Samuel M. Hartzmark studies asset pricing and behavioral finance. His research has appeared in the Journal of Financial Economics and the Quarterly Journal of Finance, and he has received a number of awards including the UBS Global Asset Management Award, the Michael J. Barclay young scholar award and he was a finalist for the 2014 AQR Insight award.
Hartzmark holds a PhD from Marshall School of Business at the University of Southern California, a MBA from University of Chicago Booth School of Business and a BA in mathematics/economics (summa cum laude) with a double major in religion from Emory University.
While at Emory, Hartzmark interned as an analyst on the macro-policy team at the Federal Reserve Bank of Atlanta. After completing his MBA at Booth, Hartzmark worked in economic consulting at Chicago Partners/Navigant Economics as a senior consultant and then as an associate director.
2014 - 2015 Course Schedule
New: The Worst, the Best, Ignoring All the Rest: The Rank Effect and Trading Behavior
I document a new stylized fact about how investors trade assets: individuals are more likely to sell the extreme winning and extreme losing positions in their portfolio (“the rank effect”). This effect is not driven by firm-specific information, holding period or the level of returns itself, but is associated with the salience of extreme portfolio positions. The rank effect is exhibited by both retail traders and mutual fund managers. The effect indicates that trades in a given stock depend on how it compares to other positions in an investor’s portfolio.
REVISION: Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns
We present evidence that markets fail to properly price information in seasonal earnings patterns. Firms whose earnings are historically larger in one quarter of the year (“high seasonality quarters”) have higher returns when those earnings are usually announced. Analyst forecast errors are more positive in high seasonality quarters, consistent with the returns being driven by mistaken earnings estimates. We show that investors appear to overweight recent lower earnings following a high seasonality quarter, leading to pessimistic forecasts in the subsequent high seasonality quarter. The returns are not explained by announcement risk, firm-specific information, increased volume, earnings management, or calendar effects.
REVISION: Efficiency and the Disposition Effect in NFL Prediction Markets
Examining NFL betting contracts at Tradesports.com, we find mispricing consistent with the disposition effect, where investors are more likely to close out profitable positions than losing positions. Prices are too low when teams are ahead and too high when teams are behind. Returns following news events exhibit short-term reversals and longer-term momentum. These results do not appear driven by liquidity or non-financial reasons for trade. Finding the disposition effect in a negative expected return gambling market questions standard explanations for the effect (belief in mean reversion, prospect theory). It is consistent with cognitive dissonance, and models with time-inconsistent behaviour.
REVISION: The Dividend Month Premium
We document an asset-pricing anomaly whereby companies have positive abnormal returns in months when a dividend is predicted. Abnormal returns in predicted dividend months are high relative to other companies, and relative to dividend-paying companies in months without a predicted dividend, making risk-based explanations unlikely. The anomaly is as large as the value premium, but less volatile. The premium is consistent with price pressure from dividend-seeking investors. Measures of liquidity and demand for dividends are associated with larger price increases in the period before the ex-day (when there is no news about the dividend), and larger reversals afterwards.