Please join Harry Mamaysky, professor of professional practice at Columbia Business School, Russ Wermers, and Paul Winter, as they examine how financial markets interact with news about the COVID-19 pandemic.
A twelve-topic model optimizes the trade-off between the number of topics and topic coherence. Using this model, Mamaysky will show that before mid-March 2020 markets react more to the same quantum of news when volatility is higher — a phenomenon he calls hypersensitivity. Formal tests identify a structural break in mid-March, post which markets are no longer hypersensitive. In the hypersensitive stage, markets are overly volatile and overreact to news. Despite hypersensitivity, lagged prices better forecast future COVID-19 case counts than does lagged news.
Note: When registering please enter Paul Winter/CFP as the UBS contact.
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