July 6-9, 2023, Online and Onsite in Shanghai, China

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Session

Machine Learning, Sentiment, and Asset Pricing

Time:Sunday, July 9, 2023 8:00 - 9:45Location:Stream 7Session Chair:Dongmei Li, University of South Carolina Zoom:

Wisdom of the Institutional Crowd: Implications for Anomaly Returns

AJ Yuan Chen, University of Southern California

Gerard Hoberg, University of Southern California

Miao Ben Zhang, University of Southern California

 Presenter: Miao Ben Zhang, University of Southern California

 Discussant: Hao Jiang, Michigan State University

Betting Against the Crowd: Option Trading and Market Risk Premium

Jie Cao, The Hong Kong Polytechnic University

Gang Li, The Chinese University of Hong Kong

Xintong Zhan, Fudan University

Guofu Zhou, Washington University in St. Louis

 Presenter: Gang Li, The Chinese University of Hong Kong

 Discussant: Sophie Ni, Hong Kong Baptist University

Textual Analysis of Short-seller Research Reports

Xiao Han, City, University of London

Jules van Binsbergen, The Wharton School

Alejandro Lopez-Lira, University of Florida

 Presenter: Xiao Han, City, University of London

 Discussant: Xiaoxia Lou, University of Delaware

There is a Positive Risk Premium for Idiosyncratic Volatility After All

Yufeng Han, University of North Carolina at Charlotte

Weike Xu, Clemson University

 Presenter: Weike Xu, Clemson University

 Discussant: Jie Cao, The Hong Kong Polytechnic University

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