Green Nested Simulation with Application in Portfolio Risk Measurement

Speaker：Guo Feng（Associate Professor, School of Public Economics and Management, Shanghai University of Finance and Economics）

Host：Yanchu Liu, Associate Professor, Lingnan College

Time and Date：14:30-17:30, Jan.13, 2023

Language: English +Chinese

Tencent meeting: 413-364-210

Abstract:

This paper introduces a new method to identify economic links between firms based on social media text. If social media users discuss a firm extensively in the relevant social media subforum of another firm, this paper considers the two firms to have explicit or implicit economic links. To this end, this paper takes the sudden suspension of the IPO process of Ant Group, the world’s largest FinTech group, in November 2020, as an exogenous shock and analyzes the economic consequences of social media connections (SMCs) among firms. The study finds that the suspension of Ant Group’s IPO has a negative impact on the stock prices of firms which have SMCs with Ant Group. The price spillover effect remains consistent after multiple robustness and placebo tests. Additionally, the SMCs also have real effects: corporate investment and financial asset investment of firms related to Ant Group through the SMCs is also affected after the suspension.

Profile of the speaker:

Guo Feng is an associate professor and doctoral supervisor of the Department of Investment, School of Public Economics and Management, Shanghai University of Finance and Economics, and a special senior researcher of the Research Center for Digital Finance, Peking University. Her research fields include digital economy and digital finance, machine learning and big data analysis, and public economics. He has published more than 50 papers in Chinese and English academic journals such as Economic Research, Economics (Quarterly), Management World, Journal of Management Science, Journal of Economic Behavior & Organization, and China Economic Review. He has published 3 academic monographs and several books. He has presided over more than 10 projects, such as National Social Science Fund for Youth, Shanghai Philosophy and Social Science Planning Project, and Postdoctoral Science Foundation Project.