Big Data and Securities Markets
Itay Goldstein, Chester S. Spatt, and Mao Ye, Organizers
January 13, 2023
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 |
Igor Makarov, London School of Economics Shimon Kogan, Reichman University Marina Niessner, Indiana University Antoinette Schoar, Massachusetts Institute of Technology and NBER Are Cryptos Different? Evidence from Retail Trading
|
|||
| 9:15 am |
Christopher Schwarz, University of California at Irvine Brad Barber, University of California at Davis Xing Huang, Washington University in St. Louis Philippe Jorion, University of California at Irvine Terrance T. Odean, University of California at Berkeley The “Actual Retail Price” of Equity Trades
|
|||
| 10:00 am | Break | |||
| Corporate Finance and Financial Intermediaries | ||||
| 10:15 am |
Ian D. Gow, University of Melbourne David Larcker, Stanford University Anastasia A. Zakolyukina, University of Chicago How Important Is Corporate Governance? Evidence from Machine Learning
|
|||
| 11:00 am |
Rainer Haselmann, Goethe University Frankfurt and SAFE Christian Leuz, University of Chicago and NBER Sebastian Schreiber, Goethe University Frankfurt Know Your Customer: Informed Trading by Banks
|
|||
| 11:45 am |
Mahyar Kargar, University of Illinois at 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 Sequential Search for Corporate Bonds
|
|||
| 12:30 pm | Lunch | |||
| News | ||||
| 1:30 pm |
David Hirshleifer, University of Southern California and NBER Lin Peng, Baruch College Qiguang Wang, Hong Kong Baptist University News Diffusion in Social Networks and Stock Market Reactions
|
|||
| 2:15 pm |
Tim Bollerslev, Duke University and NBER Saketh Aleti, Duke University News and Asset Pricing: A High-Frequency Anatomy of the SDF
|
|||
| 3:00 pm | Break | |||
| Cross-Sectional Asset Pricing | ||||
| 3:15 pm |
Antoine Didisheim, Department of Finance, University of Lausanne Barry Ke, Yale School of Management Bryan T. Kelly, Yale University and NBER Semyon Malamud, Swiss Finance Institute Complexity in the Cross-Section
|
|||
| 4:00 pm |
Svetlana Bryzgalova, London Business School Sven Lerner, Stanford University Martin Lettau, University of California, Berkeley and NBER Markus Pelger, Stanford University Missing Financial Data
|
|||
| 4:45 pm | Adjourn | |||