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

Conference Code of Conduct

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
Discussant: John Y. Campbell, Harvard University and NBER
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
Discussant: Ekkehart Boehmer, Singapore Management University
10:00 am
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
Discussant: Michael S. Weisbach, The Ohio State University and NBER
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
Discussant: Kathleen Weiss Hanley, Lehigh University
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
Discussant: Kumar Venkataraman, Southern Methodist University
12:30 pm
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
Discussant: Anastassia Fedyk, University of California at Berkeley
2:15 pm
Tim Bollerslev, Duke University and NBER
Saketh Aleti, Duke University

News and Asset Pricing: A High-Frequency Anatomy of the SDF
Discussant: Yacine Aït-Sahalia, Princeton University and NBER
3:00 pm
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
Discussant: Nikolai Roussanov, University of Pennsylvania and NBER
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 (slides)
Discussant: Serhiy Kozak, University of Maryland
4:45 pm