Daily winners and losers

Ruenzi, Stefan ; Ungeheuer, Michael ; Kumar, Alok

Document Type: Conference presentation
Year of publication: 2017
Conference title: 24. Jahrestagung der Deutschen Gesellschaft für Finanzwirtschaft
Location of the conference venue: Ulm, Germany
Date of the conference: 06-07.10.2017
Publication language: English
Institution: Business School > Internat. Finanzierung (Ruenzi)
Subject: 330 Economics
Abstract: The probably most salient feature of the cross‐section of stock returns is a stock's status as daily top winner  or loser: these stocks are tabulated in many newspapers and on popular webpages, making them highly  visible and subject to attention‐driven buying pressure. We find that stocks ranked as daily winners and  losers last month underperform those that did not make the rankings by 1.60% next month, and 15%‐20%  during the subsequent three years. The stocks that did not make the rankings exhibit an insignificant relation  between idiosyncratic volatility and returns, suggesting that the idiosyncratic volatility puzzle only exists  among ranked stocks.

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

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

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

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