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  • Apr
    16

    Does Overnight News Explain Overnight Returns?

    Department of Industrial Engineering and Management Sciences (IEMS)

    11:00 AM Krebs Classroom, North Campus Parking Garage/Academic Building

    EVENT DETAILS

    Abstract: Over the past 30 years, nearly all the gains in the U.S. stock market have been earned overnight, while average intraday returns have been negative or flat. We find that a large part of this effect can be explained by differences between intraday and overnight news and the response to news. Our analysis uses a collection of over a million news articles. We use supervised topic analysis technique that selects news topics based on their ability to explain contemporaneous market returns. We find that differences in the mix of news topics and differences in the responses to news topics both contribute to the difference in intraday and overnight returns. In out-of-sample tests, our approach forecasts which stocks will do particularly well overnight and particularly poorly intraday. We contrast the effect of news with other mechanisms proposed in the literature to explain overnight returns. This is joint work with Kriste Krstovski, Paul Laliberte, and Harry Mamaysky.

    Bio: Paul Glasserman is the Jack R. Anderson Professor Business at Columbia Business School, and he is chair of the Financial and Business Analytics center in Columbia University's Data Science Institute. His research interests lie at the intersection of data science and quantitative finance; recent projects include work on properties of implied volatility, stress testing, systemic risk, swing pricing, and applications of natural language processing in finance. Paul received the 2006 Lanchester Prize for his book, Monte Carlo Methods in Financial Engineering, and he is also a past recipient of Risk magazine's Quant of the Year Award (2007) and the IAQF Financial Engineer of the Year Award (2020).

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    TIME Tuesday, April 16, 2024 at 11:00 AM - 12:00 PM

    LOCATION Krebs Classroom, North Campus Parking Garage/Academic Building    map it

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    CONTACT Kendall Minta    kendall.minta@gmail.com EMAIL

    CALENDAR Department of Industrial Engineering and Management Sciences (IEMS)

  • Feb
    17

    IEMS Nemhauser and Nelson Best Student Paper Seminar

    Department of Industrial Engineering and Management Sciences (IEMS)

    11:00 AM A230, Technological Institute

    EVENT DETAILS

    TIME Tuesday, February 17, 2026 at 11:00 AM - 12:00 PM

    LOCATION A230, Technological Institute    map it

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    CONTACT Kendall Minta    kendall.minta@gmail.com EMAIL

    CALENDAR Department of Industrial Engineering and Management Sciences (IEMS)

  • Mar
    3

    IEMS Seminar 03/03 Shane Henderson Winter 2026

    Department of Industrial Engineering and Management Sciences (IEMS)

    11:00 AM A230, Technological Institute

    EVENT DETAILSmore info

    TIME Tuesday, March 3, 2026 at 11:00 AM - 12:00 PM

    LOCATION A230, Technological Institute    map it

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    CONTACT Kendall Minta    kendall.minta@gmail.com EMAIL

    CALENDAR Department of Industrial Engineering and Management Sciences (IEMS)

  • Mar
    10

    IEMS Seminar 3/10 Nabarun Deb Winter 2026

    Department of Industrial Engineering and Management Sciences (IEMS)

    11:00 AM A230, Technological Institute

    EVENT DETAILSmore info

    TIME Tuesday, March 10, 2026 at 11:00 AM - 12:00 PM

    LOCATION A230, Technological Institute    map it

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    CONTACT Kendall Minta    kendall.minta@gmail.com EMAIL

    CALENDAR Department of Industrial Engineering and Management Sciences (IEMS)