Daily winners and losers

Kumar, Alok ; Ruenzi, Stefan ; Ungeheuer, Michael

URL: https://ssrn.com/abstract=2931545
Additional URL: https://web.archive.org/web/20230301150044/https:/...
Document Type: Working paper
Year of publication: 2021
The title of a journal, publication series: SSRN Working Paper Series
Place of publication: Amsterdam
Publishing house: Elsevier
Edition: April 2021
Publication language: English
Institution: Business School > Internat. Finanzierung (Ruenzi 2009-)
Subject: 330 Economics
Keywords (English): salient stock returns , investor attention , idiosyncratic volatility puzzle , retail investors
Abstract: One of the most salient events for a stock is being a daily winner or loser: these stocks are highlighted prominently in the media, leading to investor attention spikes. We demonstrate that ranked stocks underperform unranked stocks by over 1.50% during the month after the ranking, in line with attention-induced overpricing. To establish causality, we introduce an identification strategy that exploits unconventional return-measurement periods. We show that the underperformance of daily winners and losers provides a new attention-based solution for the idiosyncratic volatility puzzle and related return patterns, and thus a simple unifying explanation for important asset pricing anomalies.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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