anand, Syracuse University
Mehrdad Samadi, Federal Reserve Board of Governors
Jonathan Sokobin, Financial Industry Regulatory Authority
Kumar Venkataraman, Southern Methodist University

Discussant:
Gideon Saar, Cornell University
11:30 am

Microstructure in the Machine Age (slides)

David Easley, Cornell University
Marcos Lopez de Prado, AQR
Maureen O'Hara, Cornell University
Zhibai Zhang, NYU Tandon

Discussant:
Joel Hasbrouck, New York University
12:10 pm
Lunch
Asset Pricing
1:30 pm

Background Noise? TV Advertising Affects Real Time Investor Behavior

Jura Liaukonyte, Cornell University
Alminas Zaldokas, National University of Singapore

Discussant:
Lauren Cohen, Harvard University and NBER
2:10 pm

Predicting Returns with Text Data

Zheng Tracy Ke, Harvard University
Bryan T. Kelly, Yale University and NBER
Dacheng Xiu, University of Chicago and NBER

Discussant:
Tim Loughran, University of Notre Dame
2:50 pm
Break
Corporate Finance
3:10 pm

Selecting Directors Using Machine Learning

Isil Erel, The Ohio State University and NBER
Léa H. Stern, University of Washington
Chenhao Tan, University of Chicago
Michael S. Weisbach, The Ohio State University and NBER

Discussant:
Luigi Zingales, University of Chicago and NBER
3:50 pm

Stock Compensation and Employee Attention

Bo Cowgill, Columbia University
Eric Zitzewitz, Dartmouth College and NBER

Discussant:
Antoinette Schoar, Massachusetts Institute of Technology and NBER
4:30 pm
Adjourn