Short the Biggest Daily Movers?
March 30, 2017 - Technical Trading
Do attention-driven retail stock investors bid prices of the biggest daily movers to overvaluation? In their March 2017 paper entitled “Daily Winners and Losers”, Alok Kumar, Stefan Ruenzi and Michael Ungeheuer examine the subsequent return behaviors of the biggest daily winning and losing stocks. Specifically, they each day identify the 80 stocks with the highest daily returns (winners) and… Keep Reading