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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 Lead Industry Sponsors:
as well as its Affiliate Industry Sponsor:
*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, Professor of Business
The News and Finance initiative of the PFS 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. 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?
Recent and upcoming activities include:
Research: In fall 2015, the initiative’s research team acquired a significant core dataset of finance articles from Thompson Reuters that covers the period from 1996 through 2015. Professors Glasserman and Mamaysky showed that a measure of the “unusualness” of news contains important information for forecasting future market volatility, and that this information is not already known to market participants. Professors Calomiris and Mamaysky further have studied how country-level risk and return can be predicted using news data from about 52 developed and emerging markets. Glasserman and Mamaysky are currently studying the differences between how news is incorporated into prices at the single stock level versus industry- and market-level news aggregation.
Three working papers have been produced:
- “Does Unusual News Forecast Market Stress”
- “Market Efficiency with Micro and Macro Information”
- “How News and Its Context Drive Risk and Returns around the World”
Industry Engagement: The first major conference was delivered in spring 2016, assembling top financial journalists, academics, and finance leaders to discuss the dissemination of news and its influence on markets. The second annual conference took place March 8, 2017.
Teaching: In the 2017–18 academic year, the initiative aims to launch a new course for master’s and PhD students on the topic of machine learning in economic analysis.
Annual News and Finance Conference: