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  • February 16, 2016: IAQF & Thalesians Seminar Series

February 16, 2016: IAQF & Thalesians Seminar Series

  • 16 Feb 2016
  • 5:45 PM (EST)
  • NYU Kimmel Center, Room 914, 60 Washington Square South, New York, NY

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Does Unusual News Forecast Market Stress?




A Talk by Dr. Harry Mamaysky

 
Abstract

We find that an increase in the "unusualness" of news with negative sentiment predicts an increase in stock market volatility. Our analysis is based on over 360,000 articles on 50 large financial companies, mostly banks and insurers, published in 1996--2014. We find that the interaction between measures of unusualness and sentiment forecasts volatility at both the company-specific and aggregate level. These effects persist for several months. The pattern of response of volatility in our aggregate analysis is consistent with a model of rational inattention among investors.



Biography

Harry Mamaysky is the head of research and a founding partner at Osprey Bay Capital Management LLC. He is a visiting research scholar and adjunct professor at Columbia Business School. He was formerly head of the Systemic Risk Group at Citigroup, and a member of the firm's Risk Executive Committee. Previous to that, he was senior portfolio manager in Citi Principal Strategies, where he co-managed the relative value credit book. Before joining Citigroup, he 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.




About the Series

The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. 


Registration Fees:
Complimentary for IAQF members through this site
Thalesians Members can register here for $25
Non-Members: $25.00 by registering through this site
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