Harry Mamaysky

· Professor of Professional Practice in the Faculty of Business

Columbia University · French and Italian

Active 1999–2026

h-index16

Citations2.7k

Papers7224 last 5y

Funding—

Academic metrics are sourced from OpenAlex and public funding records; values may differ from Google Scholar.

Faculty page

See your match with Harry Mamaysky — sign in to PhdFit.Sign in

Research topics

Computer Science
Business
Economics
Finance
Internal medicine
Microeconomics
Econometrics
Financial economics
Financial system
Physics

Selected publications

Financial Markets and News about the Coronavirus
SSRN Electronic Journal · 2020 · 44 citations
1st authorCorresponding
DOI
Investor Information Choice with Macro and Micro Information
The Review of Asset Pricing Studies · 2022 · 27 citations
Senior authorCorresponding
Abstract We develop a model of information and portfolio choice in which ex ante identical investors choose to specialize because of fixed attention costs required in learning about securities. Without this friction, investors would invest in all securities and would be indifferent across a wide range of information choices. When securities’ dividends depend on an aggregate (macro) risk factor and idiosyncratic (micro) shocks, fixed attention costs lead investors to specialize in either macro or…
Publisher DOI
Time Variation in the News–Returns Relationship
Journal of Financial and Quantitative Analysis · 2023 · 13 citations
Senior authorCorresponding
Abstract The speed of stock price reaction to news exhibits substantial time variation. Higher risk-bearing capacity of financial intermediaries, lower passive ownership of stocks, and more informative news increase price responses to contemporaneous news; surprisingly, these interaction variables also increase price responses to lagged news (underreaction). A simple model with limited attention and three investor types (institutional, noninstitutional, and passive) predicts the observed variati…
Publisher OA PDF DOI
Choosing news topics to explain stock market returns
2020-10-15 · 6 citations
preprintOpen accessSenior author
We analyze methods for selecting topics in news articles to explain stock returns. We find, through empirical and theoretical results, that supervised Latent Dirichlet Allocation (sLDA) implemented through Gibbs sampling in a stochastic EM algorithm will often overfit returns to the detriment of the topic model. We obtain better out-of-sample performance through a random search of plain LDA models. A branching procedure that reinforces effective topic assignments often performs best. We test the…
Publisher OA PDF DOI
Dynamic Information Regimes in Financial Markets
Management Science · 2023-10-24 · 4 citations
articleOpen access
We develop a model of investor information choices and asset prices in which the availability of information about fundamentals is time-varying and responds to investor demand for information. A competitive research sector produces more information when more investors are willing to pay for that research. This feedback, from investor willingness to pay for information to more information production, generates two regimes in equilibrium, one having high prices and low volatility, the other the op…
Publisher OA PDF DOI

Frequent coauthors

Charles W. Calomiris
Utah State University
56 shared
Paul Glasserman
Columbia University
18 shared
Andrew W. Lo
9 shared
Matthew Spiegel
Yale University
6 shared
Yiwen Shen
Tianjin University of Technology and Education
6 shared
Nida Çakır Melek
5 shared
Hua He
Sichuan University
5 shared
Jiang Wang
Taiyuan University of Technology
4 shared

Education

PhD, Finance
Massachusetts Institute of Technology Sloan School of Management
2000

Similar researchers at Columbia University

Resume-aware match score
Save to shortlist
AI-drafted outreach

See your match with Harry Mamaysky

PhdFit ranks faculty by your research interests, methods, and publications — grounded in their actual work, not templates.

Free to start
No credit card
30-second signup