Big Data and Securities Markets
Organized by Itay Goldstein, Chester S. Spatt, and Mao Ye
Supported by the National Science Foundation
January 13, 2023
Royal Sonesta Hotel, Cambridge, MA
Format: 20 minutes for presenter; 15 minutes for the discussant; and 10 minutes of Q&A
Thursday, January 12
7:00 pm
Dinner, Royal Sonesta Hotel, Parkview Room
Friday, January 13
8:00 am
Continental breakfast
Retail Traders
8:30 am

Are Cryptos Different? Evidence from Retail Trading

Igor Makarov, London School of Economics and Political Science (LSE)
Shimon Kogan, Reichman University
Marina Niessner, Indiana University
Antoinette Schoar, Massachusetts Institute of Technology and NBER

Discussant:
John Y. Campbell, Harvard University and NBER
9:15 am

The “Actual Retail Price” of Equity Trades

Christopher Schwarz, University of California, Irvine
Brad Barber, University of California, Davis
Xing Huang, Cornell University
Philippe Jorion, University of California, Irvine
Terrance T. Odean, University of California, Berkeley

Discussant:
Ekkehart Boehmer, Singapore Management University
10:00 am
Break
Corporate Finance and Financial Intermediaries
10:15 am

How Important Is Corporate Governance? Evidence from Machine Learning

Ian D. Gow, University of Melbourne
David Larcker, Stanford University
Anastasia A. Zakolyukina, University of Chicago

Discussant:
Michael S. Weisbach, The Ohio State University and NBER
11:00 am

Know Your Customer: Informed Trading by Banks

Rainer Haselmann, Goethe University Frankfurt
Christian Leuz, University of Chicago and NBER
Sebastian Schreiber, Goethe University Frankfurt

Discussant:
Kathleen Hanley, Lehigh University
11:45 am

Sequential Search for Corporate Bonds

Mahyar Kargar, University of Illinois Urbana-Champaign
Sebastien Plante, University of Wisconsin - Madison
Benjamin Lester, Federal Reserve Bank of Philadelphia
Pierre-Olivier Weill, University of California, Los Angeles and NBER

Discussant:
Kumar Venkataraman, Southern Methodist University
12:30 pm
Lunch
News
1:30 pm

News Diffusion in Social Networks and Stock Market Reactions

David Hirshleifer, University of Southern California and NBER
Lin Peng, Baruch College of the City University of New York
Qiguang Wang, Hong Kong Baptist University (HKBU)

Discussant:
Anastassia Fedyk, University of California, Berkeley
2:15 pm

News and Asset Pricing: A High-Frequency Anatomy of the SDF

Tim Bollerslev, Duke University and NBER
Saketh Aleti, Duke University

Discussant:
Yacine Aït-Sahalia, Princeton University and NBER
3:00 pm
Break
Cross-Sectional Asset Pricing
3:15 pm

Complexity in the Cross-Section

Antoine Didisheim, Department of Finance, University of Lausanne
Barry Ke, Yale University
Bryan T. Kelly, Yale University and NBER
Semyon Malamud, Swiss Finance Institute

Discussant:
Nikolai Roussanov, University of Pennsylvania and NBER
4:00 pm

Missing Financial Data (slides)

Svetlana Bryzgalova, London Business School
Sven Lerner, Stanford University
Martin Lettau, University of California, Berkeley and NBER
Markus Pelger, Stanford University and NBER

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