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Lunch with HBS Professor Christopher Malloy
Wed 26 April 2017, 12:30 PM – 2:00 PM HKT
“Behavioral Finance, Web Traffic, and Web Scraping”
Professor Malloy will present a brief overview of the field of behavioral finance, and then a look at two of his recent papers. In his overview, Professor Malloy will summarize the advances of the past decade but also include some speculation about the most promising directions for the next decade, including social network analysis and the future of unstructured data. As an example of current and future work in the field, his paper “Lazy Prices” exploits data scraped from the SEC’s website and shows that changes to the language and construction of annual financial reports (10-Ks) have strong predictive power for firms’ future stock returns: a portfolio that shorts “changers” and buys “non-changers” earns up to 188 basis points per month (over 22% per year) in abnormal returns in the future. His next paper, “IQ from IP: Simplifying Search in Portfolio Choice” examines web traffic by institutional investors on the SEC’s EDGAR servers between 2003 and 2016, and shows that mutual fund managers’ gather information on a very particular subset of firms and insiders, and that their surveillance stays largely unchanged over time. The average tracked stock that an institution sells generates 7.5% in annualized abnormal returns, whereas the sale of an average non-tracked stock adds no alpha.
Christopher Malloy is the Sylvan C. Coleman Professor of Financial Management in the Finance Unit at Harvard Business School, and a Research Associate at the National Bureau of Economic Research. Prior to joining HBS in 2007, Professor Malloy was an Assistant Professor in the Finance Department at London Business School, where he was on faculty from 2003-2007. Professor Mal_loy currently teaches the second semester investment strategies and stock pitching courses at HBS, and has previously taught courses in behavioral finance, corporate finance, and equity investment management. His research focuses on behavioral finance, asset pricing, investments and portfolio choice, labor economics, and empirical corporate finance. His research has appeared in the Journal of Political Economy, the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies, and has been described in The Financial Times, The Wall Street Journal, The New York Times, and various other media outlets. Professor Malloy received a PhD in Finance and an MBA from The University of Chicago Graduate School of Business, and a BA in Economics from Yale University. Before beginning his doctoral studies, he worked at the Board of Governors of the Federal Reserve System in Washington, DC in the Monetary and Financial Studies Section.
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