37th International Conference of the French Finance Association (AFFI) 26 May 2021 08:00 - 08:30 Welcome Session PhD Workshop Welcome Session PhD Workshop Chair : Ramzi Benkraiem (Audencia) 08:30 - 09:50 Parallel Session PhD-1 1. PhDS1.1 - Risk analysis and...
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37th International Conference of the French Finance Association (AFFI) 26 May 2021 08:00 - 08:30 Welcome Session PhD Workshop Welcome Session PhD Workshop Chair : Ramzi Benkraiem (Audencia) 08:30 - 09:50 Parallel Session PhD-1 1. PhDS1.1 - Risk analysis and modelling Chair: Alexandre GAREL (Audencia) Risk & returns around FOMC press conferences: a novel perspective from computer vision Authors: Alexis Marchal (EPFL & SFI) Presenter: Alexis Marchal (EPFL & SFI) Abstract: I propose a new tool to characterize the resolution of uncertainty around FOMC press conferences. It relies on the construction of a measure capturing the level of discussion complexity between the Fed Chair and reporters during the Q&A sessions. I show that complex discussions are associated with higher equity returns and a drop in realized volatility. The method creates an attention score by quantifying how much the Chair needs to rely on reading internal documents to be able to answer a question. This is accomplished
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