Virtual, July 6-8, 2022

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Session

Empirical Asset Pricing

Time:Thursday, July 7, 2022 8:00 - 9:45Location:Stream 3Session Chair:Asaf Manela, Washington University in St. Louis Zoom:

Pricing Errors and Cross-sectional Predictability of Corporate Bond Returns: the Role of Investor Sentiment

Xu Guo; Shenzhen University

Hai Lin; Victoria University of Wellington

Chunchi Wu; State University of New York at Buffalo

Guofu Zhou; Washington University in St. Louis

  Presenter: Xu Guo, Shenzhen University

  Discussant: Jennie Bai, Georgetown University

The Overnight Drift

Nina Boyarchenko; Federal Reserve Bank of New York

Lars Larsen; Copenhagen Business School

Paul Whelan; Copenhagen Business School

  Presenter: Paul Whelan, Copenhagen Business School

  Discussant: Terrence Hendershott, University of California, Berkeley

The Virtue of Complexity in Machine Learning Portfolios

Bryan Kelly; Yale University

Semyon Malamud; Ecole Polytechnique Federale de Lausanne

Kangying Zhou; Yale University

  Presenter: Bryan Kelly, Yale University

  Discussant: Eben Lazarus, Massachusetts Institute of Technology

Should Retail Investors Listen to Social Media Analysts? Evidence from Text-Implied Beliefs

Chukwuma Dim; Frankfurt School of Finance & Management

  Presenter: Chukwuma Dim, Frankfurt School of Finance & Management; George Washington University

  Discussant: Marina Niessner, The Wharton School

Put Away

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