Engelberg, Joseph; Sasseville, Caroline; Williams, Jared - In: Management Science 58 (2012) 2, pp. 351-364
We use the popular television show <i>Mad Money</i>, hosted by Jim Cramer, to test theories of attention and limits to arbitrage. Stock recommendations on <i>Mad Money</i> constitute attention shocks to a large audience of individual traders. We find that stock recommendations lead to large overnight returns...