Abstract The probably most salient feature of the cross-section of stock returns is a stock’s status as daily top winner or loser: these stocks are tabulated in many newspapers and on popular webpages, making them highly visible and subject to attention-driven buying pressure. We find that stocks ranked as daily winners and losers last month underperform those that did not make the rankings by 1.60% next month, and 15%-20% during the subsequent three years. The stocks that did not make the rankings exhibit
Källa: Daily Winners and Losers by Alok Kumar, Stefan Ruenzi, Michael Ungeheuer :: SSRN