News and Finance

Program for Financial Studies News and Finance Initiative

The News and Finance Initiative of the Program for Financial Studies gratefully acknowledges its Industry Sponsors:

*The Program for Financial Studies gratefully acknowledges Thomson Reuters for generously providing access to data sets that have enabled the research upon which the News and Finance initiative has been built.

Director: Harry Mamaysky, Associate Professor of Professional Practice
Assistant Directors: Paul Glasserman, Jack R. Anderson Professor of Business; Paul Tetlock, A. Barton Hepburn Professor of Economics in the Faculty of Business

The News and Finance initiative of the Program for Financial Studies addresses one of the key questions in financial economics: how information is transmitted from news into prices. Led by Columbia Business School Professors Harry Mamaysky, Paul Glasserman and Paul Tetlock, the initiative seeks to combine natural language processing techniques with more traditional economic analysis to gain insight into how markets respond to news and other textual data. The initiative seeks to conduct innovative research in the area of news and financial markets, and to disseminate its research to practitioners and academics. Furthermore, the initiative sponsors annual conferences, and attempts to foster interaction amongst its industry and Columbia affiliates. Examples of questions of interest to the initiative include the following:

- How can the computer analysis of news, social media, public filings, and other documents be leveraged to develop investment strategies and monitor risk?

- What insights about investor behavior can be gleaned from the analysis of market responses to news?

- What new types of tools for text analysis are needed for applications in finance?

Research:

The initiative remained highly active on the research front in 2017 - 2018. Researchers completed work on two projects, both of which are now in the second round of review at prestigious finance journals. These are:

Additionally, the team began several new research projects on the following topics:

“Investor Information Choice with Macro and Micro Information”
“Dynamic Information Regimes in Financial Markets”
“Global Monetary Policy Shocks and Exchange Rate Returns”
“Do Stock Prices Underreact to News?”

Industry Engagement:

Annual News and Finance Conferences

4th Annual News and Finance Conference - March 13, 2019

3rd Annual News and Finance Conference - March 8, 2018

2nd Annual News and Finance Conference - March 8, 2017

1st Annual News and Finance Conference - March 11, 2016