Asaf Manela

Associate Professor of Finance
Washington University in St. Louis
Olin Business School
(314) 935-9178
amanelaatwustl.edu

Research interests

Asset Pricing, Financial Intermediation, Machine Learning, Text Analysis, Information Economics.

News

New Text data is inherently ultra-high dimensional, which makes machine learning techniques indispensable for textual analysis. In a new paper, we develop an economically motivated high dimensional selection model that improves machine learning from text (and from sparse counts data more generally). We apply our framework to backcast, nowcast, and forecast financial variables using newspaper text, and find that it substantially improves out-of-sample fit relative to alternative state-of-the-art approaches.

Presentations: NBER AP, École polytechnique fédérale de Lausanne, Hebrew University, IDC Herzliya, INSEAD, Tel-aviv University, CITE Conference in Chicago, Ohio State, Indiana University, Rice University