Big Data and Securities Markets
Itay Goldstein, Chester S. Spatt, and Mao Ye, Organizers
December 3-4, 2020
Supported by the National Science Foundation, in conjunction with the Review of Financial Studies
| Thursday, December 3 | ||||
| Meeting format: Authors, 20 minutes; discussants, 15 minutes; general discussion, 10 minutes. | ||||
| 10:55 am | Welcome | |||
| 11:00 am |
Alberto G. Rossi, Georgetown University Stephen Utkus, University of Pennsylvania Who Benefits from Robo-advising? Evidence from Machine Learning
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| 11:45 am |
Jules H. van Binsbergen, University of Pennsylvania and NBER Xiao Han, Bayes Business School, City, University of London Alejandro Lopez-Lira, University of Florida Man vs. Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases
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| 12:30 pm | Break | |||
| 1:00 pm |
Sean Cao, University of Maryland Wei Jiang, Emory University and NBER Baozhong Yang, Georgia State University Alan L. Zhang, Florida International University How to Talk When a Machine is Listening: Corporate Disclosure in the Age of AI
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| 1:45 pm |
AJ Yuan Chen, University of Southern California Gerard Hoberg, University of Southern California Vojislav Maksimovic, University of Maryland Life Cycles of Firm Disclosures
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| 2:30 pm | Break | |||
| 3:00 pm |
William C. Gerken, University of Kentucky Marcus O. Painter, Saint Louis University The Value of Differing Points of View: Evidence from Financial Analysts' Geographic Diversity
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| 3:45 pm |
Thomas Ernst, University of Maryland Stock-Specific Price Discovery from ETFs
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| 4:30 pm | Adjourn | |||
| Friday, December 4 | ||||
| 11:00 am |
Laurent Fresard, University of Lugano and SFI Thierry Foucault, HEC School of Management Olivier Dessaint, INSEAD Does Big Data Improve Financial Forecasting? The Horizon Effect
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| 11:45 am |
J. Anthony Cookson, University of Colorado Katie Moon, University of Colorado Joonki Noh, Case Western Reserve University Imprecise and Informative: Lessons from Market Reactions to Imprecise Disclosure
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| 12:30 pm | Break | |||
| 1:00 pm |
Terrence Hendershott, University of California at Berkeley Dan Li, Federal Reserve Board Dmitry Livdan, University of California, Berkeley Norman Schurhoff, University of Lausanne True Cost of Immediacy
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| 1:45 pm |
Dermot Murphy, University of Illinois at Chicago Edwin Hu, University of Virginia School of Law Vestigial Tails? Floor Brokers at the Close in Modern Electronic Markets
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| 2:30 pm | Break | |||
| 3:00 pm |
Tyler Beason, Virginia Tech Sunil Wahal, Arizona State University The Anatomy of Trading Algorithms
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| 3:45 pm |
Talis Putnins, University of Technology, Sydney Joseph Barbara, Australian Securities and Investments Commission The Good, the Bad, and the Ugly: How Algorithmic Traders Impact Institutional Trading Costs
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| 4:30 pm | Adjourn | |||