Why Oh Why Can't We Have a Better Press Corps?

Our financial press:

SSRN-Is the Market Mad? Evidence from Mad Money by Joseph Engelberg, Caroline Sasseville, Jared Williams: We document market inefficiency in the in the days following the buy recommendations of Jim Cramer, host of the popular CNBC show Mad Money. The average cumulative abnormal overnight return for the smallest quartile of recommended stocks is 5.19%, and these returns completely disappear within 12 trading days. We also find that trading volume, buy-sell imbalance, and short sales volume are all significantly higher than normal on the day following Cramer's recommendations. These findings allow us to test hypotheses about the behavior of different types of traders. Finally, our GMM estimates of the components of the bid-ask spread suggest that market makers are aware of Cramer's recommendations and anticipate the order flow imbalance following Cramer's recommendations.

Suggested Citation: Engelberg, Joseph, Sasseville, Caroline and Williams, Jared, "Is the Market Mad? Evidence from Mad Money" (March 15, 2006). Available at SSRN: http://ssrn.com/abstract=870498