Faculty & Research

Samuel Hartzmark

Assistant Professor of Finance

Phone :
Address :
5807 South Woodlawn Avenue
Chicago, IL 60637

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

Number Name Quarter
35121 Behavioral Finance 2015 (Spring)

REVISION: Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns
Date Posted: Apr  09, 2015
We present evidence consistent with markets failing to properly price information in seasonal earnings patterns. Firms with historically larger earnings in one quarter of the year (“positive seasonality quarters”) have higher returns when those earnings are usually announced. Analysts have more positive forecast errors in positive seasonality quarters, consistent with the returns being driven by mistaken earnings estimates. We show that investors appear to overweight recent lower earnings following positive seasonality quarters, leading to pessimistic forecasts in the subsequent positive seasonality quarter. The returns are not explained by a number of risk-based explanations, firm-specific information, increased volume, or idiosyncratic volatility.

REVISION: The Worst, the Best, Ignoring All the Rest: The Rank Effect and Trading Behavior
Date Posted: Dec  30, 2014
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.

New: Juicing the Dividend Yield: Mutual Funds and the Demand for Dividends
Date Posted: Oct  17, 2014
Some mutual funds purchase stocks before dividend payments to artificially increase their dividends, which we call "juicing." Funds paid more than twice the dividends implied by their holdings in 7.4% of fund-years examined. Juicing is associated with larger inflows, and is more common among funds with unsophisticated investors. This behavior is consistent with an underlying investor demand for dividends, but is hard to explain by taxes or need for income, as funds can generate equivalent tax-free distributions by returning capital. Juicing is costly to investors through higher turnover and increased taxes of 0.57% to 1.52% of fund assets per year.

REVISION: Efficiency and the Disposition Effect in NFL Prediction Markets
Date Posted: Jun  28, 2014
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
Date Posted: Jun  28, 2014
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.