The Buffett Effect: Abnormal Premium from New-Position Disclosures by Recognizable Investors

01 ABSTRACT

The paper asks whether investor recognition generates market reactions to new-position disclosures beyond those of comparable but unrecognized managers, defining this as the Buffett effect. Using a recognition index from Wikipedia pageviews and ProQuest news mentions over 2000–2025, the authors compare 24 recognizable discretionary funds with 24 matched controls and find a positive disclosure premium around the filing date and subsequent trading days that increases with recognition. The evidence is said to be most consistent with an entangled attention-information channel, in which recognition directs scarce attention to selected disclosures whose information is then capitalized into prices; copying the most recognized investors yields significant alpha that persists for months and does not reverse.

02 KEY FINDINGS

1. A recognition index built from Wikipedia pageviews and news mentions, applied to 24 recognizable funds versus 24 matched controls over 2000–2025, shows a larger disclosure premium as recognition rises.
2. Calendar-time portfolios that mechanically copy disclosed purchases earn significant alpha when copying the most recognized investors, persisting for months without reversal.
3. The authors interpret the mechanism as an entangled attention-information channel: recognition channels scarce investor attention toward selected disclosures, and the disclosed information is then priced in.