Daily winners and losers

Ruenzi, Stefan ; Kumar, Alok ; Ungeheuer, Michael

Document Type: Conference presentation
Year of publication: 2019
Conference title: 2019 Boulder Summer Conference on Household Financial Decision Making
Location of the conference venue: Boulder, CO
Date of the conference: May 19-21, 2019
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.

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BASE: Ruenzi, Stefan ; Kumar, Alok ; Ungeheuer, Michael

Google Scholar: Ruenzi, Stefan ; Kumar, Alok ; Ungeheuer, Michael

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

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