February 24, 2014
You will find below recordings and access to the slides of all sessions
Clara has studied the relationship between public news and equity price movements. How much does firm-specific, public news explain daily equity price variation? What is the importance of firm-specific news in explaining asset price movements varies across firms, across time, and across news types? Clara discusses possible theoretical explanations for the findings and proposes a new measure of firm's transparency and shows its relationship to the firm's cost of capital.
Peter and Aakarsh provide evidence of supply chain contagion when new information arrives in the market. Using FactSet Supply Chain Relationship and RavenPack data, they show how the stock price impact of news on “supplier” companies depends on both the amount of media attention and the sentiment implied by the news - with greater impact when “supplier” companies are not the focus of media attention.
Sasha presents research on generating prediction signals using RavenPack data on US stocks. Specifically looking at the period between the moment a news event is detected and the end of the next trading day.
Andrea presents evidence of the relationship between event sentiment and the perceived riskiness and liquidity of the financial sector and names within the sector, these being the key determinants of CDS spreads.
David presents data on Arialytics’ ability to forecast, using RavenPack data alongside vanilla market data, expected one-month returns on US stocks.
Ian presents a case study on quantitatively measuring country-level political risk in real-time. He looks at a couple of emerging and developed markets in the case study.
Ilya discusses how the arrival of macroeconomic news data ca nbe used to create a profitable forex trading strategy.
Jeremiah is talking about the results of two studies he’s worked on - one being how coverage in the business press affects the price of stocks; the second being the relationship between the accuracy and timeliness of credit ratings changes and business press coverage.
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