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 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
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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, New York University 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 | |||