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User profiles for author:"Harrison Hong"

Harrison Hong

Professor of Economics, Princeton University
Verified email at princeton.edu
Cited by 8295

A unified theory of underreaction, momentum trading, and overreaction in asset markets

[PDF] from harvard.edu
Full text - MIT Libraries
H Hong… - The Journal of Finance, 1999 - Wiley Online Library
We model a market populated by two groups of boundedly rational agents:“newswatchers”
and “momentum traders.” Each newswatcher observes some private information, but fails to
extract other newswatchers' information from prices. If information diffuses gradually ...
Cited by 1797 - Related articles - Library Search - BL Direct - All 74 versions

Bad news travels slowly: Size, analyst coverage and the profitability of momentum strategies

[PDF] from cenet.org.cn
H Hong, T Lim… - 1998 - nber.org
A number of theories have been proposed to explain the medium-term momentum in stock
returns identified by Jegadeesh and Titman (1993). We test one such theory--based on the
gradual-information-diffusion model of Hong and Stein (1997)--and establish three key ...
Cited by 1147 - Related articles - Library Search - BL Direct - All 60 versions

Analyzing the analysts: Career concerns and biased earnings forecasts

[PDF] from ufrn.br
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H Hong… - The Journal of Finance, 2003 - Wiley Online Library
We examine security analysts' career concerns by relating their earnings forecasts to job
separations. Relatively accurate forecasters are more likely to experience favorable career
outcomes like moving up to a high-status brokerage house. Controlling for accuracy, ...
Cited by 566 - Related articles - BL Direct - All 29 versions

Breadth of ownership and stock returns

[PDF] from 118.96.136.228
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J Chen, H Hong… - Journal of financial Economics, 2002 - Elsevier
We develop a stock market model with differences of opinion and short-sales constraints.
When breadth is low—ie, when few investors have long positions—this signals that the short-
sales constraint is binding tightly, and that prices are high relative to fundamentals. Thus ...
Cited by 548 - Related articles - Library Search - BL Direct - All 55 versions

Security analysts' career concerns and herding of earnings forecasts

[PDF] from princeton.edu
H Hong, JD Kubik… - The Rand journal of economics, 2000 - JSTOR
Several theories of reputation and herd behavior (eg, Scharfstein and Stein (1990), and
Zwiebel (1995)) suggest that herding among agents should vary with career concerns. Our
goal is to document whether such a link exists in the labor market for security analysts. We ...
Cited by 546 - Related articles - Get it from MIT Libraries - BL Direct - All 17 versions

Social interaction and stock‐market participation

[PDF] from harvard.edu
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H Hong, JD Kubik… - The Journal of Finance, 2004 - Wiley Online Library
We propose that stock-market participation is influenced by social interaction. In our model,
any given “social” investor finds the market more attractive when more of his peers
participate. We test this theory using data from the Health and Retirement Study, and find ...
Cited by 533 - Related articles - Library Search - BL Direct - All 40 versions

Differences of opinion, short‐sales constraints, and market crashes

[PDF] from harvard.edu
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H Hong… - Review of financial studies, 2003 - Soc Financial Studies
Abstract We develop a theory of market crashes based on differences of opinion among
investors. Because of short‐sales constraints, bearish investors do not initially participate in
the market and their information is not revealed in prices. However, if other previously ...
Cited by 432 - Related articles - BL Direct - All 20 versions

Does fund size erode mutual fund performance? The role of liquidity and organization

[PDF] from cornell.edu
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J Chen, H Hong, M Huang… - The American Economic …, 2004 - ingentaconnect.com
Abstract: We investigate the effect of scale on performance in the active money management
industry. We first document that fund returns, both before and after fees and expenses,
decline with lagged fund size, even after accounting for various performance benchmarks. ...
Cited by 409 - Related articles - All 29 versions

Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices

[PDF] from 118.96.136.228
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J Chen, H Hong… - Journal of Financial Economics, 2001 - Elsevier
We develop a series of cross-sectional regression specifications to forecast skewness in the
daily returns of individual stocks. Negative skewness is most pronounced in stocks that have
experienced (1) an increase in trading volume relative to trend over the prior six months, ...
Cited by 285 - Related articles - Library Search - BL Direct - All 45 versions

Thy Neighbor's Portfolio: Word‐of‐Mouth Effects in the Holdings and Trades of Money Managers

[PDF] from dufe.edu.cn
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H Hong, JD Kubik… - The Journal of Finance, 2005 - Wiley Online Library
A mutual fund manager is more likely to buy (or sell) a particular stock in any quarter if other
managers in the same city are buying (or selling) that same stock. This pattern shows up
even when the fund manager and the stock in question are located far apart, so it is ...
Cited by 275 - Related articles - Library Search - BL Direct - All 44 versions

Disagreement and the stock market

[PDF] from upf.edu
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H Hong… - The Journal of Economic Perspectives, 2007 - JSTOR
Over the last 20 years, the field of behavioral finance has grown from a startup operation into
a mature enterprise, with well-developed bodies of of both theory and empirical evidence.
On the empirical side, the benchmark null hypothesis is that one should not be able to ...
Cited by 215 - Related articles - BL Direct - All 22 versions

Asset float and speculative bubbles

[PDF] from nus.edu
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H Hong, J Scheinkman… - The journal of finance, 2006 - Wiley Online Library
We model the relationship between asset float (tradeable shares) and speculative bubbles.
Investors with heterogeneous beliefs and short-sales constraints trade a stock with limited
float because of insider lockups. A bubble arises as price overweighs optimists' beliefs ...
Cited by 201 - Related articles - Library Search - BL Direct - All 42 versions

The price of sin: The effects of social norms on markets

[PDF] from gsu.edu
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H Hong… - Journal of Financial Economics, 2009 - Elsevier
We provide evidence for the effects of social norms on markets by studying “sin” stocks—
publicly traded companies involved in producing alcohol, tobacco, and gaming. We
hypothesize that there is a societal norm against funding operations that promote vice and ...
Cited by 177 - Related articles - All 35 versions

Do industries lead stock markets?

[PDF] from 112.78.41.54
Full text - MIT Libraries
H Hong, W Torous… - Journal of Financial Economics, 2007 - Elsevier
We investigate whether the returns of industry portfolios predict stock market movements. In
the US, a significant number of industry returns, including retail, services, commercial real
estate, metal, and petroleum, forecast the stock market by up to two months. Moreover, the ...
Cited by 170 - Related articles - All 33 versions

Trading and returns under periodic market closures

[PDF] from princeton.edu
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H Hong… - The Journal of Finance, 2000 - Wiley Online Library
This paper studies how market closures affect investors' trading policies and the resulting
return-generating process. It shows that closures generate rich patterns of time variation in
trading and returns, including those consistent with empirical findings:(1) U-shaped ...
Cited by 105 - Related articles - BL Direct - All 18 versions

Simple forecasts and paradigm shifts

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H Hong, JC Stein… - The Journal of Finance, 2007 - Wiley Online Library
We study the asset pricing implications of learning in an environment in which the true
model of the world is a multivariate one, but agents update only over the class of simple
univariate models. Thus, if a particular simple model does a poor job of forecasting over a ...
Cited by 78 - Related articles - Library Search - BL Direct - All 55 versions

Does fund size erode performance? Liquidity, organizational diseconomies and active money management

[PDF] from psu.edu
J Chen, H Hong, M Huang… - 2003 - papers.ssrn.com
Abstract: We investigate the effect of fund size on performance among active mutual funds.
We first document that fund returns, both before and after management fees, decline with
fund size, even after adjusting performance by various benchmarks and controlling for ...
Cited by 73 - Related articles - All 11 versions

Differences of opinion, rational arbitrage and market crashes

H Hong… - 1999 - nber.org
We develop a theory of stock-market crashes based on differences of opinion among
investors. Because of short-sales constraints, bearish investors do not initially participate in
the market and their information is not revealed in prices. However, if other, previously- ...
Cited by 71 - Related articles - Library Search - BL Direct - All 7 versions

Talking up liquidity: insider trading and investor relations

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H Hong… - Journal of Financial Intermediation, 2005 - Elsevier
Managements (“insiders”) of many corporations, especially small or newly-public firms,
invest considerable resources in investor relations. We develop a model to explore the
incentives of insiders to undertake such costly investments. We point out that insiders may ...
Cited by 69 - Related articles - All 16 versions

The only game in town: Stock-price consequences of local bias

[PDF] from harvard.edu
Full text - MIT Libraries
H Hong, JD Kubik… - Journal of Financial Economics, 2008 - Elsevier
Theory suggests that, in the presence of local bias, the price of a stock should be decreasing
in the ratio of the aggregate book value of firms in its region to the aggregate risk tolerance
of investors in its region. Using data on US states and Census regions, we find clear-cut ...
Cited by 64 - Related articles - Library Search - BL Direct - All 27 versions

Yesterday's heroes: Compensation and creative risk-taking

[PDF] from princeton.edu
IH Cheng, H Hong… - 2010 - nber.org
We study the relationship between compensation and risk-taking among finance firms using
a neglected insight from principal-agent contracting with hidden action and risk-averse
agents. If the sensitivity of pay to stock price or slope does not vary with stock price ...
Cited by 66 - Related articles - Library Search - All 33 versions

Gone fishin': Seasonality in trading activity and asset prices

[PDF] from utoronto.ca
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H Hong… - Journal of Financial Markets, 2009 - Elsevier
We use seasonality in stock trading activity associated with summer vacation as a source of
exogenous variation to study the relationship between trading volume and expected return.
Using data from 51 stock markets, we first confirm a widely held belief that stock turnover ...
Cited by 43 - Related articles - All 13 versions

Outsourcing mutual fund management: Firm boundaries, incentives and performance

[PDF] from hec.ca
J Chen, J Kubik… - 2006 - papers.ssrn.com
Abstract: This paper investigates the effects of managerial outsourcing on the incentives and
performance of mutual funds. We document that mutual fund families outsource the
management of a significant fraction of their funds to unaffiliated advisory firms. Funds ...
Cited by 42 - Related articles - All 33 versions

A model of returns and trading in futures markets

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H Hong - The Journal of Finance, 2000 - Wiley Online Library
This paper develops an equilibrium model of a competitive futures market in which investors
trade to hedge positions and to speculate on their private information. Equilibrium return and
trading patterns are examined.(1) In markets where the information asymmetry among ...
Cited by 39 - Related articles - BL Direct - All 11 versions

Advisors and asset prices: A model of the origins of bubbles

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H Hong, J Scheinkman… - Journal of Financial Economics, 2008 - Elsevier
We develop a model of asset price bubbles based on the communication process between
advisors and investors. Advisors are well-intentioned and want to maximize the welfare of
their advisees (like a parent treats a child). But only some advisors understand the new ...
Cited by 38 - Related articles - Library Search - BL Direct - All 22 versions

Competition and bias

[PDF] from oxfordjournals.org
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H Hong… - The Quarterly Journal of Economics, 2010 - qje.oxfordjournals.org
Abstract We attempt to measure the effect of competition on bias in the context of analyst
earnings forecasts, which are known to be excessively optimistic because of conflicts of
interest. Our natural experiment for competition is mergers of brokerage houses, which ...
Cited by 40 - Related articles - All 40 versions

Red and blue investing: Values and finance

[PDF] from nber.org
H Hong… - Journal of Financial Economics, 2011 - Elsevier
Using data on the political contributions and stock holdings of US investment managers, we
find that mutual fund managers who make campaign donations to Democrats hold less of
their portfolios (relative to non-donors or Republican donors) in companies that are ...
Cited by 31 - Related articles - Get it from MIT Libraries - All 15 versions

Do Hedge Funds Profit From Mutual-Fund Distress?

[PDF] from bcrp.gob.pe
J Chen, S Hanson, H Hong… - 2008 - nber.org
This paper explores the question of whether hedge funds engage in front-running strategies
that exploit the predictable trades of others. One potential opportunity for front-running arises
when distressed mutual funds--those suffering large outflows of assets under ...
Cited by 32 - Related articles - Library Search - BL Direct - All 45 versions

Discussion of" Momentum and Autocorrelation in Stock Returns"

[PDF] from princeton.edu
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J Chen… - The Review of Financial Studies, 2002 - JSTOR
Jegadeesh and Titman (1993) document individual stock momentum: strategies that buy
stocks that have performed relatively well in the past and sell stocks that have performed
relatively poorly in the past generate significant positive returns over the 3-to 12-month ...
Cited by 28 - Related articles - BL Direct - All 21 versions

[PDF] Digging into commodities

[PDF] from fordham.edu
H Hong… - … Paper, Princeton University and Wharton of …, 2009 - bnet.fordham.edu
Abstract We investigate the determinants of aggregate commodity returns and establish the
following findings.(1) Common predictors of bond and stock returns, such as the short rate
and the yield spread, also predict commodity returns. A high yield spread predicts low ...
Cited by 22 - Related articles - View as HTML - All 5 versions

[PDF] Stochastic convenience yield, optimal hedging and the term structure of open interest and futures prices

[PDF] from princeton.edu
H Hong - Graduate School of Business, Stanford University, …, 2001 - princeton.edu
Abstract This paper develops a dynamic, equilibrium model of a futures market to study
optimal hedging and the term structure of open interest and futures prices. Investors
continuously face spot price risk over time and attempt to hedge this risk using futures. ...
Cited by 17 - Related articles - View as HTML - All 2 versions

Strategic trading and learning about liquidity

[PDF] from uni-muenchen.de
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H Hong… - Journal of Financial Markets, 2002 - Elsevier
Many practitioners point out that the speculative profits of institutional traders are eroded by
the difficulty in gauging the price impact of their trades. In this paper, we develop a model of
strategic trading where speculators face such a dilemma because of incomplete ...
Cited by 18 - Related articles - Library Search - BL Direct - All 16 versions

[PDF] Do industries lead the stock market? Gradual diffusion of information and cross-asset return predictability

[PDF] from escholarship.org
H Hong, W Torous… - 2002 - escholarship.org
Abstract: We test the hypothesis that the gradual diffusion of information across asset
markets leads to cross-asset return predictability. Using thirty-four industry portfolios and the
broad market index as our test assets, we establish several key results. First, a number of ...
Cited by 17 - Related articles - View as HTML - All 15 versions

Do Arbitrageurs Amplify Economic Shocks?

[PDF] from cbs.dk
T Fishman, H Hong… - Unpublished Working Paper, …, 2007 - papers.ssrn.com
Abstract: We examine whether arbitrageurs amplify fundamental shocks in the context of
short arbitrage in equity markets. The ability of arbitrageurs to hold on to short positions
depends on asset values: shorts are often reduced (increased) following good (bad) news ...
Cited by 16 - Related articles - All 24 versions

Commodity market interest and asset return predictability

[PDF] from princeton.edu
H Hong… - American Finance Association Meeting, Atlanta, …, 2010 - papers.ssrn.com
Abstract: We establish several new findings on the relation between open interest in
commodity markets and asset returns. High commodity market activity, as measured by high
open-interest growth, predicts high commodity returns and low bond returns. Open- ...
Cited by 16 - Related articles - All 3 versions

Firms as buyers of last resort

[PDF] from columbia.edu
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H Hong, J Wang… - Journal of Financial Economics, 2008 - Elsevier
We develop a model to explore the asset pricing implications of firms being buyers of last
resort for their own stocks. Those with more ability to repurchase shares when prices drop
far below fundamental value (ie, less financially constrained firms) should have lower ...
Cited by 17 - Related articles - All 14 versions

[CITATION] Differences of Opinion

H Hong… - Short-Sales Constraints and Market, 2003
Cited by 15 - Related articles

[CITATION] qDoes fund size erode perfor'mance

J Chen, H Hong, M Huang… - … and active money managementr, Ameri'can …, 2004
Cited by 11 - Related articles

A fast subsampling method for nonlinear dynamic models

[PDF] from unige.ch
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H Hong… - Journal of Econometrics, 2006 - Elsevier
We highlight a fast subsampling method that can be used to provide valid inference in
nonlinear dynamic econometric models. This method is based on the subsampling theory
proposed by Politis and Romano [A general theory for large sample confidence regions ...
Cited by 6 - Related articles - Library Search - All 24 versions

[CITATION] Outsourcing Mutual Fund Management: Firm Boundaries

J Chen, HG Harrison… - Incentives and Performance, University of Southern …, 2010
Cited by 6 - Related articles

Financial constraints on corporate goodness

[PDF] from sfgeneva.org
H Hong, J Kubik… - 2011 - papers.ssrn.com
Abstract: We model the firm's optimal choice of capital and goodness subject to financial
constraints. Managers and shareholders derive benefits over profits and social
responsibility. Goodness is costly and its marginal benefit is finite; as a result, less- ...
Cited by 6 - Related articles - All 3 versions

Do arbitrageurs amplify economic shocks?

[PDF] from uc3m.es
H Hong, JD Kubik… - Journal of Financial Economics, 2011 - Elsevier
We test the hypothesis that arbitrageurs amplify economic shocks in equity markets. The
ability of speculators to hold short positions depends on asset values. Shorts are often
reduced following good news about a stock. Therefore, the prices of highly shorted stocks ...
Cited by 6 - Related articles - Get it from MIT Libraries - All 10 versions

[CITATION] Jeffrey Kubik, 2002, Does fund size erode performance? Liquidity, organizational diseconomies and active money management

J Chen, H Hong… - mimeo, Stanford University
Cited by 6 - Related articles

[CITATION] oDoes Fund Size Erode Mutual Fund Performance

J Chen, H Hong, M Huang… - The Role of Liquidity and Organization. …, 2004
Cited by 5 - Related articles

[CITATION] Jeremy Stein, 2003, Thy neighbor's portfolio: Word-of-mouth effects in the holdings and trades of money managers

H Hong… - mimeo, Stanford University
Cited by 6 - Related articles

An Epidemiological Approach to Opinion and Price-Volume Dynamics

[PDF] from ccfr.org.cn
D Hong, H Hong… - 2011 - papers.ssrn.com
Abstract: We develop a simple and tractable model of opinions and price-volume dynamics
based on a word-of-mouth communication process widely used in epidemiology. Risk-
averse investors have different opinions depending on whether they heard the news from ...
Cited by 4 - Related articles - All 2 versions

What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?

H Hong… - 2011 - nber.org
Economists have traditionally viewed futures prices as fully informative about future
economic activity and asset prices. We argue that open interest may be more informative
than futures prices in the presence of hedging and downward-sloping demand in futures ...
Cited by 9 - Related articles - Library Search - All 6 versions

Firms as buyers of last resort: Financing constraints, stock returns and liquidity

[PDF] from frb.org
J Wang, J Yu… - 2005 - papers.ssrn.com
Abstract: We develop a model to explore the effects of firms being buyers of last resort on
stock returns and liquidity. Those with more ability to repurchase shares when prices drop
far below fundamental value (less financially constrained ones) should have lower short ...
Cited by 4 - Related articles - All 18 versions

Behavioural finance: introduction

Full text - MIT Libraries
H Hong - European Financial Management, 2007 - Wiley Online Library
Over the past fifteen years, the field of behavioural finance has grown enormously,
generating substantial bodies of both theory and empirical evidence. 1 On the empirical
front, we now have a long list of variables that can be used to forecast stock returns, both ...
Cited by 4 - Related articles - BL Direct - All 6 versions

[CITATION] Security analysts' career

H Hong, JD Kubik… - 2000
Cited by 4 - Related articles

[CITATION] Outsourcing mutual fund management: firm boundaries, incentives

J Chen, HG Hong… - 2006 - and Performance. Mimeo
Cited by 3 - Related articles

[CITATION] tA Unified Theory of Underreaction

H Hong… - Momentum Trading and Overreaction in Asset Markets. …, 1999
Cited by 3 - Related articles

[CITATION] Jialin Yu, 2007, Firms as buyers of last resort: financing constraints, stock returns and liquidity

H Hong… - Unpublished working paper, Princeton, MIT and …
Cited by 3 - Related articles

Commodity market capital flow and asset return predictability

H Hong… - Social Science Research Network, 2010 - mendeley.com
Abstract We establish several new findings on the relation between capital flow in
commodity markets and asset returns. Capital flowing into commodity markets, as measured
by high open-interest growth, predicts high commodity returns and low bond returns. Open ...
Cited by 3 - Related articles - Cached - All 3 versions

[CITATION] Do industries lead the stock market? Inattention, delayed reaction and cross-asset return predictability

H Hong, W Torous… - 2002 - working paper, Princeton University
Cited by 3 - Related articles - All 3 versions

[CITATION] Je® rey D. Kubik, and Jeremy C. Stein, 2002,\ Thy neighbor's portfolio: Word-of-mouth effects in the holdings and trades of money managers

H Hong - Working paper, Stanford University
Cited by 3 - Related articles

[CITATION] Huang, 2005, Talking up liquidity: insider trading and investor relations

M Harrison Hong - JFI,(14)
Cited by 2 - Related articles

[CITATION] Jose Scheinkman, 2009,“Yesterday's Heroes: Compensation and Creative Risk-Taking”

IH Cheng… - mimeo Princeton University
Cited by 2 - Related articles

[CITATION] Ross Valkanov.“Do Industries Lead the Stock Market?”

H Hong… - 2003 - Mimeo, UCLA, July
Cited by 2 - Related articles

[PDF] Red and Blue Investing: Political Values and Finance

[PDF] from stanford.edu
H Hong… - Princeton University and …, 2008 - www-prd-0.gsb.stanford.edu
Abstract: Do political values influence investing? We answer this question using data on the
political contributions and stock holdings of US mutual fund managers. We find that
managers who donate to Democrats under-weight (relative to non-donors or Republican ...
Cited by 2 - Related articles - View as HTML - All 10 versions

[CITATION] A unified theory of underreaction, momentum trading, and overreaction in asset markets, manuscript

H Hong… - 1997 - MIT, May
Cited by 2 - Related articles - Get it from MIT Libraries

[CITATION] Does fund size erode

J Chen, H Hong, M Huang… - 2004
Cited by 2 - Related articles

[CITATION] Forthcoming, The only game in town: Stock-price consequences of local bias

H Hong, J Kubik… - Journal of Financial Economics
Cited by 2 - Related articles - Get it from MIT Libraries

[CITATION] Forthcoming. Competition and bias

H Hong… - Quarterly Journal of Economics
Cited by 2 - Related articles - Get it from MIT Libraries

[CITATION] Commodity Market Interest and Asset Return

H Hong… - 2009
Cited by 2 - Related articles

[CITATION] rThe Price of Sin: The Effect of Social Norms on Markets. sWorking Paper

H Hong… - University of British Columbia, 2006
Cited by 2 - Related articles

Speculative betas

[PDF] from miami.edu
H Hong… - 2011 - papers.ssrn.com
Abstract: We provide a theory and evidence for when the Capital Asset Pricing Model fails.
When investors disagree about the common factor of cash-flows, high beta assets are more
sensitive to this aggregate disagreement than low beta ones and hence experience a ...
Cited by 4 - Related articles - All 10 versions

[PDF] Word of Mouth and Gradual Information Diffusion in Asset Markets

[PDF] from xmu.edu.cn
D Hong, H Hong… - Social Science Research Network, 2010 - ifas.xmu.edu.cn
Abstract We develop a model of gradual information diffusion based on word of mouth
communication. When news is initially released to a small fraction of investors, the expected
diffusion rate (the change in the fraction of investors with the news) is initially increasing in ...
Cited by 1 - Related articles - View as HTML - All 3 versions

[CITATION] Social Interaction and Stock

H Hong, JD Kubik… - 2004
Cited by 1 - Related articles

The Neighbor's Portfolio: Word-of-Mouth Effects in the Holdings and Trade of Money Managers

J Kubik, H Hong… - 2003 - papers.ssrn.com
Abstract: A mutual-fund manager is more likely to hold (or buy, or sell) a particular stock in
any quarter if other managers in the same city are holding (or buying, or selling) that same
stock. This pattern shows up even when controlling for the distance between the fund ...
Cited by 1 - Related articles

[PDF] Commodity Market Interest and Asset Prices

[PDF] from cmu.edu
H Hong… - Princeton University, 2010 - server1.tepper.cmu.edu
Abstract Open interest in commodity futures, which signals commodity market activity,
contains information about future commodity and bond prices. High open-interest growth
predicts high commodity-price inflation, a rising short rate, and low bond returns. Open ...
Cited by 1 - Related articles - View as HTML

[PDF] Gone fishin': Seasonality in speculative trading and asset prices

[PDF] from columbia.edu
H Hong… - Unpublished working paper, 2005 - columbia.edu
Page 1. Discussion of: Gone Fishin': Seasonality and Speculative Trading in Asset Prices by
Harrison Hong and Jialin Yu NBER - University Research Conference May 13, 2005 Discussant:
Kent Daniel NBER-URC, 5/13/05, Kent Daniel – p. 1/23 Page 2. Motivation ...
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[PDF] A taxonomy of bubbles

[PDF] from princeton.edu
H Hong… - 2011 - princeton.edu
Abstract Classic speculative bubbles are loud—price is high and so are price volatility and
share turnover. The credit bubble of 2003-2008 is quiet—price is high but price volatility and
share turnover are low. We develop a model that can generate both loud and quiet ...
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When Some Investors Head for the Exit

H Hong… - papers.ssrn.com
Abstract: We develop a measure of binding short-sales constraints in equity markets derived
from Chen, Hong, and Stein (2002)'s breadth of mutual fund ownership. We show that when
the exit rate, the fraction of investors that held a stock in the previous quarter and that exit ...
Related articles

Speculating on Home Improvements

[PDF] from princeton.edu
HS Choi, H Hong… - 2010 - papers.ssrn.com
Abstract: We develop a speculation-based theory of home improvements. Housing services
are produced from a mix of land and structures. Homeowners have an option to increase
their structures (ie make improvements) holding fixed their land. Speculative ...
Related articles - All 4 versions

Advisors and Asset Prices: A Model of the Origins of Bubbles

W Xiong, J Scheinkman… - AFA 2006 Boston Meetings …, 2005 - papers.ssrn.com
Abstract: Many asset price bubbles occur during periods of excitement about new
technologies. We focus on the role of advisors and the communication process with
investors in explaining this stylized fact. Advisors are good-intentioned and want to ...
Related articles

[CITATION] The Road to a Technology Bubble is Paved with Good Intentions: A Model of Advisors and Asset Prices

H Hong, J Scheinkman… - 2005
Related articles

[CITATION] Do Industries Lead Stock Markets?(Digest Summary)

H Hong, W Torous… - CFA Digest, 2007 - CFA Institute

[PDF] Values and Socially Responsible Investing: Evidence from Money Managers

[PDF] from insead.edu
H Hong… - insead.edu
Abstract: Do political values influence investing? We answer this question using data on the
political contributions and stock holdings of US investment managers. We find that mutual
fund managers who make campaign donations to Democrats hold less of their portfolios ( ...
Related articles - View as HTML - All 5 versions

[CITATION] Dyanmic models of asset returns and trading

HG Hong - 1997 - Massachusetts Institute of …
Library Search

Do Security Analysts Discipline Credit Rating Agencies?

[PDF] from nd.edu
K Fong, H Hong, M Kacperczyk… - 2011 - papers.ssrn.com
Abstract: We test the hypothesis that competition from security analysts disciplines credit
rating agencies. We use Hong and Kacperczyk (2010)'s brokerage house mergers quasi-
experiment to shock analyst coverage so as to identify the causal effect of analyst ...
Cited by 1 - Related articles - All 2 versions

[CITATION] Dyanmic models of asset returns and trading

J Wang, J Stein, G Ellison… - 1997 - dspace.mit.edu
Page 1. Page 2. Page 3. Page 4. Page 5. Page 6. Page 7. Page 8. Page 9. Page 10. Page 11.
Page 12. Page 13. Page 14. Page 15. Page 16. Page 17. Page 18. Page 19. Page 20. Page
21. Page 22. Page 23. Page 24. Page 25. Page 26. Page 27. Page 28. Page 29. Page 30. Page ...
All 2 versions

[CITATION] What Drives Corporate Social Responsibility?

H Hong - 2008

Security analysts' career concerns and herding of earnings forecasts

J Kubik, A Solomon… - 1998 - papers.ssrn.com
Abstract: Several theories of reputation and herding (see, eg, Scharfstein and Stein (1990))
suggest that herding among agents should vary with career concerns. Our goal in this paper
is to document whether such a link exists in the labor market for security analysts. ...
Related articles - All 2 versions

Do Managers Do Good With Other Peoples' Money?

H Cheng, H Hong… - 2011 - papers.ssrn.com
Abstract: We test the hypothesis that corporate social responsibility is due to agency
problems using two quasi-experiments. First, we use the 2003 Dividend Tax Cut, which
increased the after-tax value of dividends for managers and hence the cost of pet projects. ...
Cited by 1 - Related articles - All 2 versions

DP2416 Strategic Trading And Learning About Liquidity

HG Hong… - 2000 - temporaryaddress.cepr.org
DP2416 Strategic Trading And Learning About Liquidity. Author(s ...
Cached - All 4 versions

Strategic Trading and Learning About Liquidity

S Rady… - 2000 - papers.ssrn.com
Abstract: Many practitioners point out that the speculative profits of institutional traders are
eroded by the difficulty in gauging the price impact of their trades. In this paper, we develop
a model of strategic trading where speculators face such a dilemma because of ...

[CITATION] Breadth of Ownership and Stock Returns (Digest Summary)

CFA Joseph Chen, H Hong… - CFA Digest, 2003 - CFA Institute

[PDF] Diffusion of Opinion and Price Volume Dynamics

[PDF] from xmu.edu.cn
D Hong, H Hong… - 2010 - wise.xmu.edu.cn
Abstract We develop a simple and tractable model of opinions and price-volume dynamics
based on a word-of-mouth communication process widely used in epidemiology. Risk-
averse investors have different opinions depending on whether they heard the news from ...
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[CITATION] The Only Game in Town: Stock-Price Consequences of Local Bias (Digest Summary)

H Hong, JD Kubik… - CFA Digest, 2009 - CFA Institute

[PDF] John M. Griffin, Patrick J. Kelly, b and Federico Nardaric

[PDF] from jgriffin.info
VE Durnev, A Hameed, B Han, H Hong, J Huang… - 2008 - jgriffin.info
Abstract Using portfolio and firm-level data from 56 markets, we find similar or lower levels of
profitability and predictability when comparing emerging to developed markets. This
conclusion is remarkably robust as it holds using past firm, portfolio, and market-level ...
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[CITATION] Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (Digest Summary)

H Hong, CFA Terence Lim… - CFA Digest, 2000 - CFA Institute

Thy Neighbor's Portfolio: Word-of-Mouth Effects

H Hong, JD Kubik, JC Stein, K Lins, A Shleifer… - Ohio State …, 2002 - Citeseer
Abstract: A mutual-fund manager is more likely to hold (or buy, or sell) a particular stock in
any quarter if other managers in the same city are holding (or buying, or selling) that same
stock. This pattern shows up even when controlling for the distance between the fund ...
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Advisors and Asset Prices: A Model of the Origins of Bubbles

JA Scheinkman, W Xiong… - NBER Working Paper, 2007 - papers.ssrn.com
SSRN-Advisors and Asset Prices: A Model of the Origins of Bubbles
by Jose Scheinkman, Wei Xiong, Harrison Hong.

Home Improvements

HS Choi, H Hong… - 2011 - papers.ssrn.com
Abstract: We develop a speculative-based theory of home improvements. Housing services
are produced from a mix of land and structures. Homeowners have an option to increase
their structures (ie make improvements) holding fixed their land. Speculative ...
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[CITATION] Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (Digest Summary)

J Chen, H Hong, M Huang… - CFA Digest, 2005 - CFA Institute

The Price of Sin: The Effects of Social Norms on Markets

M Kacperczyk… - 2005 - papers.ssrn.com
Abstract: We provide evidence for the effects of social norms on markets by studying" sin"
stocks-publicly-traded companies involved in producing alcohol, tobacco, and gaming. We
hypothesize that there is a societal norm to not fund operations that promote vice and that ...
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[CITATION] Disagreement and the Stock Market (Digest Summary)

H Hong… - CFA Digest, 2007 - CFA Institute

[PDF] Who's on First? Ordering and Revenue in Art Auctions

[PDF] from princeton.edu
H Hong, I Kremer, J Kubik, J Mei, M Moses… - princeton.edu
Abstract: We estimate the effect of ordering by value on revenues in sequential auctions
using data from art auctions of Impressionist and Modern by Sotheby's and Christies' from
1985 to 2007. Sotheby's and Christie's agreed years ago to alternate between who holds ...
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[CITATION] The Price of Sin: The Effects of Social Norms on Markets (Digest Summary)

H Hong… - CFA Digest, 2010 - CFA Institute

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