Paper: arXiv 2610.17231

Authors: Pawel Robert Smolinski, Siddharth Saridevi

Abstract

We study whether stock disclosures by recognizable investors generate abnormal market reactions beyond the reactions produced by comparable but non-recognizable managers. We define the Buffett effect as the incremental abnormal return to a disclosed new position that is attributable to the public recognition of the disclosing investor. We construct a recognition index from Wikipedia pageviews and ProQuest news mentions. Using data from 2000 to 2025 we compare market reaction to disclosures of 24 recognizable discretionary funds with disclosures of 24 matched control funds. New-position disclosures by recognizable managers generate a positive disclosure premium over the filing date and the following trading days, and the premium increases with investor recognition. We construct calendar-time portfolios that mechanically copy each group’s disclosed purchases and find that copying the most recognized investors earns a significant alpha that persists for months and does not reverse. The evidence is most consistent with an entangled attention-information channel: investor recognition directs scarce investor attention toward selected disclosures, and the information revealed in those disclosures is then capitalized into prices.

Complexity vs Empirical Score

  • Math Complexity: 3.0/10
  • Empirical Rigor: 8.0/10
  • Quadrant: Street Traders — practical and empirical, lighter on theory

Why this score: The paper presents a novel concept, the ‘Buffett Effect,’ and rigorously tests it using a well-defined methodology and extensive data. While the mathematical complexity is moderate, the empirical design and clear exposition are strong points.

Research Flowchart

  flowchart TD
    A[Research Goal: Do recognizable investors generate abnormal market reactions?] --> B{Methodology: Compare recognized vs. control funds};
    B --> C[Data: 2000-2025 Disclosures, Wikipedia/ProQuest for Recognition Index];
    C --> D{Analysis: Calculate Disclosure Premium & Calendar-Time Portfolios};
    D --> E[Key Finding 1: Recognizable managers generate positive disclosure premium];
    E --> F[Key Finding 2: Copying recognized investors earns significant, persistent alpha];
    F --> G[Outcome: Evidence for entangled attention-information channel];