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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