Daily winners and losers


Ruenzi, Stefan ; Kumar, Alok ; Ungeheuer, Michael


Document Type: Conference presentation
Year of publication: 2019
Conference title: 5th European Retail Investment Conference 2019
Location of the conference venue: Stuttgart, Germany
Date of the conference: 10-12 April 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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Ruenzi, Stefan ORCID: 0000-0002-6492-1701 ; Kumar, Alok ; Ungeheuer, Michael Daily winners and losers. (2019) 5th European Retail Investment Conference 2019 (Stuttgart, Germany) [Conference presentation]


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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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