Daily Winners and Losers
122 Pages Posted: 14 Mar 2017 Last revised: 9 Dec 2020
Date Written: December 08, 2020
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. To establish causality, we introduce an identification strategy that exploits unconventional return-measurement periods. We provide 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.
Keywords: Salient stock returns, investor attention, idiosyncratic volatility puzzle, retail investors.
JEL Classification: G11, G12, G14
Suggested Citation: Suggested Citation