Portrait of Daniel Schmidt

Daniel SCHMIDT

Assistant 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 Assistant Professor of Finance at HEC Paris. Please click here to download my CV.

Below you find information on my current research projects.

Research Interests

Information in Financial Markets, Limited Attention, Behavioral Finance, Liquidity, Insider Trading.

Working Papers

NEW: Limits of Arbitrage under the Microscope: Evidence from detailed Hedge Fund Transaction Data (joint with Bastian von Beschwitz and Sandro Lunghi)

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

Price and Liquidity Spillovers during Fire Sale Episodes (joint with Pekka Honkanen) [Internet Appendix]

Impact-reversal patterns from mutual fund fire sales spill over to close economic peers, consistent with cross-asset learning from stock prices.

Glued to the TV: Distracted Retail Investors 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.

revise & resubmit at the Journal of Finance

Stock Market Rumors and Credibility [Internet Appendix]

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

revise & resubmit at the Review of Financial Studies

Distracted Institutional Investors

Exploits rich transaction data to identify distraction effects among institutional investors: distracted institutions are less likely to trade a stock, but are not all that rational about allocating their limited attention. They are less likely to close losing positions, exacerbating the disposition effect.

revise & resubmit at the Journal of Financial & Quantitative Analysis

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.

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.

Insider Trading in the Bond Market: Evidence from Loan Sale Events (joint with Massimo Massa)

Loan trading benefits the holders of outstanding corporate bonds by reducing information asymmetry.

revise & resubmit at the Journal of Financial & Quantitative Analysis