Daily winners and losers


Kumar, Alok ; Ruenzi, Stefan ; Ungeheuer, Michael



DOI: https://doi.org/10.2139/ssrn.2931545
URL: https://poseidon01.ssrn.com/delivery.php?ID=411020...
Additional URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_i...
Document Type: Working paper
Year of publication: 2017
Place of publication: Philadelphia, Pennsylvania
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 many newspapers and on popular webpages, making them subject to spikes in attention. In line with the literature on attention-grabbing stocks, we find that retail investor buying pressure surges when stocks are ranked. After the ranking, stocks underperform unranked stocks by 1.60% (15%-20%) during the subsequent month (three years). For unranked stocks, the idiosyncratic volatility puzzle and related anomalies (maximum daily returns, expected idiosyncratic skewness) disappear. Hence, attention-driven overpricing of daily winners and losers provides a simple explanation for several puzzling patterns in empirical asset pricing.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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