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Daily winners and losers
Kumar, Alok
;
Ruenzi, Stefan
;
Ungeheuer, Michael
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URL:
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https://papers.ssrn.com/sol3/papers.cfm?abstract_i...
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Document Type:
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Conference or workshop publication
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Year of publication:
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2018
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Book title:
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The American Finance Association 2018 Annual Meeting : January 5-7, 2018 in Philadelphia, PA, 2018 Preliminary Program and Ph.D. Poster Session
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Page range:
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1-76
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Conference title:
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The American Finance Association 2018 Annual Meeting
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Location of the conference venue:
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Philadelphia, PA
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Date of the conference:
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January 5-7, 2018
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Place of publication:
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Salt Lake City, UT
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Publishing house:
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American Finance Association
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Publication language:
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English
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Institution:
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Business School > Internat. Finanzierung (Ruenzi 2009-)
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Subject:
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330 Economics
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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 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.
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 | Dieser Eintrag ist Teil der Universitätsbibliographie. |
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