Financial data technology, information production and extraction, and the real economy
Prof. Tony Zhenjiang QIN
Associate Professor in Finance
Date: 13 September 2023 (Wednesday)
Time: 13:00 to 14:00pm
Venue: E22 FBA Lobby
Moderator: Prof. Rachel Xiaorong MA, Assistant Professor in Finance
Abstract
We extend a benchmark model in Farboodi and Veldkamp (American Economic Review, 2020, V110: 2485-2523.) to an analytically tractable setting with production functions. We find that the price elasticity of demand, known as an important determinant of firms’ production decisions, also plays a crucial role in determining investors’ allocation between producing information on real product demand and extracting information from order-flow data. The equilibrium financial asset price informativeness, investors’ trading volume, and information extraction (investors’ perceived payoff variance and information production) are bell-shaped (inverted bell-shaped) with respect to the price elasticity of demand, when the firm faces both uncertainties on its product demand and productivity. We also find that the financial asset price informativeness and the firm’s expected profit increase in financial data technology
Speaker
Prof. Qin received his PhD degree in Finance from Aarhus University in Denmark in 2012. Prior to joining UM, he served at Southwestern University of Finance and Economics as an assistant professor and an associate of finance for five years. His areas of research interest include asset pricing and corporate finance. He has published papers in The Accounting Review and Journal of Banking and Finance, etc.
All are welcome!
