[Colloquium] Jingwen Jiang Dissertation Defense/Dec 6, 2022

[Megan Woodward]

This is an announcement of Jingwen Jiang's Dissertation Defense.
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Candidate: Jingwen Jiang

Date: Tuesday, December 06, 2022

Time:  1 pm CST

Remote Location:  https://uchicago.zoom.us/j/97772156520?pwd=bGl5QnByWTA5Vk8rbjdsUitMYWhzdz09

Title: Expected Returns and Foundation Models of Language

Abstract: We extract contextualized representations of news text to predict returns using the state-of-the-art foundation models in natural language processing. The contextualized representation of news reflects its content more accurately than the bag-of-words representation prevalent in the literature. In particular, the latter approach is more prone to errors when negation words appear in news articles. Moreover, we provide polyglot evidence on news-induced return predictability in 16 international equity markets with news written in 13 different languages. Information in newswires is assimilated into prices with an inefficient delay that is broadly consistent with limits-to-arbitrage, yet can be exploited in a real-time trading strategy. Furthermore, a trading strategy that exploits fresh news in the form of news alerts leads to even higher Sharpe ratios.

Advisors: Dacheng Xiu

Co-advisor: Janos Simon

Committee Members: Dacheng Xiu, Janos Simon, and Chenhao Tan
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