AI-Generated Digital Twins: Shaping the Future of Business
During a Columbia AI Summit satellite workshop, faculty shared cutting-edge research on the opportunities and challenges of AI in business decision-making.
During a Columbia AI Summit satellite workshop, faculty shared cutting-edge research on the opportunities and challenges of AI in business decision-making.
Insights shared at Columbia University’s AI Summit show how the technology is redefining the creative process and influencing executive decision making.
Professors Boaz Abramson and Stijn Van Nieuwerburgh investigate whether insurance for missed rent payments could help individuals and the broader economy.
507 firms hold over $1 billion in goodwill with market-to-book ratios below one, suggesting hidden risks. Learn how investors can scrutinize these firms for potential write-downs and what this reveals about corporate governance with insights from Columbia Business School.
In this episode of Columbia Bizcast, join Columbia Business School Dean Costis Maglaras and faculty as they explore how the School is harnessing AI to transform classroom learning and equip students for the future of work.
Columbia Business School Professors Todd Jick and Stephan Meier discuss AI in the workplace and why companies must prioritize people.
As the U.S. election nears, the American public is witnessing the power of social media and elections: the partnership between political candidates and content creators, says Professor Mohamed Hussein.
Professor Laura Veldkamp outlines the key issues to consider when evaluating the candidates’ approach to Big Tech and monopolies during this election season.
Professor Luigi Rizzo is Vice Chairman of Investment Banking at Morgan Stanley, based in London (United Kingdom).
Prior to Morgan Stanley, he held leadership positions at Bank of America and Goldman Sachs.
Professor Picoult teaches the Risk Management course, which is currently offered in a joint Master of Science degree program of the DRO department of the Business School and the IEOR department of the School of Engineering and Science. In 2018 Picoult retired as managing director of Citi, where he had worked for 38 years. He had been the head of Citi’s Economic Capital and Stress Testing Methodology unit and served on a number of firm-wide risk governance committees.
Harry Mamaysky is a Professor of Professional Practice at Columbia Business School, where he serves as the Director of the Program for Financial Studies. 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.
Ciamac C. Moallemi is the William von Mueffling Professor of Business in the Decision, Risk, and Operations Division of the Graduate School of Business at Columbia University, where he has been since 2007. He also develops quantitative trading strategies at Bourbaki LLC, a quantitative investment advisor. A high school dropout, he received S.B. degrees in Electrical Engineering & Computer Science and in Mathematics from the Massachusetts Institute of Technology (1996).
Costis Maglaras is the 16th Dean of Columbia Business School, and the David and Lyn Silfen Professor of Business at Columbia University. Costis received his BS in Electrical Engineering from Imperial College, London, in 1990, and his MS and PhD in Electrical Engineering from Stanford University in 1991 and 1998, respectively. He joined Columbia Business School in 1998, when he joined the Decision, Risk and Operations Division.
Professor Johannes’s research analyzes the empirical content of fixed-income and derivative securities pricing models. He is particularly interested in developing econometric methods to investigate models with jumps and stochastic volatility. Johannes teaches the elective Capital Markets and Investments.
Professor Tano Santos is the Robert Heilbrunn Professor of Asset Management and Finance and the Academic Director of the Heilbrunn Center for Graham & Dodd Investing at Columbia Business School, Columbia University, where he has taught since 2003. Previously he was an Associate Professor at the University of Chicago Booth School of Business. At Columbia, he teaches courses on Value Investing, Modern Value, and Modern Political Economy.
Lawrence R. Glosten is the S. Sloan Colt Professor of Banking and International Finance at Columbia Business School. He is also co-director (with Merritt Fox and Ed Greene) of the Program in the Law and Economics of Capital Markets at Columbia Law School and Columbia Business School and is an adjunct faculty member at the Law School. He has been at Columbia since 1989, before which he taught at the Kellogg Graduate School of Management at Northwestern University, and has held visiting appointments at the University of Chicago and the University of Minnesota.
Charles W. Calomiris is Henry Kaufman Professor Emeritus of Financial Institutions in the Faculty of Business and Professor Emeritus of International and Public Affairs at Columbia Business School, Director of the Business School’s Program for Financial Studies Initiative on Finance and Growth in Emerging Markets, 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.
Gur Huberman is the Robert G. Kirby Professor of Behavioral Finance at Columbia Business School where he has taught since 1989. Prior to that, he taught at Tel Aviv University and at the University of Chicago. Between 1993 and 1995 he was Vice President at JP Morgan Investment Management responsible for research on quantitative equity trading. In that capacity, he also helped develop tax aware strategies for the private bank. He earned his Ph.D. (with distinction) in operations research from Yale in 1980 and his B.Sc. (cum laude) in mathematics from Tel Aviv University in 1975.
Mark A. Zurack teaches Capital Markets and Investments, Equity Derivatives and Equity Markets and Products at Columbia Business School. Mark is currently on the Board of Directors of the Binghamton University Foundation and also serves on the Boards of the Alzheimer's Association, Teach For America, Upper West Success Academy, ETC, Southampton Bath and Tennis and the Columbia Business School Social Enterprise Program. Prior to coming to Columbia, Professor Zurack worked at Goldman Sachs for 18 years. He joined GS in 1983 and started the equity derivatives research group.
The government budget constraint ties the market value of government debt to the expected present discounted value of fiscal surpluses. We find evidence that U.S. Treasury investors fail to impose this no‐arbitrage restriction in the United States. Both cyclical and long‐run dynamics of tax revenues and government spending make the surplus claim risky. In a realistic asset pricing model, this risk in surpluses creates a large gap between the market value of debt and its fundamental value, the PDV of surpluses, suggesting that U.S. Treasuries may be overpriced.
How should an investor value financial data? The answer is complicated because it depends on the characteristics of all investors. We develop a sufficient statistics approach that uses equilibrium asset return moments to summarize all relevant information
about others’ characteristics. It can value data that is public or private, about one or many assets, relevant for dividends or for sentiment. While different data types, of course, have different valuations, heterogeneous investors also value the same data
In the face of rising interest rates in 2022, banks mitigated interest rate exposure of the accounting value of their assets but left the vast majority of their long-duration assets exposed to interest rate risk. Data from call reports and SEC filings shows that only 6% of U.S. banking assets used derivatives to hedge their interest rate risk, and even heavy users of derivatives left most assets unhedged.
This paper theoretically and empirically investigates the effects of liquidity regulation on the banking system. We document that the current quantity-based liquidity rule has reduced banks’ liquidity risks. However, the mandated liquidity buffer appears to crowd out bank lending and lead to a migration of liquidity risks to banks that are not subject to liquidity regulation. These findings motivate a model of liquidity regulation with endogenous liquidity premiums and heterogeneous banks.
How can we measure the extent to which data-intensive firms are using their market power? Economists typically look to markups as evidence of market power. Using a simple model with firms that price risk in their capital allocation and production decisions, we highlight the competing forces that make markups an unreliable measure of data-derived market power. Instead, we show how markups measured at different levels of aggregation reflect data and distinguish data from other intangible investments.
We develop a novel technique to extract credit-relevant information from the text of quarterly earnings calls. This information is not spanned by fundamental or market variables and forecasts future credit spread changes. One reason for such forecastability is that our text-based measure predicts future credit spread risk and firm profitability. More firm- and call-level complexity increase the forecasting power of our measure for spread changes. Out-of-sample portfolio tests show the information in our measure is valuable for investors.
We show that the COVID-19 pandemic brought house price and rent declines in city centers, and price and rent increases away from the center, thereby flattening the bid-rent curve in most U.S. metropolitan areas. Across MSAs, the flattening of the bid-rent curve is larger when working from home is more prevalent, housing markets are more regulated, and supply is less elastic. Housing markets predict that urban rent growth will exceed suburban rent growth for the foreseeable future.
We investigate banks' benefits and costs of having access to LOLR. Integrating novel data sets we estimate the borrowing capacities of euro area banks at the ECB. Controlling for ratings, we find that banks with more fragile funding are likely to borrow more from the ECB during the great financial and euro area sovereign debt crises. We develop a dynamic model of a bank and calibrate it to our empirical estimates. A bank with access to LOLR has higher equity value and makes larger investments in new loans, but it is more leveraged, pays more dividends and issues less equity.
After the global financial crisis, the yields of U.S. Treasury bills frequently exceed other risk-free rate benchmarks, thereby pointing to a diminishing convenience premium. Constructing a new measure of dealers’ balance sheet constraints for providing intermediation in U.S. Treasury markets, we trace these diminishing convenience premiums to primary dealers’ ability to act as intermediaries.