Auflistung LIF-SAFE Working Papers nach Autor "Getmansky, Mila"

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    • A Modern Take on Market Efficiency: The Impact of Trump’s Tweets on Financial Markets 

      Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; Getmansky, Mila; Simon, Zorka (2021-05-06)
      We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its use for government communication affects the aggregate stock markets. To measure this effect, we ...

    • Global Realignment in Financial Market Dynamics: Evidence from ETF Networks 

      Billio, Monica; Lo, Andrew W.; Pelizzon, Loriana; Getmansky, Mila; Zareei, Abalfazl (2021-02-04)
      The centrality of the United States in the global financial system is taken for granted, but its response to recent political and epidemiological events has suggested that China now holds a comparable position. Using ...

    • Market impact of government communication: The case of presidential tweets 

      Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; Getmansky, Mila; Simon, Zorka (2021-10-06)
      "We propose the ""President reacts to news"" channel of stock returns by studying the financial market impact of the Twitter account of the 45th president of the United States, Donald Trump. We use machine learning algorithms ...

    • Portfolio Similarity and Asset Liquidation in the Insurance Industry 

      Girardi, Giulio; Hanley, Kathleen Weiss; Nikolova, Stanislava; Pelizzon, Loriana; Getmansky, Mila (2018-07-30)
      An important assumption underlying the designation of some insurers as systemically important is that their overlapping portfolio holdings can result in common selling. We measure the overlap in holdings using cosine ...