Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City
利用纽约市18-64岁居民急性疾病症状的日常变化，识别投资专业人士患病率的外生波动，发现其降低价格发现效率、交易活跃度、波动率和收益率，并延迟股价对盈利意外和推荐变化的反应。
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.