We study the market's reaction to Jim Cramer's recommendations on the television show Mad Money. Average abnormal overnight returns following his recommendations are over 3% for the entire sample, and 6.7% for stocks in the smallest quintile. Using a novel dataset of television viewership, we find that the price response is increasing in the number of wealthy viewers who watch the show but unaffected by the number of low income households viewing the recommendations. Consistent with theories of limits to arbitrage, we find that the overnight return is strongest for stocks with high idiosyncratic volatility. Using data from an ECN, we show that the market's response to the recommendations is immediate even though the show airs after the NYSE's trading hours. These price spikes are followed by partial reversals, and short-selling is significantly higher than normal on the day following the recommendations. Equity lending rates are higher in the days following the recommendations, especially for stocks with the largest overnight returns, suggesting that short-selling does not completely eliminate the mispricing in part because it is costly for short-sellers to do so.

In Duan, Gauthier and Simonato (1999), an analytical approximate formula for European options in the GARCH framework was developed. The formula is however restricted to the nonlinear asymmetric GARCH model. This paper extends the same approach to two other important GARCH specifications-GJR-GARCH and EGARCH. We provide the corresponding formulas and study their numerical performance.

We use the popular television show Mad Money hosted by Jim Cramer to test theories of attention and limits to arbitrage. Stock recommendations on Mad Money constitute attention shocks to a large audience of individual traders. We find that stock recommendations lead to large overnight returns which subsequently reverse over the next few months. The spike-reversal pattern is strongest among small, illiquid stocks that are hard-to-arbitrage. Using daily Nielsen ratings as a direct measure of attention, we find the overnight return is strongest when high income viewership is high. We also find weak price effects among sell recommendations. Taken together, the evidence supports the retail attention hypothesis of Barber and Odean (2008) and illustrates the potential role of media in generating mispricing. * We thank Brad Barber (the editor), the associate editor, and two anonymous referees for their suggestions. We have also benefited from discussions with Flavio de Andrade, Nick Barberis,

This article proposes an efficient approach for computing the prices of American style options in the GARCH framework. Rubinstein's (1998) Edgeworth tree idea is combined with the analytical formulas for moments of the cumulative return under GARCH developed in Duan et al. (1999Duan et al. ( , 2002 to yield a simple recombining binomial tree for option valuation in the GARCH context. Because the resulting tree is univariate, the proposed approach represents a convenient approximation of the bivariate GARCH system. Numerical analysis is used to demonstrate the speed and accuracy of the proposed approximation.

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