Market madness? / Joseph Engelberg in Management science, Vol. 58 N° 2 (Février 2012)  

Public ISBD [article]  inManagement science > Vol. 58 N° 2 (Février 2012) . - pp. 351-364 Titre : Market madness? : The case of mad money Type de document : texte imprimé Auteurs : Joseph Engelberg, Auteur ; Caroline Sasseville, Auteur ; Jared Williams, Auteur Année de publication : 2012 Article en page(s) : pp. 351-364 Note générale : Management Langues : Anglais (eng) Mots-clés : Finance Asset pricing Investment criteria Media Attention Résumé : We use the popular television show Mad Money, hosted by Jim Cramer, to test theories of attention and limits to arbitrage. Stock recommendations on Mad Money constitute attention shocks to a large audience of individual traders. We find that stock recommendations lead to large overnight returns that subsequently reverse over the next few months. The spike-reversal pattern is strongest among small, illiquid stocks that are hard to arbitrage. Using daily Nielsen ratings as a direct measure of attention, we find that the overnight return is strongest when high-income viewership is high. We also find weak price effects among sell recommendations. Taken together, the evidence supports the retail attention hypothesis of Barber and Odean (Barber, B., T. Odean. 2008. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Rev. Financial Stud. 21(2) 785–818) and illustrates the potential role of media in generating mispricing. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/351.abstract [article] Market madness? : The case of mad money [texte imprimé] / Joseph Engelberg, Auteur ; Caroline Sasseville, Auteur ; Jared Williams, Auteur . - 2012 . - pp. 351-364. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 351-364 Mots-clés : Finance Asset pricing Investment criteria Media Attention Résumé : We use the popular television show Mad Money, hosted by Jim Cramer, to test theories of attention and limits to arbitrage. Stock recommendations on Mad Money constitute attention shocks to a large audience of individual traders. We find that stock recommendations lead to large overnight returns that subsequently reverse over the next few months. The spike-reversal pattern is strongest among small, illiquid stocks that are hard to arbitrage. Using daily Nielsen ratings as a direct measure of attention, we find that the overnight return is strongest when high-income viewership is high. We also find weak price effects among sell recommendations. Taken together, the evidence supports the retail attention hypothesis of Barber and Odean (Barber, B., T. Odean. 2008. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Rev. Financial Stud. 21(2) 785–818) and illustrates the potential role of media in generating mispricing. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/351.abstract

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