Samuel M Hartzmark

PhD Candidate

Finance and Business Economics


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 Job Market Paper:

The Worst, the Best, Ignoring All the Rest: The Rank Effect and Trading Behavior

Winner UBS Global Asset Management Award, Financial Research Association 2013

Winner Michael J. Barclay Award, Financial Research Association 2013

Review of Financial Studies Revise and Resubmit

Internet Appendix

Abstract: I document a new stylized fact about how investors trade assets: individuals are more likely to sell the extreme winning and extreme losing positions in their portfolio (“the rank effect”). This effect is not driven by firm-specific information or the level of returns itself, but is associated with the salience of extreme portfolio positions. The rank effect is exhibited by both retail traders and mutual fund managers, and is large enough to induce significant price reversals in stocks of up to 160 basis points per month. The effect indicates that trades in a given stock depend on what else is in an investor’s portfolio.


Invited Presentations: Financial Research Association Conference (Las Vegas, 2013); Boston College (2013), FMA Doctoral Student Consortium (Chicago, 2013)


The Dividend Month Premium (With David Solomon)

Journal of Financial Economics, 2013, 109, 640-660.

Abstract: We document an asset-pricing anomaly whereby companies have positive abnormal returns in months when a dividend is predicted. Abnormal returns in predicted dividend months are high relative to other companies, and relative to dividend-paying companies in months without a predicted dividend, making risk-based explanations unlikely. The anomaly is as large as the value premium, but less volatile.  The premium is consistent with price pressure from dividend-seeking investors. Measures of liquidity and demand for dividends are associated with larger price increases in the period before the ex-day (when there is no news about the dividend), and larger reversals afterwards.


Invited Presentations: European Finance Assosciation (Copenhagen, 2012); Queens Behavioral Finance Conference (2012); California Corporate Finance Conference (2012)

Efficiency and the Disposition Effect in NFL Prediction Markets (With David Solomon)

Quarterly Journal of Finance, 2012, 2(3), 1250013.

Abstract: Examining NFL betting contracts at, we find mispricing consistent with the disposition effect, where investors are more likely to close out profitable positions than losing positions. Prices are too low when teams are ahead and too high when teams are behind. Returns following news events exhibit short-term reversals and longer-term momentum. These results do not appear driven by liquidity or non-financial reasons for trade. Finding the disposition effect in a negative expected return gambling market questions standard explanations for the effect (belief in mean reversion, prospect theory). It is consistent with cognitive dissonance, and models with time-inconsistent behavior.




































 Working Papers:

Economic Uncertainty and Interest Rates

Abstract: A number of simple asset-pricing models predict a positive relation between the risk-free interest rate and expected economic growth, and a negative relation between the interest rate and the uncertainty of growth. I document that economic growth and the interest rate have virtually no relation, while uncertainty and the interest rate have a strong negative relation. This holds when examining up to 140 years of data, using various measures of economic growth and uncertainty, and after controlling for inflation. The result has a number of implications for models such as habit and long-run risks. I show that the negative relation between habit and the interest rate disappears after controlling for uncertainty, while uncertainty retains significant explanatory power.


Invited Presentations: European Finance Association Conference (Cambridge, 2013)



Work in Progress:

Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns

With Tom Chang, David Solomon and Eugene Soltes


Juicing the Dividend Yield: Mutual Funds and the Demand for Dividends

With Larry Harris and David Solomon


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