Portrait of Daniel Schmidt


Assistant Professor of Finance

HEC School of Management

1 Rue de la Liberation - 78350 Jouy-en-Josas - France

Tel: +33 (0)1 39 67 94 08 - Cell: +33 (0)6 52 67 85 97

Email: schmidt@hec.fr


About myself

Welcome! I am Assistant Professor of Finance at HEC Paris. Please click here to download my CV.

Below you find information on my current research projects. Please click here for a statement summarizing my research.

Research Interests

Information Efficiency, Limited Attention, Portfolio Management, Market Microstructure.


Glued to the TV: Distracted Noise Traders and Stock Market Liquidity (joint with Joel Peress) [Internet Appendix]

Exploits distracting news events (such as the O.J. Simpson trial) to identify the causal effect of noise trading in financial markets.

Journal of Finance (forthcoming)

Stock Market Rumors and Credibility [Internet Appendix]

Develops a cheap talk model to show that short investment horizons can facilitate information sharing between investors.

Review of Financial Studies (forthcoming)

Distracted Institutional Investors [Internet Appendix]

Exploits rich transaction data to identify distraction effects among institutional investors: distracted institutions are less likely to trade and their trades perform worse, but they are not all that rational about allocating their limited attention.

Journal of Financial & Quantitative Analysis (forthcoming)

Working Papers

NEW: Uncertainty about What's in the Price (joint with Joel Peress)

Develops a model in which investors are unsure about whether their signals are novel or stale. The model predicts and asymmetric price response to past returns, for which we find strong support in the data.

Fundamental Arbitrage under the Microscope: Evidence from detailed Hedge Fund Transaction Data (joint with Bastian von Beschwitz and Sandro Lunghi) [Internet Appendix]

Long-short equity hedge funds resemble constrained arbitrageurs: their trades generate alpha, but positions are closed too early.

reject & resubmit at Review of Financial Studies

Learning from Noise? Price and Liquidity Spillovers around Mutual Fund Fire Sales (joint with Pekka Honkanen) [Internet Appendix]

Noise shocks due to mutual fund fire sales spill over onto close economic peers because investors wrongly interpret them as fundamental signals.

reject & resubmit at Management Science

Noise Trading Incarnate: Describing a Realistic Noise Trading Process (joint with Joel Peress)

Estimates and describes a realistic noise trading process to help theorists calibrate their models.

revise & resubmit at Journal of Financial Markets

Investors' Attention and Stock Covariation: Evidence from Google Sport Searches

Google searches for sport proxy for investors' inattention to the stock market. In an international sample of 36 countries, they correlate negatively with trading activity and idiosyncratic volatility.

Insider Trading in the Bond Market: Evidence from Loan Sale Events (joint with Massimo Massa)

Loan trading benefits the holders of outstanding corporate bonds by reducing information asymmetry.

revise & resubmit at Journal of Financial & Quantitative Analysis