Daily winners and losers

Ruenzi, Stefan ; Kumar, Alok ; Ungeheuer, Michael

Dokumenttyp:	Präsentation auf Konferenz
Erscheinungsjahr:	2019
Veranstaltungstitel:	5th European Retail Investment Conference 2019
Veranstaltungsort:	Stuttgart, Germany
Veranstaltungsdatum:	10-12 April 2019
Sprache der Veröffentlichung:	Englisch
Einrichtung:	Fakultät für Betriebswirtschaftslehre > Internat. Finanzierung (Ruenzi 2009-)
Fachgebiet:	330 Wirtschaft
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.