Daily Winners and Losers
Daily Winners and Losers
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DOI：
10.2139/ssrn.2931545
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发表时间：
2017-03
期刊：
影响因子：
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通讯作者：
Alok Kumar;S. Ruenzi;Michael Ungeheuer
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文献类型：
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作者：
Alok Kumar;S. Ruenzi;Michael Ungeheuer
对一只股票来说，最重要的事件之一是它每天的涨跌情况：这些股票会在媒体上得到突出报道，从而引起投资者的高度关注。我们证明，排名股票在排名后的一个月内的表现比未排名股票差1.50%以上。为了建立因果关系，我们引入了一种利用非常规回报测量期的识别策略。我们提供了一种新的基于注意力的解决方案，以解决特殊波动率之谜和相关的回报模式，从而为重要的资产定价异常提供了一个简单的统一解释。
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.