The Buffett Effect

By Pawel Robert Smolinski, Siddharth Saridevi

Rating

1839
Battle Count: 50

Relevance

8/10
Highly relevant for strategies involving 13F filings, sentiment analysis, and understanding retail investor behavior. The paper provides evidence that copying high-recognition investors yields significant alpha, particularly in small/illiquid stocks, though transaction costs and implementation delays are noted.

Implementation Complexity

7/10
Requires access to multiple proprietary data sources (13F, TAQ, News/Wiki metrics). Constructing the recognition index and performing the matching/event study requires significant data engineering and statistical expertise.

Reproducibility

3/5
The paper describes the methodology, data sources (Thomson Reuters, CRSP, EDGAR, Wikipedia, ProQuest, NYSE TAQ), and matching criteria in detail. However, no public code repository URL is provided in the text, and some data sources (Thomson Reuters, ProQuest) are proprietary.

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.

Links

arXiv:2610.17231 ยท Paper rankings

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