Daily winners and losers


Kumar, Alok ; Ruenzi, Stefan ; Ungeheuer, Michael



URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_i...
Document Type: Conference or workshop publication
Year of publication: 2018
Book title: The American Finance Association 2018 Annual Meeting : January 5-7, 2018 in Philadelphia, PA, 2018 Preliminary Program and Ph.D. Poster Session
Page range: 1-76
Conference title: The American Finance Association 2018 Annual Meeting
Location of the conference venue: Philadelphia, PA
Date of the conference: January 5-7, 2018
Place of publication: Salt Lake City, UT
Publishing house: American Finance Association
Publication language: English
Institution: Business School > Internat. Finanzierung (Ruenzi)
Subject: 330 Economics
Abstract: The arguably most salient feature of the cross-section of stocks is being a daily winner or loser: these stocks are ranked in newspapers and other media, leading to attention spikes. We find that retail investor buying pressure surges for ranked stocks. Subsequently, these stocks underperform unranked stocks by 1.72% (1.60%) during the next month on an equally-weighted (value-weighted) basis. To show causality, we introduce a new return-convention based identification strategy. For unranked stocks, the idiosyncratic volatility puzzle and related anomalies (maximum daily returns, expected idiosyncratic skewness) disappear. Hence, ranking effects provide a simple unifying explanation for several asset pricing anomalies.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Kumar, Alok ; Ruenzi, Stefan ORCID: 0000-0002-6492-1701 ; Ungeheuer, Michael Daily winners and losers. 1-76 In: The American Finance Association 2018 Annual Meeting : January 5-7, 2018 in Philadelphia, PA, 2018 Preliminary Program and Ph.D. Poster Session (2018) Salt Lake City, UT The American Finance Association 2018 Annual Meeting (Philadelphia, PA) [Conference or workshop publication]


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ORCID: Kumar, Alok ; Ruenzi, Stefan ORCID: 0000-0002-6492-1701 ; Ungeheuer, Michael

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