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Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City

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  • Lepori, Gabriele M.

Abstract

In the U.S., stock market professionals (e.g., traders, portfolio managers, and analysts) are clustered in New York City (NYC). In view of this, I exploit daily changes in the incidence of acute illness symptoms among 18–64 year old New Yorkers to identify exogenous variation in the rate of acute illness among market professionals and estimate its causal impact on key stock market outcomes. A detailed analysis of taxi trips from a sample of financial institutions to local hospitals provides support for my identification assumption. Other things equal, increased rates of acute physical illness (i.e., reduced productivity) among market professionals hamper price discovery and lower trading activity, volatility, and returns. A one-standard-deviation increase in my illness incidence proxy reduces by 18% (6.7%) the immediate response of stock prices to earnings surprises (changes in analysts’ consensus recommendations) and increases by 29% (42%) their delayed response.

Suggested Citation

  • Lepori, Gabriele M., 2023. "Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 165-181.
    • Handle: RePEc:eee:empfin:v:70:y:2023:i:c:p:165-181
    DOI: 10.1016/j.jempfin.2022.12.003
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    More about this item

    Keywords

    Stock market professionals; Price discovery; Volatility; Trading activity; Acute illness;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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