Calendar

Events Calendar

21 - 27 April, 2019
April 22
  • 02:30pm - 04:00pm  Joshua Lewis, Yale University - Money, History and Finance

    “Effects of Environmental Regulation: The U.S. Electricity Sector, 1938-1999” (joint with Karen Clay, Akshaya Jha, and Edson Severnini)

    02:30pm - 04:00pm | NJ Hall room 101 | Coordinator: Michael Bordo

April 23
April 24
April 25
  • 04:00pm - 05:30pm  Jia Li, Duke University -  Econometrics

    "Measuring China’s stock market sentiment"

    Abstract: This paper develops textual sentiment measures for China’s stock market by extracting the textual tone of 60 million messages posted on a major online investor forum in China from 2008 to 2018. We conduct sentiment extraction by using both conventional dictionary methods based on customized word lists and supervised machine-learning methods (support vector machine and convolutional neural network). The market-level textual sentiment index is constructed as the average of message-level sentiment scores, and the textual disagreement index is constructed as their dispersion. These textual measures allow us to test a range of predictions of classical behavioral asset-pricing models within a unified empirical setting. We find that textual sentiment can significantly predict market return, exhibiting a salient underreaction-overreaction pattern on a time scale of several months. This effect is more pronounced for small and growth stocks, and is stronger under higher investor attention and during more volatile periods. We also find that textual sentiment exerts a significant and asymmetric impact on future volatility. Finally, we show that trading volume will be higher when textual sentiment is unusually high or low and when there are more differences of opinion, as measured by our textual disagreement. Based on a massive textual dataset, our analysis provides support for the noise-trading theory and the limits-to-arbitrage argument, as well as predictions from limited-attention and disagreement models.

    04:00pm - 05:30pm | NJ Hall 3rd Floor Library | Coordinator: Yuan Liao

April 26
  • 02:00pm - 03:30pm  Kyung Park, Wellesley College - Empirical Microeconomics

    "Home Prices in Close Proximity to Mosques Before and After 9/11"

    02:00pm - 03:30pm | NJ Hall 3rd Floor Library | Coordinator: Anne Piehl and Anne Piehl

Upcoming Events

Fri Jan 29 @ 2:00PM - 03:00PM
Empirical Microeconomics
Yongbo Sim, Rutgers University
Mon Feb 01 @ 2:30PM - 04:00PM
Money, History and Finance
Olivier Accominotti, London School of Economics
Mon Feb 08 @ 2:30PM - 04:00PM
Money, History and Finance
Douglas Irwin, Dartmouth College
Fri Feb 12 @ 2:00PM - 03:30PM
Empirical Microeconomics
Martha Bailey, University of California - Los Angeles
Mon Feb 15 @ 2:30PM - 04:00PM
Money, History and Finance
Mathieu Pedemonte, Cleveland Federal Reserve Bank
Fri Feb 26 @ 2:00PM - 03:30PM
Empirical Microeconomics
Day Manoli, Georgetown University
Mon Mar 01 @ 2:30PM - 04:00PM
Money, History and Finance
Masato Shizue, Waseda University, Japan
Mon Mar 08 @ 2:30PM - 04:00PM
Money, History and Finance
Chris Cotter, Oberlin College
Fri Mar 12 @ 2:00PM - 03:30PM
Empirical Microeconomics
Conrad Miller, University of California - Berkeley