Abstract

http://ssrn.com/abstract=870498
 
 

References (31)



 
 

Citations (13)



 


 



Market Madness? The Case of Mad Money


Joseph Engelberg


University of California, San Diego (UCSD) - Rady School of Management

Caroline Sasseville


Kellogg School of Management - Department of Finance

Jared Williams


Pennsylvania State University - Department of Finance

October 20, 2010


Abstract:     
We use the popular television show Mad Money hosted by Jim Cramer to test theories of attention and limits to arbitrage. Stock recommendations on Mad Money constitute attention shocks to a large audience of individual traders. We find that stock recommendations lead to large overnight returns which subsequently reverse over the next few months. The spike-reversal pattern is strongest among small, illiquid stocks that are hard-to-arbitrage. Using daily Nielsen ratings as a direct measure of attention, we find the overnight return is strongest when high income viewership is high. We also find weak price effects among sell recommendations. Taken together, the evidence supports the retail attention hypothesis of Barber and Odean (2008) and illustrates the potential role of media in generating mispricing.

Number of Pages in PDF File: 37

Keywords: market efficiency, Mad Money, Jim Cramer, stock recommendations, CNBC, investor attention

JEL Classification: G14, G11, C15

working papers series


Download This Paper

Date posted: December 16, 2005 ; Last revised: November 7, 2010

Suggested Citation

Engelberg, Joseph and Sasseville, Caroline and Williams, Jared, Market Madness? The Case of Mad Money (October 20, 2010). Available at SSRN: http://ssrn.com/abstract=870498 or http://dx.doi.org/10.2139/ssrn.870498

Contact Information

Joseph Engelberg (Contact Author)
University of California, San Diego (UCSD) - Rady School of Management ( email )
9500 Gilman Drive
Rady School of Management
La Jolla, CA 92093
United States
Caroline Sasseville
Kellogg School of Management - Department of Finance ( email )
Evanston, IL 60208
United States
Jared Williams
Pennsylvania State University - Department of Finance ( email )
344 Business Building
University Park, PA 16802
United States
Feedback to SSRN


Paper statistics
Abstract Views: 35,712
Downloads: 6,817
Download Rank: 380
References:  31
Citations:  13

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.407 seconds