Big Data and Securities Markets

Itay Goldstein, Chester S. Spatt, and Mao Ye, Organizers

December 3-4, 2020

Conference Code of Conduct

Thursday, December 3
Meeting format: Authors, 20 minutes; discussants, 15 minutes; general discussion, 10 minutes.
10:55 am
11:00 am
Alberto G. Rossi, Georgetown University
Stephen Utkus, University of Pennsylvania

Who Benefits from Robo-advising? Evidence from Machine Learning
Discussant: Tarun Ramadorai, Imperial College London
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 (slides)
Discussant: Bryan T. Kelly, Yale University and NBER
12:30 pm
1:00 pm
Sean Cao, University of Maryland Robert H. Smith School of Business
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
Discussant: Lauren Cohen, Harvard University and NBER
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
Discussant: René M. Stulz, The Ohio State University and NBER
2:30 pm
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
Discussant: Christina Zhu, University of Pennsylvania
3:45 pm
Thomas Ernst, University of Maryland

Stock-Specific Price Discovery from ETFs (slides)
Discussant: Maureen O'Hara, Cornell University
4:30 pm
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
Discussant: Laura Veldkamp, Columbia University and NBER
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
Discussant: Kathleen Weiss Hanley, Lehigh University
12:30 pm
1:00 pm
Terrence Hendershott, University of California at Berkeley
Dan Li, Federal Reserve Board
Dmitry Livdan, University of California at Berkeley
Norman Schurhoff, University of Lausanne

True Cost of Immediacy (slides)
Discussant: Hendrik Bessembinder, Arizona State University
1:45 pm
Dermot Murphy, University of Illinois at Chicago
Edwin Hu, New York University

Vestigial Tails? Floor Brokers at the Close in Modern Electronic Markets
Discussant: Joel Hasbrouck, New York University
2:30 pm
3:00 pm
Tyler Beason, Virginia Tech
Sunil Wahal, Arizona State University

The Anatomy of Trading Algorithms
Discussant: Gideon Saar, Cornell University
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
Discussant: Charles M. Jones, Columbia University
4:30 pm