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Daily winners and losers
Kumar, Alok
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Ruenzi, Stefan
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Ungeheuer, Michael
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DOI:
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https://doi.org/10.2139/ssrn.2931545
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URL:
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https://web.archive.org/web/20180603161609/https:/...
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Dokumenttyp:
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Arbeitspapier
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Erscheinungsjahr:
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2017
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Titel einer Zeitschrift oder einer Reihe:
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SSRN Working Paper Series
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Ort der Veröffentlichung:
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Rochester, NY
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Verwandte URLs:
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Sprache der Veröffentlichung:
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Englisch
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Einrichtung:
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Fakultät für Betriebswirtschaftslehre > Internat. Finanzierung (Ruenzi 2009-)
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Fachgebiet:
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330 Wirtschaft
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Abstract:
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The arguably most salient feature of the cross-section of stocks is being a daily winner or loser: these stocks are ranked in many newspapers and on popular webpages, making them subject to spikes in attention. In line with the literature on attention-grabbing stocks, we find that retail investor buying pressure surges when stocks are ranked. After the ranking, stocks underperform unranked stocks by 1.60% (15%-20%) during the subsequent month (three years). For unranked stocks, the idiosyncratic volatility puzzle and related anomalies (maximum daily returns, expected idiosyncratic skewness) disappear. Hence, attention-driven overpricing of daily winners and losers provides a simple explanation for several puzzling patterns in empirical asset pricing.
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 | Dieser Eintrag ist Teil der Universitätsbibliographie. |
 Suche Autoren in
BASE:
Kumar, Alok
;
Ruenzi, Stefan
;
Ungeheuer, Michael
Google Scholar:
Kumar, Alok
;
Ruenzi, Stefan
;
Ungeheuer, Michael
ORCID:
Kumar, Alok, Ruenzi, Stefan  ORCID: https://orcid.org/0000-0002-6492-1701 and Ungeheuer, Michael
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