Conference Agenda

We study the effect of a firm's new information disclosure on the information asymmetry between its informed and uninformed investors and its liquidity. To do this, we employ advanced natural language processing (NLP) methods to introduce a novel measure of firms' 10-K filing predictability that quantifies the amount of new information in these reports. Our findings show that more new information is associated with higher bid-ask spreads and lower trading volumes, indicating increased information asymmetry and reduced liquidity, respectively. Notably, institutional ownership moderates these effects, suggesting that sophisticated investors can mitigate the adverse consequences of disclosure unpredictability. An event study analysis further reveals that more new information triggers increased trading activity and abnormal returns immediately after disclosure, though these effects are short-lived.

I propose creating a small set of well-diversified high-dimensional basis portfolios such that stocks within (across) portfolios have the most (least) similar fundamentals, proxied by a large set of characteristics. If the comovement between stocks is a function of a large set of characteristics, the high-dimensional basis portfolios that are distinct in all characteristics show low comovements and high dispersion in expected returns. As a result, the optimal portfolio spanned by high-dimensional basis portfolios displays a sizeable out-of-sample Sharpe ratio of 1.78 with a monthly alpha of 1.71% (t = 11.11), without taking any extreme position on any asset.

Using detailed and comprehensive bank data, we study the impacts that children have on gender gaps in financial choices. It is well established that women are, on average, less likely to participate in risky asset markets and save less. We show that the arrival of children contributes to the gender gaps in these financial choices: At the exact point in time when women become mothers their propensity to participate in risky asset markets drops and their propensity to save through savings accounts does as well, the amounts they hold in savings accounts is reduced as well as their average monthly savings, and they draw down their private pensions. These outcomes are unaffected as men become fathers. We therefore conclude there are “child penalties” in personal finances that contribute to the gender gaps in financial choices.

Order flow internalization by wholesalers has increased in the last decade. Retail order internalization decreases liquidity in lit exchanges, but it may also favor liquidity provision to sophisticated investors. Consequently, their incentives to acquire information will be affected, and this has consequences for price informativeness and market efficiency. We measure short and long term information acquisition and find that the proportion of internalized volume is positively associated with information acquisition at both horizons. We test whether wholesalers use internalized retail order flow to provide liquidity to sophisticated investors showing that the positive effect of internalization on information acquisition is stronger for those stocks preferred by institutional investors and by retail traders. Finally, we use the retail trading boom that started in late 2019 as an exogenous shock to internalization and an instrumental variables approach to address causality and the analysis supports our previous results.

Using a novel dataset from Ant Forest, a green fintech app in Alipay, we explore how gamified social interactions influence the users’ green investment decisions. We find that the users’ green preference, measured by daily low-carbon activities, is enhanced when they engage more in gamified social interactions designed for environmental education, thereby increasing their investment proportion in green mutual funds. Our findings are stronger among male and younger users and those less involved in environmental conservation actions. Our study provides the first mechanism in which gamified social interactions facilitate green investments by enhancing individuals’ green preferences.