The "CAPS" Prediction System and Stock Market Returns

Christopher Avery, Judith Chevalier and Richard Zeckhauser
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Christopher Avery: Harvard University

Working Paper Series from Harvard University, John F. Kennedy School of Government

Abstract: We analyze the informational content of more than 1.2 million stock picks provided by more than 60,000 individuals from November 1, 2006 to October 31, 2007 on the CAPS open access website created by the Motley Fool company (www.caps.fool.com). On average, an individual pick in CAPS outperformed the S&P 500 index by 4 percentage points in the twelve months after the pick. We use a four-factor regression framework to estimate the excess returns associated with portfolios that aggregate these picks; a portfolio of the most popular CAPS stocks yielded excess returns of more than 18 percentage points annually relative to the portfolio of the least popular stocks.

Date: 2009-04
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Related works:
Journal Article: The "CAPS" Prediction System and Stock Market Returns (2016)
Working Paper: The "CAPS" Prediction System and Stock Market Returns (2011)
Working Paper: The "CAPS" Prediction System and Stock Market Returns (2011)
Working Paper: The "CAPS" Prediction System and Stock Market Returns (2011)
Working Paper: The CAPS Prediction System and Stock Market Returns (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ecl:harjfk:rwp09-011

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