MCFAM Seminar Series: “Machine Forecast Disagreement and Equity Returns"
Please join us for our next seminar! This seminar will feature Turan G. Bali from Georgetown University who will discuss machine forecast disagreement and equity returns.
About the lecture
Professor Bali and his colleagues propose a novel measure of divergence of opinion among investors about stock value based on the dispersion in machines’ expected return forecasts. Compared to financial analysts, machines have neither behavioral biases nor conflicts of interest, thus the researchers argue that machine forecast disagreement provides an objective measure of investor disagreement. After introducing a new measure of firm-specific uncertainty proxied by the degree of disagreement of machines’ future return forecasts, they show that this newly proposed, objective measure of uncertainty (or investor disagreement) does have a significant impact on the cross-sectional pricing of individual stocks.
About the speaker
Turan G. Bali is the Robert Parker Chair Professor of Finance at the McDonough School of Business at Georgetown University. He received his Ph.D. from the Graduate School and University Center of the City University of New York in 1999. He also held visiting faculty positions at New York University and Princeton University. Bali specializes in asset pricing, risk management, fixed income securities, and financial derivatives.