Abstract
Jim Cramer’s recommendations on CNBC’s Mad Money affect the price of the stocks he recommends, but only for a short period. His buy recommendations are positive and significant for 1 day and then fade into losses over the subsequent 29 days. His sell recommendations continue to lose value in the subsequent 29 days. Cramer is sensitive to momentum effects because his buys (sells) increase (decrease) in value in the 30 days prior to his recommendations. Regardless of which model the authors use, they find that Cramer fails to deliver statistically significant alpha, and their evidence suggests that Cramer joins the Wall Street analyst herd when he makes his recommendations.
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Jim Cramer’s recommendations on CNBC’s Mad Money affect the price of the stocks he recommends, but only for a short period. His buy recommendations are positive and significant for 1 day and then fade into losses over the subsequent 29 days. His sell recommendations continue to lose value in the subsequent 29 days. Cramer is sensitive to momentum effects because his buys (sells) increase (decrease) in value in the 30 days prior to his recommendations. Regardless of which model the authors use, they find that Cramer fails to deliver statistically significant alpha, and their evidence suggests that Cramer joins the Wall Street analyst herd when he makes his recommendations.
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