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作者：Goldstein, Itay; Spatt, Chester S.; Ye, Mao
作者单位：University of Pennsylvania; National Bureau of Economic Research; Carnegie Mellon University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Big data is revolutionizing the finance industry and has the potential to significantly shape future research in finance. This special issue contains papers following the 2019 NBER-RFS Conference on Big Data. In this introduction to the special issue, we define the big data phenomenon as a combination of three features: large size, high dimension, and complex structure. Using the papers in the special issue, we discuss how new research builds on these features to push the frontier on fundament...
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作者：Erel, Isil; Stern, Lea H.; Tan, Chenhao; Weisbach, Michael S.
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; European Corporate Governance Institute; University of Washington; University of Washington Seattle; University of Chicago
摘要：Can algorithms assist firms in their decisions on nominating corporate directors? Directors predicted by algorithms to perform poorly indeed do perform poorly compared to a realistic pool of candidates in out-of-sample tests. Predictably bad directors are more likely to be male, accumulate more directorships, and have larger networks than the directors the algorithm would recommend in their place. Companies with weaker governance structures are more likely to nominate them. Our results suggest...
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作者：Li, Kai; Mai, Feng; Shen, Rui; Yan, Xinyan
作者单位：University of British Columbia; Stevens Institute of Technology; The Chinese University of Hong Kong, Shenzhen; University System of Ohio; University of Dayton
摘要：We create a culture dictionary using one of the latest machine learning techniques-the word embedding model-and 209,480 earnings call transcripts. We score the five corporate cultural values of innovation, integrity, quality, respect, and teamwork for 62,664 firm-year observations over the period 2001-2018. We show that an innovative culture is broader than the usual measures of corporate innovation - R&D expenses and the number of patents. Moreover, we show that corporate culture correlates w...
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作者：Giglio, Stefano; Liao, Yuan; Xiu, Dacheng
作者单位：Yale University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Rutgers University System; Rutgers University New Brunswick; University of Chicago
摘要：Data snooping is a major concern in empirical asset pricing. We develop a new framework to rigorously perform multiple hypothesis testing in linear asset pricing models, while limiting the occurrence of false positive results typically associated with data snooping. By exploiting a variety of machine learning techniques, our multiple-testing procedure is robust to omitted factors and missing data. We also prove its asymptotic validity when the number of tests is large relative to the sample si...
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作者：Easley, David; de Prado, Marcos Lopez; O'Hara, Maureen; Zhang, Zhibai
作者单位：Cornell University; Cornell University; Cornell University; Cornell University; New York University; New York University Tandon School of Engineering
摘要：Understanding modern market microstructure phenomena requires large amounts of data and advanced mathematical tools. We demonstrate how machine learning can be applied to microstructural research. We find that microstructure measures continue to provide insights into the price process in current complex markets. Some microstructure features with high explanatory power exhibit low predictive power, while others with less explanatory power have more predictive power. We find that some microstruc...
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作者：Anand, Amber; Samadi, Mehrdad; Sokobin, Jonathan; Venkataraman, Kumar
作者单位：State University of New York (SUNY) System; Southern Methodist University
摘要：Using detailed order handling data, we find that institutional brokers who route more orders to affiliated alternative trading systems (ATSs) are associated with lower execution quality (i.e., lower fill rates and higher implementation shortfall costs). To separate clients' preference for ATSs from brokers' routing decisions, we confirm these results for orders where brokers have more order handling discretion, matched broker analysis that accounts for ATS usage, matched child orders that acco...
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作者：Benamar, Hedi; Foucault, Thierry; Vega, Clara
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Hautes Etudes Commerciales (HEC) Paris
摘要：We use clickstream data to show that investors' demand for information about macroeconomic factors affecting the path of future interest rates is a measure of their uncertainty about this path. In particular, an increase in information demand ahead of influential economic announcements affecting investors' beliefs about future interest rates predicts a stronger reaction of U.S. Treasury note yields to these announcements, as it should if information demand positively covaries with uncertainty....
