Daily Winners and Losers

76 Pages Posted: 14 Mar 2017 Last revised: 11 Apr 2019

See all articles by Alok Kumar

Alok Kumar

University of Miami - School of Business Administration

Stefan Ruenzi

University of Mannheim - Department of International Finance

Michael Ungeheuer

Aalto University School of Business

Date Written: March 28, 2019

Abstract

The arguably most salient feature of the cross-section of stocks is being a daily winner or loser: these stocks are ranked in newspapers and other media, leading to attention spikes. We find that retail investor buying pressure surges for ranked stocks. Subsequently, these stocks underperform unranked stocks by 1.72% (1.60%) during the next month on an equally-weighted (value-weighted) basis. To show causality, we introduce a new return-convention based identification strategy. For unranked stocks, the idiosyncratic volatility puzzle and related anomalies (maximum daily returns, expected idiosyncratic skewness) disappear. Hence, ranking effects provide a simple unifying explanation for several asset pricing anomalies.

Keywords: Investor Attention, Stock Rankings, Retail Investors, Idiosyncratic Volatility Puzzle

JEL Classification: G11, G12, G14

Suggested Citation

Kumar, Alok and Ruenzi, Stefan and Ungeheuer, Michael, Daily Winners and Losers (March 28, 2019). Available at SSRN: https://ssrn.com/abstract=2931545 or http://dx.doi.org/10.2139/ssrn.2931545

Alok Kumar

University of Miami - School of Business Administration ( email )

514 Jenkins Building
Department of Finance
Coral Gables, FL 33124-6552
United States
305-284-1882 (Phone)

HOME PAGE: http://moya.bus.miami.edu/~akumar

Stefan Ruenzi

University of Mannheim - Department of International Finance ( email )

L9, 1-2
Mannheim, 68131
Germany

Michael Ungeheuer (Contact Author)

Aalto University School of Business ( email )

P.O.Box 21210
Aalto, 00076
Finland

HOME PAGE: http://sites.google.com/site/ungeheuermichael/

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