Portrait of Daniel Schmidt

Daniel SCHMIDT

Associate Professor of Finance

HEC School of Management

1 Rue de la Liberation - 78350 Jouy-en-Josas - France

Tel: +33 (0)1 39 67 94 08 - Cell: +33 (0)6 52 67 85 97

Email: schmidt@hec.fr

www.hec.fr

About myself

Welcome! I am Associate Professor of Finance at HEC Paris. Please click here to download my CV.

Below you find information on my current research projects. Please click here for a statement summarizing my research.

Research Interests

Information Efficiency, Limited Attention, Portfolio Management, Market Microstructure.

Publications

Distracted Institutional Investors [Internet Appendix]

Exploits rich transaction data to identify distraction effects among institutional investors: distracted institutions are less likely to trade and their trades perform worse, but they are not all that rational about allocating their limited attention.

Journal of Financial & Quantitative Analysis, 2019, Vol. 54, pp. 2453-2491

Glued to the TV: Distracted Noise Traders and Stock Market Liquidity (joint with Joel Peress) [Internet Appendix]

Exploits distracting news events (such as the O.J. Simpson trial) to identify the causal effect of noise trading in financial markets.

Journal of Finance, 2020, Vol. 75, pp. 1083-1133

Stock Market Rumors and Credibility [Internet Appendix]

Develops a cheap talk model to show that short investment horizons can facilitate information sharing between investors.

Review of Financial Studies, 2020, Vol. 33, pp. 3804-3853

Noise Trading Incarnate: Describing a Realistic Noise Trading Process (joint with Joel Peress)

Estimates and describes a realistic noise trading process to help theorists calibrate their models.

Journal of Financial Markets, forthcoming

Fundamental Arbitrage under the Microscope: Evidence from detailed Hedge Fund Transaction Data (joint with Bastian von Beschwitz and Sandro Lunghi) [Internet Appendix]

Long-short equity hedge funds resemble constrained arbitrageurs: their trades generate alpha, but positions are closed too early.

Review of Asset Pricing Studies, forthcoming

Working Papers

Passive Ownership and the Securities Lending Market (joint with Bastian von Beschwitz and Pekka Honkanen)

Passive ownership causally affects equity lending: it increases both the quantity and quality of lendable supply, thereby facilitating short selling and improving market efficiency.

Uncertainty about What's in the Price (joint with Joel Peress)

Develops a model in which investors are unsure about whether their signals are novel or stale. The model predicts an asymmetric price impact for buys and sells as a function of past returns, for which we find strong support in the data.

Learning from Noise? Price and Liquidity Spillovers around Mutual Fund Fire Sales (joint with Pekka Honkanen) [Internet Appendix]

Noise shocks due to mutual fund fire sales spill over onto close economic peers because investors wrongly interpret them as fundamental signals.

revise & resubmit at Review of Asset Pricing Studies

Investors' Attention and Stock Covariation: Evidence from Google Sport Searches

Google searches for sport proxy for investors' inattention to the stock market. In an international sample of 36 countries, they correlate negatively with trading activity and idiosyncratic volatility.