How does the news move markets?

With crisis management, economic risk, social media and media coverage influencing the capital markets, join us for a research-driven conference assessing questions such as:

How does the interaction between financial markets and the media affect real economic activity?

How do the incentives of people who create news affect market responses?

How do we best measure the information content of news articles?

Financial economists have long been interested in how markets incorporate information. In the last decade, the confluence of improved computational tools and data availability for text analysis have led to new research methods and many important insights into how markets respond to news and social media.  But many questions remain unanswered. 

Organized by Columbia Business School’s Program for Financial Studies, with its faculty leadership Harry Mamaysky, Paul Glasserman and Paul Tetlock around their current research, this major conference will bring together an expert group of interdisciplinary leaders from across academia, business, government, and the media to explore new frontiers in the study of the dissemination of news and its influence on markets. 

The Program for Financial Studies gratefully acknowledges its lead sponsor: Financial Times

We also acknowledge Thomson Reuters for generously providing access to data sets that have enabled the research upon which the News and Finance initiative has been built.

Conference Sessions:

Introductory Remarks (CBS and FT): https://youtu.be/2KZ3ZWDZGoE

Echo Chambers, Joey Engelberg (UCSD): https://youtu.be/lTbYCWykG_c

What Triggers Stock Market Jumps, Scott R. Baker (Kellog): https://youtu.be/iBm2SbjysK0

Panel Discussion: Interpreting Market Reactions to COVID Newshttps://youtu.be/WGbgON5MG_s

Foreign Sentiment, Azi Ben-Rephael (Rutgers): https://youtu.be/wsTmKQZg6PY

The State of AI Research at JPMorgan, Dr. Tucker Balch: https://youtu.be/t7BdR1LBIOw



Introductory remarks


"Echo Chambers" presented by: 

Joey Engelberg, Professor of Finance and Accounting, University of California San Diego

9:40-9:50am Discussion break-out rooms

"What Triggers Stock Market Jumps?" presented by:

Scott R. Baker, Associate Professor of Finance, Kellogg School of Management

10:20-10:30am Discussion break-out rooms



Panel: Interpreting Market Reactions to COVID News

Moderator: Kent Daniel, Senior Vice Dean of Faculty Affairs; Jean-Marie Eveillard Professor of Finance, Columbia Business School 

Mary Walsh, Journalist, New York Times
Russ Wermers, Bank of America Professor of Finance; Director, Center for Financial Policy (CFP) at the Smith School of Business, University of Maryland
Matthias Uhl, Head Analytics & Quant Modelling (AQM), UBS

11:30-11:40am Discussion break-out rooms

"Foreign Sentiment" presented by:

Azi Ben-Rephael, Associate Professor of Finance, Rutgers Business School

12:10-12:20pm Discussion break-out rooms

KEYNOTE: The State of AI Research at J.P. Morgan

Dr. Tucker Balch, Managing Director, J.P. Morgan AI Research 

12:50-1:00pm Concluding Remarks

Speaker Bios:

Scott R. Baker, Associate Professor of Finance, Kellogg School of Management

Scott Ross Baker is an Associate Professor of Finance at the Kellogg School of Management. His research is concentrated in empirical finance and macroeconomics. He is currently engaged in a variety of research projects regarding household financial choices and the measurement of consumption, as well as research regarding the effects of policy uncertainty on financial markets and growth.

Scott joined the Finance Department at Northwestern's Kellogg School of Management in July 2014. He was born and raised in San Diego, California and received B.A.’s in Economics and Political Science from the University of California, Berkeley in 2007. He received a Ph.D. in Economics from Stanford University in June 2014.

Dr. Tucker Balch, Managing Director, J.P. Morgan AI Research

Dr. Tucker Balch is a managing director at J.P. Morgan AI Research. The AI Research group conducts research in areas of core relevance to financial services, including electronic markets, complex systems modeling, cryptography, machine learning, and explainability. J.P. Morgan AI Research partners with teams across the firm as well as with leading academic institutions globally. Tucker is also a professor of Interactive Computing at Georgia Tech (on leave) where his research has focused on multi-agent social behavior in domains ranging from financial markets to tracking and modeling the behavior of ants, honeybees and monkeys. He cofounded Lucena Research, an investment software firm that applies Machine Learning and Big Data approaches to investment problems. Balch has published 120 peer-reviewed articles. At J.P. Morgan, Tucker leads research teams focusing on the simulation of large-scale multi-agent economic systems, cryptographic trading technologies, and data security. His work has been covered by the Wall Street Journal, CNN, New Scientist, Institutional Investor, and the New York Times. His graduated students work at J.P. Morgan, NASA/JPL, Boston Dynamics, Goldman Sachs, Morgan Stanley, Citadel, AQR, and BlackRock. Before his career in computing, Tucker was an F15 pilot in the US Air Force.

Azi Ben-Rephael, Associate Professor of Finance, Rutgers Business School

Azi Ben-Rephael is an Associate Professor of Finance at Rutgers University. Ben-Rephael earned his Ph.D. in Finance from Tel Aviv University. Before joining Rutgers, he was an assistant professor at Indiana University. Ben-Rephael’s research interests are mainly in empirical and behavioral asset pricing, with a special focus on investor sentiment and investor attention. His research is published in top finance journals, including the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies, and featured in The New York Times, The Wall Street Journal, and other media outlets.

Kent Daniel, Senior Vice Dean of Faculty Affairs; Jean-Marie Eveillard Professor of Finance, Columbia Business School

Kent Daniel is the Senior Vice Dean of Faculty Affairs and the Jean-Marie Eveillard Professor of Business in the Finance Division at the Graduate School of Business at Columbia University. From 1996 to 2006, Kent was at the Kellogg School of Management at Northwestern University, where he was the John and Helen Kellogg Distinguished Professor of Finance (on leave from 2004-2006). Previously, he served on the faculties of the University of Chicago and the University of British Columbia.

Between 2004 and 2010, Kent was with the Quantitative Investment Strategies group at Goldman Sachs Asset Management. In 2005, he became a managing director and head of the QIS equity research effort. He became a co-chief investment officer in 2009.

Kent's academic research, both theoretical and empirical, has been primarily in the areas of behavioral finance and asset pricing. In addition to other awards, his academic papers received the 1997 and 1999 Smith-Breeden awards for the best paper in the Journal of Finance. His papers have been reprinted in several books. He also received the Sidney J. Levy Teaching Award for 1996-1997 and 2000-2001 at the Kellogg School.

Kent is a research associate at the National Bureau of Economic Research. He has served as an associate editor for the Journal of Finance, as a director of the American Finance Association, and as a director of the Western Finance Association. Kent received a B.S. with honors in Physics from the California Institute of Technology in 1981 and an M.B.A. from UCLA in 1987. He received his Ph.D. in Finance from UCLA in 1992.

Joey Engelberg, Professor of Finance and Accounting, University of California San Diego

Engelberg's research focuses on the way information is disseminated among market participants, especially by financial media and social networks.

Engelberg earned his Ph.D. in Finance from the Kellogg School of Management at Northwestern University and earned his B.A. in Mathematics and B.S. in Business Administration from the University of Southern California. Prior to coming to the Rady School, Engelberg was an Assistant Professor of Finance at the Kenan-Flagler Business School at the University of North Carolina at Chapel Hill.

Stephen Thomas, Head of Data Mining, Financial Times

A graduate in modern languages from University of Leeds, Stephen spent the first part of his career working in B2B publishing and advertising across Europe, Middle East and Africa covering all sectors of business, finance, technology and industry. In 2017, he joined the Financial Times tasked with developing the commercial offering of FT content in machine readable format. Since then, the FT has successfully sold news data to buyside and sellside institutions in financial services, corporates and policy makers. When he is not reflecting on how different types of data can be leveraged to better inform all types of decisions, he is planning holidays to France with his wife Natalia.

Dr. Matthias W. Uhl, Head Analytics & Quant Modelling (AQM), UBS

Matthias is the head of Analytics & Quantitative Modelling (AQM) in Investment Solutions at UBS Asset Management, the global lead for sentiment analytics at UBS Group, and a lecturer at the University of Zurich teaching sentiment analytics and portfolio management. Previously, he was Chief Investment Officer at FLYNT Bank AG, and has worked in various roles in the CIO Office at UBS Wealth Management, at UBS Investment Bank, at Deutsche Bank, and at the KOF Swiss Economic Institute of the ETH Zurich.

Matthias holds a Ph.D. in applied macroeconomics and behavioral finance from ETH Zurich, a Master of Science from Oxford University and two Bachelor of Arts degrees from the American University of Paris. Matthias has published his research in various academic journals, such as the Journal of Portfolio Management, Finance Research Letters, and Journal of Derivatives, among others.

Mary Williams Walsh, Business & Finance Journalist, New York Times

Mary Williams Walsh joined The New York Times as a business and financial writer in 2000. Previously, she was a foreign correspondent for the Los Angeles Times and The Wall Street Journal. Her first foreign posting, for the Journal, was to Mexico in the 1980s, during a vast debt crisis that spread all the way from the Rio Grande to the southern reaches of Argentina. That experience gave her a lasting interest in debt, sustainability issues, and ways of dealing with major insolvencies. She also writes about health care, insurance, bankruptcy, and the broad financial challenges of an aging population. Her reporting has been honored with a George Polk Award, an Overseas Press Club Award, a Society of American Business Editors and Writers Award, and Columbia University’s Christopher J. Welles Memorial Prize. She studied accounting and finance as a Walter Bagehot Fellow at Columbia University’s Graduate School of Business, and was a Nieman Fellow at Harvard upon her return to reporting in the United States in 1998.

Russ Wermers, Bank of American Professor of Finance; Director, Center for Financial Policy (CFP), Smith School of Business, University of Maryland

Russ Wermers is Bank of America Professor of Finance and Director, Center for Financial Policy at the Smith School of Business, University of Maryland at College Park, where he won a campus-wide teaching award during 2005 and a Krowe Teaching Award (within the Smith Business School) during 2013.  His main research interests include studies of the efficiency of securities markets, as well as the role of institutional investors in setting stock prices. In addition, he studies and teaches quantitative equity strategies, and is currently researching microfinance institutions in Thailand.  Most notably, his past research has developed new approaches to measuring and attributing the performance of mutual funds, pension funds, and hedge funds, as well as devising winning strategies for investing in these funds. Professor Wermers also studies the investment behavior of these asset managers, as well as the impact of their trades on stock markets.  His papers have been published in leading scholarly journals, such as The American Economic ReviewThe Review of Financial StudiesThe Journal of Financial Economics, and The Journal of Finance. He is coauthor of a book on the latest scientific approaches to performance evaluation and attribution of professional fund managers, written for academics and practitioners (published in December 2012). He received his Ph.D. from the University of California, Los Angeles, in December 1995.

Conference Organizers

Melina Denebeim '12, Program Director, Program for Financial Studies, Columbia Business School

With a background in education, leadership and finance, Melina Denebeim has a passion for empowering people and organizations to reach their highest potential. She directs the Program for Financial Studies (PFS) at Columbia Business School along with Faculty Director, Harry Mamaysky. The PFS bridges academia and industry in the realm of finance & economics, with a focus on creating academic content and bringing together leaders in the cross-over of finance & economics into data science, analytics, technology and innovation.

She is also building a “Business of Life” curriculum through her MFL Coaching practice that includes over 20 modules organized thematically into business values & principles, “street smart finance” and personal finance. 

Prior to her work as a coach and educator she worked in capital markets and M&A advisory for 8 years at banks including Credit Suisse and Guggenheim Partners. Melina has co-authored a Columbia CaseWorks technical note on LBO Valuation. At the Business School she facilitates an NYC immersion course for MBA and EMBA students titled “Creative Destruction in Financial Services” and created a seminar on leadership in investment banking, held each spring through the career management center.

Melina earned an MBA from Columbia Business School and a BA in English Literature from Georgetown University. She is also trained through the Neuroleadership Institute in brain-based coaching. Melina is an advisor to Savvy Ladies, an organization that provides free financial education and resources to women with the goal of empowering them to achieve financial independence.

Harry Mamaysky, Faculty Director, Program for Financial Studies; Professor of Professional Practice in Finance; Columbia Business School

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.

Prior to his return to academia, Harry founded the Systemic Risk Group at Citigroup and served as a member of the firm's Risk Executive Committee. Previous to that, he was a senior portfolio manager in Citi Principal Strategies with a focus on relative value credit trading. He has held positions with Old Lane, Morgan Stanley, and Citicorp. He was also an Assistant Professor of Finance at the Yale School of Management during the period 2000–02.

Harry’s research focuses on equity, exchange rate, volatility, and credit markets, on market microstructure, and on the role of information in the trading process.  Harry leads the News & Finance research initiative of Columbia’s Program of Financial Studies, and has used large textual data sets, including news articles, earnings call transcripts, and central bank communications, in his research.  His work has appeared in leading academic journals, including the Journal of Finance, the Journal of Political Economy, the Review of Financial Studies, and the Journal of Financial Economics.

Harry earned his PhD in finance from the Massachusetts Institute of Technology.  He holds BS and MS degrees in computer science from Brown University.

Paul Glasserman, Jack R. Anderson Professor of Decision, Risk and Operations

Professor Glasserman's research and teaching address risk management, derivative securities, Monte Carlo simulation, statistics and operations. Prior to joining Columbia, Glasserman was with Bell Laboratories; he has also held visiting positions at Princeton University, NYU, and the Federal Reserve Bank of New York. In 2011-2012, he was on leave from Columbia and working at the Office of Financial Research in the U.S. Treasury Department, where he continues to serve as a part-time consultant.

Glasserman's publications include the book Monte Carlo Methods in Financial Engineering (Springer, 2004), which received the 2006 Lanchester Prize and the 2005 I-Sim Outstanding Publication Award. Glasserman is a past recipient of the National Young Investigator Award from the National Science Foundation (1994 - 99), IBM University Partnership Awards (1998 - 2001), the TIMS Outstanding Simulation Publication Award (1992), the Erlang Prize (1996), the IMS Medallion from the Institute of Mathematical Statistics (2006), and a fellowship from the FDIC Center for Financial Research (2004). He received the 2004 Wilmott Award for Cutting-Edge Research in Quantitative Finance and Risk Magazine's 2007 Quant of the Year Award, and he received a U.S. patent for an option pricing method. He was named an INFORMS Fellow in 2008. He is also a recipient of the Dean's Award for Teaching Excellence (1994, 2000) and the Saul Gass Expository Writing Award (2016). Glasserman serves on the editorial boards of Operations Research, Mathematical Finance, the Journal of Derivatives, and Stochastic Systems.

Glasserman was senior vice dean of Columbia Business School in 2004-2008 and served as interim director of the Sanford C. Bernstein & Co. Center for Leadership and Ethics in 2005-2007. He currently serves as research director of the Program for Financial Studies.

Paul Tetlock, A. Barton Hepburn Professor of Economics

Professor Tetlock's research interests include behavioral finance, asset pricing, and prediction markets. One area of his research examines how firms' stock market prices respond to the content of news stories. His 2007 Journal of Finance study on the impact of negative words, such as "flaw" and "ruin", won the Smith-Breeden Prize for the best article in asset pricing. His research has been featured in popular press outlets such as Business Week, The Economist, The New York Times, and The Wall Street Journal.

Professor Tetlock teaches the elective Capital Markets course. Prior to joining Columbia, he was a visiting assistant professor at Yale University in 2007-08, and an assistant professor at the University of Texas at Austin from 2004 to 2008. He taught Behavioral Finance at Yale, and Investment Management at Texas.