Portrait of 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


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

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

During sensational news episodes like the O.J. Simpson trial, retail investors forego trading. The effect is more pronounced for biased investors who end up better off by being distracted. Exploiting such distraction events as shocks to retail trades in financial markets, we find evidence of reduced market liquidity and volatility among stocks with high retail ownership.

revise & resubmit at the Journal of Finance

Stock Market Rumors and Credibility

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

revise & resubmit at the Journal of Financial Economics

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.

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.

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

Work in Progress

Price and Liquidity Spillovers in Stock Markets (joint with Pekka Honkanen)