Daily Winners and Losers

100 Pages Posted: 14 Mar 2017 Last revised: 16 Dec 2019

See all articles by Alok Kumar

Alok Kumar

University of Miami - Miami Herbert Business School

Stefan Ruenzi

University of Mannheim - Department of International Finance

Michael Ungeheuer

Aalto University School of Business

Date Written: December 16, 2019

Abstract

One of the most salient events for a stock is being a daily winner or loser: these stocks are ranked 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. The ranking effect explains the idiosyncratic volatility puzzle and related return patterns based on maximum daily returns or expected idiosyncratic skewness. Our results are consistent with attention-induced overpricing and provide a simple unifying explanation for important asset pricing anomalies.

Keywords: Stock rankings, investor attention, idiosyncratic volatility puzzle, retail investors

JEL Classification: G11, G12, G14

Suggested Citation

Kumar, Alok and Ruenzi, Stefan and Ungeheuer, Michael, Daily Winners and Losers (December 16, 2019). Available at SSRN: https://ssrn.com/abstract=2931545 or http://dx.doi.org/10.2139/ssrn.2931545

Alok Kumar

University of Miami - Miami Herbert Business School ( 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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