A Matt Levine Effect?

6 Pages Posted: 18 Mar 2023

See all articles by Paul Connell

Paul Connell

Columbia University, Graduate School of Arts and Sciences, Department of Economics

William Fallon

Independent

Nick Foretek

University of Pennsylvania

Date Written: March 12, 2023

Abstract

This paper constructs a novel dataset to explore whether Matt Levine’s vacation drives market volatility as suggested by readers and Levine himself. It finds that contrary to expectations, Levine’s vacations have an (almost) statistically significant effect in the opposite direction: decreasing market volatility. This paper provides a series of potential explanations for this observed market reaction.

Keywords: Matt Levine, Market Volatility, Price Discovery, Sunspots, Vacation

JEL Classification: G00

Suggested Citation

Connell, Paul and Fallon, William and Foretek, Nick, A Matt Levine Effect? (March 12, 2023). Available at SSRN: https://ssrn.com/abstract=4386256 or http://dx.doi.org/10.2139/ssrn.4386256

Paul Connell (Contact Author)

Columbia University, Graduate School of Arts and Sciences, Department of Economics ( email )

New York, NY
United States

William Fallon

Independent

Nick Foretek

University of Pennsylvania

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