Harry Mamaysky

Harry Mamaysky is a Professor of Professional Practice at Columbia Business School, where he serves as the Director of the Program for Financial Studies. He is also on the Steering Committee of the Columbia-IBM Center for Blockchain and Technology. Harry teaches capital markets and asset pricing to MBA, Masters and PhD students, as well as Executive Education courses on the use of text data in finance, and on corporate bonds. He has consulted for a quantitative investment firm and for a nationally recognized statistical rating organization.

Prior to his return to academia, Harry founded the Systemic Risk Group at Citigroup and served as a member of the firm's Risk Executive Committee. Previous to that, he was a senior portfolio manager in Citi Principal Strategies with a focus on relative value credit trading. He has held positions with Old Lane, Morgan Stanley, and Citicorp. He was also an Assistant Professor of Finance at the Yale School of Management during the period 2000–02.

Harry’s research focuses on equity, exchange rate, volatility, and credit markets, on market microstructure, and on the role of information in the trading process. Harry leads the News & Finance research initiative of Columbia’s Program of Financial Studies, and has used large textual data sets, including news articles, earnings call transcripts, and central bank communications, in his research. His work has appeared in leading academic journals, including the Journal of Finance, the Journal of Political Economy, the Review of Financial Studies, and the Journal of Financial Economics.

Harry earned his PhD in finance from the Massachusetts Institute of Technology. He holds BS and MS degrees in computer science from Brown University.

Research

Journal articles

• Choosing News Topics to Explain Stock Market Returns In Proceedings of the ACM International Conference on AI in Finance (ICAIF-2020) (2020) Coauthor(s): Paul Glasserman, Kriste Krstovski, Harry Mamaysky, Paul Laliberte
• Does unusual news forecast market stress? In Journal of Financial and Quantitative Analysis (2019) Coauthor(s): Paul Glasserman, Harry Mamaysky
• How News and Its Context Drive Risk and Returns Around the World In Journal of Financial Economics (2019) Coauthor(s): Charles Calomiris, Harry Mamaysky
• The time horizon of price responses to quantitative easing In Journal of Banking and Finance (2018) Coauthor(s): Harry Mamaysky
• How useful are aggregate measures of systemic risk? In Journal of Alternative Investments (2016) Coauthor(s): Harry Mamaysky
• Estimating the dynamics of mutual fund alphas and betas In Review of Financial Studies (2008) Coauthor(s): Harry Mamaysky, Matthew Spiegel, Hong Zhang
• Improved forecasting of mutual fund alphas and betas In Review of Finance (2007) Coauthor(s): Harry Mamaysky, Matthew Spiegel, Hong Zhang
• Dynamic trading policies with price impact In Journal of Economic Dynamics & Control (2005) Coauthor(s): Hua He, Harry Mamaysky)
• Asset prices and trading volume under fixed transactions costs In Journal of Political Economy (2004) Coauthor(s): Andrew Lo, Harry Mamaysky, Jiang Wang
• Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation In Journal of Finance (2000) Coauthor(s): Andrew Lo, Harry Mamaysky, Jiang Wang

Working papers

• Predicting the Oil Market (2021) Coauthor(s): Charles Calomiris, Nida Cakir Melek, Harry Mamaysky
• News and Markets in the Time of COVID-19 (2021) Coauthor(s): Harry Mamaysky
• Dynamic Information Regimes in Financial Markets (2021) Coauthor(s): Paul Glasserman, Harry Mamaysky, Yiwen Shen
• Investor Information Choice with Macro and Micro Information (2021) Coauthor(s): Paul Glasserman, Harry Mamaysky
• Measuring the Cost of Regulation: A Text-Based Approach (2020) Coauthor(s): Charles Calomiris, Harry Mamaysky, Ruoke Yang
• Time Variation in the News-Returns Relationship (2019) Coauthor(s): Paul Glasserman, Fulin Li, Harry Mamaysky
• Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes (2019) Coauthor(s): Charles Calomiris, Harry Mamaysky

Education

• PhD Massachusetts Institute of Technology - Sloan School of Management (1996 — 2000)
• Master of Science (MS) Brown University (1992 — 1994)
• BS, BA Brown University (1988 — 1992)

Companies

• Professor of Professional Practice Columbia Business School (2020)
• Director of Program for Financial Studies Columbia Business School (2018)
• Associate Professor of Professional Practice Columbia Business School (2016 — 2020)
• Visiting Research Scholar Columbia Business School (2015 — 2016)
• Systemic Risk Citi (2012 — 2014)
• Portfolio Manager Citi (2008 — 2012)
• Portfolio Manager Old Lane (2006 — 2008)
• Trader and strategist Morgan Stanley (2002 — 2006)
• Assistant Professor Yale School of Management (2000 — 2002)