Big Data and Securities Markets
Organized by Itay Goldstein, Chester S. Spatt, and Mao Ye
Supported by the National Science Foundation
December 1, 2023
Marriott Cambridge, 50 Broadway, Cambridge, MA 02142
Format: Presenters: 20 minutes; Discussants: 15 minutes; General Discussion: 10 minutes
Friday, December 1
8:00 am
Continental Breakfast
8:29 am
News and Price Informativeness
8:30 am

Managerial Learning from Decoding Noisy Stock Prices: New(s) Evidence From Billions of Internet Article Reads

Alan Kwan, Hong Kong University
Tse-Chun Lin, The University of Hong Kong (HKU)
Po-Yu Liu, National Taiwan University

Discussant:
Olivier Dessaint, INSEAD
9:15 am

Media Narratives and Price Informativeness

Chukwuma Dim, The George Washington University
Francesco Sangiorgi, Frankfurt School of Finance and Management
Grigory Vilkov, Frankfurt School of Finance and Management

Discussant:
William N. Goetzmann, Yale University and NBER
10:00 am
Break
10:14 am
Corporate Finance
10:15 am

Covenant Violations, Loan Amendments, and Financial Distress in US Publicly Listed Firms: A Machine Learning Approach

Vanessa Krockenberger, Frankfurt School of Finance & Management
Anthony Saunders, New York University
Sascha Steffen, Frankfurt School of Finance and Management
Verhoff Paulina, Frankfurt School of Finance & Management

Discussant:
Sudheer Chava, Georgia Institute of Technology
11:00 am

Leaky Director Networks and Innovation Herding

Luis Felipe Cabezon, Virginia Polytechnic Institute and State University
Gerard Hoberg, University of Southern California

Discussant:
Eric C. So, Massachusetts Institute of Technology
11:45 am
Lunch
12:44 pm
Mutual Funds
12:45 pm

Fund Flows and Income Risk of Fund Managers

Xiao Cen, University of Minnesota
Winston Wei Dou, University of Pennsylvania and NBER
Leonid Kogan, Massachusetts Institute of Technology and NBER
Wei Wu, Texas A&M University

Discussant:
Stijn Van Nieuwerburgh, Columbia University and NBER
1:30 pm

Displaced by Big Data: Evidence from Active Fund Managers

Maxime Bonelli, London Business School
Thierry Foucault, HEC School of Management

Discussant:
Russ Wermers, University of Maryland at College Park
2:15 pm
Break
2:29 pm
Generative AI and Finance
2:30 pm

Generative AI and Firm Values

Andrea L. Eisfeldt, University of California, Los Angeles and NBER
Gregor Schubert, University of California, Los Angeles
Bledi Taska, SkyHive
Miao Ben Zhang, University of Southern California

Discussant:
Tania Babina, University of Maryland, College Park and NBER
3:15 pm

ChatGPT and Corporate Policies

Manish Jha, Georgia State University
Jialin Qian, Rochester Institute of Technology
Michael Weber, Purdue University and NBER
Baozhong Yang, Georgia State University

Discussant:
Gordon M. Phillips, Dartmouth College and NBER
4:00 pm

Asset Embeddings

Xavier Gabaix, Harvard University and NBER
Ralph S. J. Koijen, University of Chicago and NBER
Motohiro Yogo, Princeton University and NBER

Discussant:
Serhiy Kozak, University of Maryland, College Park
4:45 pm
Adjourn