Browsing Laboratory for Financial Engineering by Author "Wong, Chi Heem"

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    • When Do Investors Freak Out? Machine Learning Predictions of Panic Selling 

      Elkind, Daniel; Kaminski, Kathryn; Lo, Andrew W.; Siah, Kien Wei; Wong, Chi Heem (Journal of Financial Data Science, 2022)
      Using a novel dataset of 653,455 individual brokerage accounts belonging to 298,556 households, we document the frequency, timing, and duration of panic sales, which we define as a decline of 90% of a household account’s ...