A Tough Act to Follow: Contrast Effects In Financial Markets
---- Acknowledgements ----
We are grateful to Ross Garon at Cubist Systematic Solutions for helpful suggestions. We thank Yiran Fan, Menaka Hampole, Michael Watson, and Linda Ye for excellent research assistance. We thank John Beshears, Justin Birru, James Choi, Diego Garcia, Nicola Gennaioli, Wesley Gray, Terrence Hendershott, Owen Lamont, Bill Mayew, Quoc Nguyen, Josh Schwartzstein, Andrei Shleifer, Doug Skinner, Eric So, David Solomon, and Boris Vallee as well as seminar participants at AFA Annual Meeting, AQR Insight Award Meeting, Arrow Street Capital, BEAM, City University of Hong Kong, Chicago Booth, Colorado Finance Summit, Cubist Systematic Solutions, FIRN, Frontiers in Finance Conference, FSU Suntrust Finance Conference, Gerzensee ESSFM, Harvard Economics, Helsinki Finance Summit, IDC, London Business School, Maastricht University, MIT Sloan JFFC, NBER Behavioral Finance, Tilburg University, UBC Winter Finance Conference, and the Wharton Jacobs Levy Forum for comments. We thank Sam Hanson and Adi Sunderam for sharing data. The authors have nothing to disclose. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.