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Daily winners and losers
Ruenzi, Stefan
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Kumar, Alok
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Ungeheuer, Michael
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Dokumenttyp:
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Präsentation auf Konferenz
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Erscheinungsjahr:
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2019
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Veranstaltungstitel:
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2019 Boulder Summer Conference on Household Financial Decision Making
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Veranstaltungsort:
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Boulder, CO
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Veranstaltungsdatum:
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19.-21.05.2019
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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 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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 Suche Autoren in
BASE:
Ruenzi, Stefan
;
Kumar, Alok
;
Ungeheuer, Michael
Google Scholar:
Ruenzi, Stefan
;
Kumar, Alok
;
Ungeheuer, Michael
ORCID:
Ruenzi, Stefan  ORCID: https://orcid.org/0000-0002-6492-1701, Kumar, Alok and Ungeheuer, Michael
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