2期

最新文章

• Measuring Risk Information AI翻译
  作者：Smith, Kevin C.; So, Eric C.
  作者单位：Stanford University; Massachusetts Institute of Technology (MIT)
  摘要：We develop a measure of how information events impact investors' expectations of risk. The measure is broadly applicable and simple to implement. We derive it from an option-pricing model, where investors anticipate an announcement that simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the measure using firms' earnings announcements, showing that it closely aligns with our model's predictions and offers strong forecastin...
• Assessing Human Information Processing in Lending Decisions: A Machine Learning Approach AI翻译
  作者：Liu, Miao
  作者单位：Boston College
  摘要：Effective financial reporting requires efficient information processing. This paper studies factors that determine efficient information processing. I exploit a unique small business lending setting where I am able to observe the entire codified demographic and accounting information set that loan officers use to make decisions. I decompose the loan officers' decisions into a part driven by codified hard information and a part driven by uncodified soft information. I show that a machine learni...
• Face Value: Trait Impressions, Performance Characteristics, and Market Outcomes for Financial Analysts AI翻译
  作者：Peng, Lin; Teoh, Siew Hong; Wang, Yakun; Yan, Jiawen
  作者单位：City University of New York (CUNY) System; Baruch College (CUNY); University of Cambridge; University of Cambridge; University of California System; University of California Los Angeles; The Chinese University of Hong Kong, Shenzhen; Cornell University
  摘要：Using machine learning-based algorithms, we measure key impressions about sell-side analysts using their LinkedIn photos. We find that impressions of analysts' trustworthiness (TRUST) and dominance (DOM) are positively associated with forecast accuracy, especially after recent in-person meetings between analysts and firm managers. High TRUST also enhances stock return sensitivity to forecast revisions, especially for stocks with high institutional ownership. In contrast, the impression of anal...
• Leveraging Big Data to Study Information Dissemination of Material Firm Events AI翻译
  作者：Li, Bin; Venkatachalam, Mohan
  作者单位：University of Houston System; University of Houston; Duke University
  摘要：Could real-time big data help unravel material firm events? How would it compare with firm disclosure and traditional media in terms of timeliness and completeness? Could big data provide incremental value-relevant information for investors? With these questions in mind, we use a novel data set of cell phone pings (i.e., geolocation signals from mobile devices) to track production disruptions (outages)--material events for U.S. oil refineries. We first validate the construct by examining the e...
• Predicting Future Earnings Changes Using Machine Learning and Detailed Financial Data AI翻译
  作者：Chen, Xi; Cho, Yang Ha (Tony); Dou, Yiwei; Lev, Baruch
  作者单位：New York University; New York University
  摘要：We use machine learning methods and high-dimensional detailed financial data to predict the direction of one-year-ahead earnings changes. Our models show significant out-of-sample predictive power: the area under the receiver operating characteristics curve ranges from 67.52% to 68.66%, significantly higher than the 50% of a random guess. The annual size-adjusted returns to hedge portfolios formed based on the prediction of our models range from 5.02% to 9.74%. Our models outperform two conven...
• Coins for Bombs: The Predictive Ability of On-Chain Transfers for Terrorist Attacks AI翻译
  作者：Amiram, Dan; Jorgensen, Bjorn N.; Rabetti, Daniel
  作者单位：Tel Aviv University; Copenhagen Business School; Hanken School of Economics
  摘要：This study examines whether we can learn from the behavior of blockchain-based transfers to predict the financing of terrorist attacks. We exploit blockchain transaction transparency to map millions of transfers for hundreds of large on-chain service providers. The mapped data set permits us to empirically conduct several analyses. First, we analyze abnormal transfer volume in the vicinity of large-scale highly visible terrorist attacks. We document evidence consistent with heightened activity...
• Managers' Body Expansiveness, Investor Perceptions, and Firm Forecast Errors and Valuation AI翻译
  作者：Davila, Antonio; Guasch, Marti
  作者单位：University of Lausanne; Universitat Ramon Llull; Escuela Superior de Administracion y Direccion de Empresas (ESADE)
  摘要：We examine the relation between a measure of managers' physical display-body expansiveness-and favorable reporting practices (in firm forecasts and valuation information) and performance (survival and funding success). We videotape 154 entrepreneurs pitching their business ideas, and use computer vision software to obtain information about speakers' movements. We show that physical expansiveness correlates with higher forecast errors and proposed firm valuations and lower survival rates yet hi...