6th Annual News and Finance Conference

Friday, April 1, 2022
8:50 a.m.–1:00 p.m.

Virtually hosted over Zoom.


REGISTRATION OPEN

How does the news move markets?

With geo-political, inflationary and economic risks, and prolific social media and media coverage influencing the capital markets, join us for a research-driven conference assessing questions such as:

How does the interaction between financial markets and the media affect real economic activity?

How do the incentives of people who create news affect market responses?

How do we best measure the information content of news articles?

Financial economists have long been interested in how markets incorporate information. In the last decade, the confluence of improved computational tools and data availability for text analysis have led to new research methods and many important insights into how markets respond to news and social media.  But many questions remain unanswered. 

Organized by Columbia Business School’s Program for Financial Studies, with its faculty leadership Harry Mamaysky, Paul Glasserman and Paul Tetlock around their current research, this major conference will bring together an expert group of interdisciplinary leaders from across academia, business, government, and the media to explore new frontiers in the study of the dissemination of news and its influence on markets. 


For information regarding the conference, contact Melina Denebeim '12, Co-Director of the Program for Financial Studies (PFS) and Master of Science in Financial Economics (MSFE), at (202) 431-2993 or [email protected].

Agenda

Time

Event

8:50-9:00am

Introductory remarks 

9:00-9:35am

Multi-Modal ML With Financial Text and Tabular Data presented by: 

Sanjiv Das, Amazon Scholar and Janice Terry Professor of Finance and Business Analytics, Leavey School of Business, Santa Clara University

9:35-10:15am

Corporate Disclosure: Facts or Opinions? presented by:

Shimon Kogan, Associate Professor of Finance, Wharton School of Business, University of Pennsylvania

10:15-11:15am

Panel: Inflation News and Financial Markets

Moderator: Charles Calomiris, Henry Kaufman Professor of Financial Institutions, Columbia Business School 

Panelists:
Mickey Levy, Chief Economist, Americas and Asia, Berenberg Capital Markets LLC
Coral Murphy Marcos, Business Reporter, New York Times
Jeffrey Meli, Head of Research, Barclays Investment Bank
Nida Cakir Melek, Senior Economist, Federal Reserve Bank of Kansas City

11:15-11:30am Break

11:30am-12:10pm

Race-related Events and Stock Prices presented by:

Duane J. Seppi, BNY Mellon Professor of Finance; Head, M.S. in Computational Finance Program, Tepper School of Business, Carnegie Mellon

12:10-12:50pm

Narrative Asset Pricing: Interpretable Systematic Risk Factors from News Text presented by:

Bryan Kelly, Professor of Finance, Yale School of Business

12:50-1:00pm Concluding Remarks

Conference Speakers (in order of appearance)

Sanjiv Das, William and Janice Terry Professor of Finance and Data Science, Santa Clara University Leavey School of Business; Amazon Scholar at AWS

Sanjiv Das is the William and Janice Terry Professor of Finance and Data Science at Santa Clara University's Leavey School of Business, and an Amazon Scholar at AWS.

He previously held faculty appointments at Harvard Business School and UC Berkeley. He holds post-graduate degrees in Finance (M.Phil and Ph.D. from New York University), Computer Science (M.S. from UC Berkeley), an MBA from the Indian Institute of Management, Ahmedabad, B.Com in Accounting and Economics (University of Bombay, Sydenham College), and is also a qualified Cost and Works Accountant (AICWA). He is a senior editor of The Journal of Investment Management, Associate Editor of Management Science and other academic journals, and is on the Advisory Board of the Journal of Financial Data Science.

Prior to being an academic, he worked in the derivatives business in the Asia-Pacific region as a Vice-President at Citibank. His current research interests include: portfolio theory and wealth management ,machine learning, financial networks, derivatives pricing models, the modeling of default risk, systemic risk, and venture capital. He has published over a hundred and twenty articles in academic journals, and has won numerous awards for research and teaching. His recent book "Derivatives: Principles and Practice" was published in May 2010 (second edition 2016). Sanjiv's research may be accessed at https://srdas.github.io/research.htm

Shimon Kogan, Associate Professor of Finance, Wharton School of Business, University of Pennsylvania

Prof. Kogan is an Associate Professor of Finance, with positions at IDC Herzliya and the Wharton School. He was on the faculty at MIT Sloan, Carnegie Mellon University, University of Texas at Austin, and Duke. He held several investment management positions and board advisory roles. He earned his MBA and PhD from the University of California at Berkeley and his BA from Tel Aviv University.

Dr. Kogan’s research focuses on behavioral finance with application to capital markets. He is interested in understanding how information is processed in markets and his approach is interdisciplinary, integrating tools and insights from machine learning and AI. His research appeared in some of the profession’s top journals such as the Review of Financial Studies, Journal of Finance, and the American Economic Review, and he was invited to present his work in leading conferences and universities, such as MIT, Wharton, Harvard, and Yale.

His teaching is focused on machine learning, data science, and blockchain, and their implications for finance. He has been teaching Fintech, Data Science for Finance, Investment, Portfolio Management, Derivatives, and Behavioral Finance. He is involved with several startups in the fintech space and is often invited to speak about these issues in both academic and practitioners’ conferences.

Charles W. Calomiris, Henry Kaufman Professor of Financial Institutions, Columbia Business School

Charles W. Calomiris is Henry Kaufman Professor of Financial Institutions at Columbia Business School and a professor at Columbia’s School of International and Public Affairs. His research spans the areas of banking, corporate finance, financial history, and monetary economics. He is a Distinguished Visiting Fellow at the Hoover Institution, a Fellow at the Manhattan Institute, a member of the Shadow Open Market Committee and the Financial Economists Roundtable, and a Research Associate of the National Bureau of Economic Research. Professor Calomiris is past president of the International Atlantic Economic Society and has served on numerous committees, including the Advisory Scientific Committee of the European Systemic Risk Board, the U.S. Congress’s International Financial Institution Advisory Commission, the Shadow Financial Regulatory Committee, and the Federal Reserve System’s Centennial Advisory Committee. He served as co-managing editor of the Journal of Financial Intermediation.

He received a B.A. in economics from Yale University, Magna Cum Laude, a Ph.D. in economics from Stanford University. Professor Calomiris holds an honorary doctorate from the University of Basel. He is the recipient of numerous awards and research grants. His recent book (with Stephen Haber), "Fragile By Design: The Political Origins of Banking Crises and Scarce Credit" (Princeton 2014), received the American Publishers 2015 Award for the best book in Business, Finance, and Management, was named one of the Best Economics Books of 2014 by the Financial Times, and one of the Best Books of 2014 by The Times Higher Education Supplement and by Bloomberg Businessweek.

Mickey Levy, Chief Economist, Americas and Asia, Berenberg Capital Markets LLC

Dr. Mickey Levy is chief US economist of Berenberg Capital Markets.  Formerly, he was chief economist of Bank of America.  He is a long-standing member of the Shadow Open Market Committee and is on the Advisory Board of the Office of Financial Research (OFR).  He is a member of the Council on Foreign Affairs and the Economic Club of New York. Dr. Levy’s research, which appears in numerous policy journals, focuses on monetary and fiscal policies and how they affect global economic and financial performance.  Dr. Levy testifies regularly before the US Congress on monetary and fiscal policies, banking and financial regulation, and trends in global economics and trade. 

Coral Murphy Marcos, Business Reporter, New York Times

Coral del Mar Murphy Marcos is a print business journalist based in Bayamón, Puerto Rico. She will complete her M.A. in Journalism at U.C. Berkeley in 2022.

Murphy Marcos graduated from the University of Puerto Rico, Río Piedras, with a B.A. in Jourmalism in 2019. There, she was the Editor-in-Chief, in 2017, and News Director, in 2016, for the university’s leading newspaper, Pulso Estudiantil. She also spent a year at Brown University after Hurricane María in 2017. Murphy Marcos is a part-time reporter for USA TODAY, where she focuses on business and technology. Most recently, she published a front page (A1) story related to the Equal Rights Amendment to commemorate the centennial of women’s right to vote in the U.S. Murphy Marcos has also written for The New York Times, National Public Radio, The Puerto Rican Center for Investigative Journalism and more. She also interned for Bloomberg during the summer of 2019.

Jeffrey Meli, Head of Research, Barclays Investment Bank

Jeffrey Meli is a Managing Director and Co-Head of FICC Research at Barclays, based in New York. He assumed his current role in February 2013. Mr. Meli oversees the Credit, Emerging Markets, Foreign Exchange and Technical Strategy research teams globally and continues to serve as a publishing analyst.

Mr. Meli focuses on trading opportunities in investment grade corporate bonds, CDS, and hybrid capital. In 2011, the Credit Strategy team was ranked in three categories in the Institutional Investor Fixed Income Research Team poll, and Barclays’ flagship Credit Strategy publication, the US Credit Alpha, was voted the best weekly credit research publication.

He joined Barclays in 2005 as Head of US Structured Credit and Quantitative Strategy and transitioned into flow credit strategy in 2006.  Previously, he worked at Deutsche Bank and JP Morgan, with a focus on structured credit. 

Mr. Meli has a PhD in Finance from the University of Chicago and an AB in Mathematics from Princeton University.

Nida Cakir Melek, Senior Economist, Federal Reserve Board, Kansas City

Nida Çakır Melek is a senior economist in the Economic Research Department of the Federal Reserve Bank of Kansas City. She joined the Bank in August 2013 after receiving her Ph.D. from UCLA. She holds a B.S. degree in Mathematics from Middle East Technical University, Ankara, Turkey and an M.A. degree in Economics from Bilkent University, Ankara, Turkey. Her primary areas of research are macroeconomics, international economics, and energy economics.

Duane J. Seppi, BNY Mellon Professor of Finance; Head, M.S. in Computational Finance Program, Tepper School of Business, Carnegie Mellon

See profile HERE.

Bryan Kelly, Professor of Finance, Yale School of Management

Bryan Kelly is Professor of Finance at the Yale School of Management, a Research Fellow at the National Bureau of Economic Research, Associate Director of SOM’s International Center for Finance, and is the head of machine learning at AQR Capital Management, LLC.

Professor Kelly’s primary research fields are asset pricing and financial econometrics. He is interested in issues related to financial machine learning; volatility, tail risk, and correlation modeling in financial markets; banking sector systemic risk; financial intermediation; and financial networks. His papers in these areas have been published in American Economic Review,  Quarterly Journal of EconomicsJournal of Political EconomyJournal of FinanceJournal of Financial Economics, and Review of Financial Studies. He is co-editor of the Journal of Financial Econometrics and associate editor of the Journal of Finance and the Journal of Financial Economics.

Before joining Yale, Kelly was a tenured professor of finance at the University of Chicago Booth School of Business.  He earned a bachelor’s degree in economics from the University of Chicago, a master’s degree in economics from University of California San Diego, and a PhD in finance from New York University’s Stern School of Business. Kelly worked in investment banking at Morgan Stanley prior to pursuing his PhD.

Conference Organizers

Harry Mamaysky, Faculty Director, Program for Financial Studies; Faculty Director, Master of Science in Financial Economics (MSFE); Professor of Professional Practice in Finance; Columbia Business School

Mr. Mamaysky is a professor of professional practice at Columbia Business School, and the faculty director of the Program for Financial Studies and Master of Science in Financial Economics (MSFE).

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.

Paul Glasserman, Jack R. Anderson Professor of Decision, Risk and Operations

Professor Glasserman's research and teaching address risk management, derivative securities, Monte Carlo simulation, statistics and operations. Prior to joining Columbia, Glasserman was with Bell Laboratories; he has also held visiting positions at Princeton University, NYU, and the Federal Reserve Bank of New York. In 2011-2012, he was on leave from Columbia and working at the Office of Financial Research in the U.S. Treasury Department, where he continues to serve as a part-time consultant.

Glasserman's publications include the book Monte Carlo Methods in Financial Engineering (Springer, 2004), which received the 2006 Lanchester Prize and the 2005 I-Sim Outstanding Publication Award. Glasserman is a past recipient of the National Young Investigator Award from the National Science Foundation (1994 - 99), IBM University Partnership Awards (1998 - 2001), the TIMS Outstanding Simulation Publication Award (1992), the Erlang Prize (1996), the IMS Medallion from the Institute of Mathematical Statistics (2006), and a fellowship from the FDIC Center for Financial Research (2004). He received the 2004 Wilmott Award for Cutting-Edge Research in Quantitative Finance and Risk Magazine's 2007 Quant of the Year Award, and he received a U.S. patent for an option pricing method. He was named an INFORMS Fellow in 2008. He is also a recipient of the Dean's Award for Teaching Excellence (1994, 2000) and the Saul Gass Expository Writing Award (2016). Glasserman serves on the editorial boards of Operations Research, Mathematical Finance, the Journal of Derivatives, and Stochastic Systems.

Glasserman was senior vice dean of Columbia Business School in 2004-2008 and served as interim director of the Sanford C. Bernstein & Co. Center for Leadership and Ethics in 2005-2007. He currently serves as research director of the Program for Financial Studies.

Paul Tetlock, A. Barton Hepburn Professor of Economics

Professor Tetlock's research interests include behavioral finance, asset pricing, and prediction markets. One area of his research examines how firms' stock market prices respond to the content of news stories. His 2007 Journal of Finance study on the impact of negative words, such as "flaw" and "ruin", won the Smith-Breeden Prize for the best article in asset pricing. His research has been featured in popular press outlets such as Business Week, The Economist, The New York Times, and The Wall Street Journal.

Professor Tetlock teaches the elective Capital Markets course. Prior to joining Columbia, he was a visiting assistant professor at Yale University in 2007-08, and an assistant professor at the University of Texas at Austin from 2004 to 2008. He taught Behavioral Finance at Yale, and Investment Management at Texas.

Melina Denebeim '12, Co-Director, Program for Financial Studies (PFS); Co-Director, Master of Science in Financial Economics (MSFE) at Columbia Business School

With a background in education, leadership and finance, Melina Denebeim has a passion for empowering people and organizations to reach their highest potential. At Columbia Business School, she co-directs the Program for Financial Studies (PFS) and Master of Science in Financial Economics (MSFE).

Prior to her work as an educator and executive coach (MFL Coaching LLC) she worked in capital markets and M&A advisory for 8 years at banks including Credit Suisse and Guggenheim Securities. At the Business School she teaches "Effective Communication" and facilitates “Creative Destruction in Financial Services” with Professor Charles Calomiris, and created a seminar on leadership in investment banking, held each spring through the career management center. Melina has co-authored a Columbia CaseWorks technical note on LBO Valuation.

Melina is pursuing an Ed.D in adult learning and leadership at Teachers Collage, Columbia University. She earned an MBA from Columbia Business School and BA in English Literature from Georgetown University. She is also trained through the Neuroleadership Institute in brain-based coaching. Melina is an advisor to Savvy Ladies, an organization that provides free financial education and resources to women with the goal of empowering them to achieve financial independence.

Session recordings:

four-block

The Program for Financial Studies has partnered with the Master of Science in Financial Economics (MSFE) degree at the Business School. Click HERE to read the FT article featuring the MSFE program and recent graduate Kevin Guo.

For more information about the MSFE program, please visit: https://academics.gsb.columbia.edu/msfe