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 Sep 20 @ 2:00PM - 03:30PM
Empirical Microeconomics
David Jaeger, CUNY
Mon Sep 23 @ 2:30PM - 04:00PM
Money, History and Finance
Zvi Eckstein, The Wharton School at the University of Pennsylvania
Fri Sep 27 @ 2:00PM - 03:30PM
Empirical Microeconomics
Hong Luo, Harvard Business School
Fri Oct 04 @ 2:00PM - 02:30PM
Empirical Microeconomics
Mike Cassidy, Rutgers University (Graduate Student)
Fri Oct 11 @ 2:00PM - 03:30PM
Empirical Microeconomics
Kihwan Bae, Rutgers University (Graduate Student)
Fri Oct 11 @ 2:00PM - 03:30PM
Empirical Microeconomics
Yutian Yang, Rutgers University (Graduate Student)
Wed Oct 16 @ 3:45PM - 05:15PM
Micro Theory/Experimental Seminar
Stephen Spear, Carnegie Mellon University
Wed Oct 16 @ 4:30PM - 06:00PM
Special Event Seminar
Andres Velasco, London School of Economics
Thu Oct 17 @ 3:00PM - 04:00PM
Econometrics
Arpita Mukherjee, Rutgers University Graduate Student
Thu Oct 17 @ 4:00PM - 05:00PM
Econometrics
Chun Yao, Rutgers University Graduate Student
Fri Oct 18 @ 2:00PM - 03:30PM
Empirical Microeconomics
Suwei Luo, Rutgers University (Graduate Student)
Fri Oct 18 @ 2:00PM - 03:30PM
Empirical Microeconomics
Yilin Wu, Rutgers University (Graduate Student)
Mon Oct 21 @ 2:30PM - 04:00PM
Money, History and Finance
Sarah Binder, Georgetown University
Thu Oct 24 @ 3:00PM - 04:00PM
Econometrics
Bo Yu, Rutgers University Graduate Student
Thu Oct 24 @ 4:00PM - 05:00PM
Econometrics
Weijia Peng, Rutgers University Graduate Student