Harry Mamaysky
Professor of Professional Practice in the Faculty of Business
Finance
Faculty Director
Program for Financial Studies
Joined CBS in 2015
Office:
1153
Kravis
Phone:
212-854-9002
E-mail:
[email protected]
Personal Website
Curriculum Vitae
Biography
Harry Mamaysky is a Professor of Professional Practice at Columbia Business School, where he serves as the Director of the Program for Financial Studies. He is also on the Steering Committee of the Columbia-IBM Center for Blockchain and Technology. Harry teaches capital markets and asset pricing to MBA, Masters and PhD students, as well as Executive Education courses on the use of text data in finance, and on corporate bonds. He has consulted for a quantitative investment firm and for a nationally recognized statistical rating organization.
Prior to his return to academia, Harry founded the Systemic Risk Group at Citigroup and served as a member of the firm's Risk Executive Committee. Previous to that, he was a senior portfolio manager in Citi Principal Strategies with a focus on relative value credit trading. He has held positions with Old Lane, Morgan Stanley, and Citicorp. He was also an Assistant Professor of Finance at the Yale School of Management during the period 2000–02.
Harry’s research focuses on equity, exchange rate, volatility, and credit markets, on market microstructure, and on the role of information in the trading process. Harry leads the News & Finance research initiative of Columbia’s Program of Financial Studies, and has used large textual data sets, including news articles, earnings call transcripts, and central bank communications, in his research. His work has appeared in leading academic journals, including the Journal of Finance, the Journal of Political Economy, the Review of Financial Studies, and the Journal of Financial Economics.
Harry earned his PhD in finance from the Massachusetts Institute of Technology. He holds BS and MS degrees in computer science from Brown University.
Teaching
Spring 2022
Fall 2021
Fall 2020
Capital Markets & Investments
(MBA)
(PhD) Asset Pricing I
(PHD)
Fall 2019
Capital Markets & Investments
(MBA)
(PhD) Asset Pricing I
(PHD)
Spring 2018
Capital Markets & Investments
(MBA)
Fall 2018
Capital Markets & Investments
(MBA)
(PhD) Asset Pricing I
(PHD)
Research
Journal articles
Investor Information Choice with Macro and Micro Information
In Review of Asset Pricing Studies
(2022)
Coauthor(s): Paul Glasserman, Harry Mamaysky
Choosing News Topics to Explain Stock Market Returns
In Proceedings of the ACM International Conference on AI in Finance (ICAIF-2020)
(2020)
Coauthor(s): Paul Glasserman, Kriste Krstovski, Harry Mamaysky, Paul Laliberte
Does unusual news forecast market stress?
In Journal of Financial and Quantitative Analysis
(2019)
Coauthor(s): Paul Glasserman, Harry Mamaysky
How News and Its Context Drive Risk and Returns Around the World
In Journal of Financial Economics
(2019)
Coauthor(s): Charles Calomiris, Harry Mamaysky
The time horizon of price responses to quantitative easing
In Journal of Banking and Finance
(2018)
Coauthor(s): Harry Mamaysky
How useful are aggregate measures of systemic risk?
In Journal of Alternative Investments
(2016)
Coauthor(s): Harry Mamaysky
Estimating the dynamics of mutual fund alphas and betas
In Review of Financial Studies
(2008)
Coauthor(s): Harry Mamaysky, Matthew Spiegel, Hong Zhang
Improved forecasting of mutual fund alphas and betas
In Review of Finance
(2007)
Coauthor(s): Harry Mamaysky, Matthew Spiegel, Hong Zhang
Dynamic trading policies with price impact
In Journal of Economic Dynamics & Control
(2005)
Coauthor(s): Hua He, Harry Mamaysky
Asset prices and trading volume under fixed transactions costs
In Journal of Political Economy
(2004)
Coauthor(s): Andrew Lo, Harry Mamaysky, Jiang Wang
Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation
In Journal of Finance
(2000)
Coauthor(s): Andrew Lo, Harry Mamaysky, Jiang Wang
Working papers
News and Markets in the Time of COVID-19
(2021)
Coauthor(s): Harry Mamaysky
Dynamic Information Regimes in Financial Markets
(2021)
Coauthor(s): Paul Glasserman, Harry Mamaysky, Yiwen Shen
Measuring the Cost of Regulation: A Text-Based Approach
(2020)
Coauthor(s): Charles Calomiris, Harry Mamaysky, Ruoke Yang
Time Variation in the News-Returns Relationship
(2019)
Coauthor(s): Paul Glasserman, Fulin Li, Harry Mamaysky
Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes
(2019)
Coauthor(s): Charles Calomiris, Harry Mamaysky