Welcome to my website! I am Dat Mai, a quantitative researcher at MKT MediaStats where I conduct research on return prediction, portfolio optimization, and asset allocation using media-based signals.
I earned a PhD in finance from the University of Missouri and I am a CFA charterholder.
This website contains information on my research which focuses on asset pricing, investments, and artificial intelligence. The views expressed are solely my own.
Journal and Conference Publications
War Discourse and the Cross Section of Expected Stock Returns
D Hirshleifer, D Mai, K Pukthuanthong
Journal of Finance (forthcoming)
War Discourse and the Disaster Premium: 160 Years of Evidence from Stock Market
D Hirshleifer, D Mai, K Pukthuanthong
Review of Financial Studies (forthcoming)
Investor Sentiment and Asset Returns: Actions Speak Louder Than Words
X Dong, D Mai, K Pukthuanthong, G Zhou
Journal of Portfolio Management (forthcoming)
Time-Varying Drivers of Stock Prices
D Mai
Financial Analysts Journal, 2024, 80 (4), 108-133
StockGPT: A GenAI Model for Stock Prediction and Trading
D Mai
Chicago Quantitative Alliance (CQA) Fall Conference, 2024
Economic Narratives and Market Outcomes: A Semi-Supervised Topic Modeling Approach
D Mai, K Pukthuanthong
Northen Finance Association (NFA) Annual Conference, 2021
Stock Market Reaction to Dividend Announcements in Vietnamese Stock Market
D Mai, T Tran
International Journal of Economics and Finance, 2015, 7 (9), 50-58
Selected working papers
AI Narrative and Stock Mispricing
A Bandyopadhyay, D Mai, K Pukthuanthong
--- Media coverage: Barron’s, Mizzou News Release, Alpha Architect
Change in Consumption Growth and the Cross-Section of Expected Returns
D Mai