Acute illness symptoms among investment professionals and stock market dynamics: evidence from New York City
Acute illness symptoms among investment professionals and stock market dynamics: evidence from New York City
In the U.S., stock market professionals (e.g., traders, portfolio managers, and analysts) are clus-tered in New York City (NYC). In view of this, I exploit daily changes in the incidence of acute illness symptoms among 18-64 year old New Yorkers to identify exogenous variation in the rate of acute illness among market professionals and estimate its causal impact on key stock market outcomes. A detailed analysis of taxi trips from a sample of financial institutions to local hospi-tals provides support for my identification assumption. Other things equal, increased rates of acute physical illness (i.e., reduced productivity) among market professionals hamper price dis-covery and lower trading activity, volatility, and returns. A one-standard-deviation increase in my illness incidence proxy reduces by 18% (6.7%) the immediate response of stock prices to earnings surprises (changes in analysts’ consensus recommendations) and increases by 29% (42%) their delayed response.
Stock market professionals, acute illness, price discovery, trading activity, volatility
165-181
Lepori, Gabriele
551865b7-2e3a-4de1-aaf9-6c7f23e32e8d
15 December 2022
Lepori, Gabriele
551865b7-2e3a-4de1-aaf9-6c7f23e32e8d
Lepori, Gabriele
(2022)
Acute illness symptoms among investment professionals and stock market dynamics: evidence from New York City.
Journal of Empirical Finance, 70, .
(doi:10.1016/j.jempfin.2022.12.003).
Abstract
In the U.S., stock market professionals (e.g., traders, portfolio managers, and analysts) are clus-tered in New York City (NYC). In view of this, I exploit daily changes in the incidence of acute illness symptoms among 18-64 year old New Yorkers to identify exogenous variation in the rate of acute illness among market professionals and estimate its causal impact on key stock market outcomes. A detailed analysis of taxi trips from a sample of financial institutions to local hospi-tals provides support for my identification assumption. Other things equal, increased rates of acute physical illness (i.e., reduced productivity) among market professionals hamper price dis-covery and lower trading activity, volatility, and returns. A one-standard-deviation increase in my illness incidence proxy reduces by 18% (6.7%) the immediate response of stock prices to earnings surprises (changes in analysts’ consensus recommendations) and increases by 29% (42%) their delayed response.
Text
AcceptedPaper
- Accepted Manuscript
Text
1-s2.0-S0927539822001098-main
- Version of Record
More information
Accepted/In Press date: 4 December 2022
e-pub ahead of print date: 6 December 2022
Published date: 15 December 2022
Keywords:
Stock market professionals, acute illness, price discovery, trading activity, volatility
Identifiers
Local EPrints ID: 473277
URI: http://eprints.soton.ac.uk/id/eprint/473277
ISSN: 0927-5398
PURE UUID: 25f32a2d-d9a0-46ba-9a1b-853819bfb09b
Catalogue record
Date deposited: 13 Jan 2023 17:39
Last modified: 17 Mar 2024 03:58
Export record
Altmetrics
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics
