 | Professor of Economics, Princeton University Verified email at princeton.edu Cited by 8295 |
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 ...
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 ...
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, ...
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 ...
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 ...
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 ...
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 ...
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. ...
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, ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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- ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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. ...
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 ...
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 ...
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 ...
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- ...
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 ...
[CITATION] Differences of Opinion
H Hong… - Short-Sales Constraints and Market, 2003
[CITATION] qDoes fund size erode perfor'mance
J Chen, H Hong, M Huang… - … and active money managementr, Ameri'can …, 2004
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 ...
[CITATION] Outsourcing Mutual Fund Management: Firm Boundaries
J Chen, HG Harrison… - Incentives and Performance, University of Southern …, 2010
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- ...
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 ...
[CITATION] Jeffrey Kubik, 2002, Does fund size erode performance? Liquidity, organizational diseconomies and active money management
J Chen, H Hong… - mimeo, Stanford University
[CITATION] oDoes Fund Size Erode Mutual Fund Performance
J Chen, H Hong, M Huang… - The Role of Liquidity and Organization. …, 2004
[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
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 ...
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 ...
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 ...
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 ...
[CITATION] Security analysts' career
H Hong, JD Kubik… - 2000
[CITATION] Outsourcing mutual fund management: firm boundaries, incentives
J Chen, HG Hong… - 2006 - and Performance. Mimeo
[CITATION] tA Unified Theory of Underreaction
H Hong… - Momentum Trading and Overreaction in Asset Markets. …, 1999
[CITATION] Jialin Yu, 2007, Firms as buyers of last resort: financing constraints, stock returns and liquidity
H Hong… - Unpublished working paper, Princeton, MIT and …
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 ...
[CITATION] Do industries lead the stock market? Inattention, delayed reaction and cross-asset return predictability
H Hong, W Torous… - 2002 - working paper, Princeton University
[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
[CITATION] Huang, 2005, Talking up liquidity: insider trading and investor relations
M Harrison Hong - JFI,(14)
[CITATION] Jose Scheinkman, 2009,“Yesterday's Heroes: Compensation and Creative Risk-Taking”
IH Cheng… - mimeo Princeton University
[CITATION] Ross Valkanov.“Do Industries Lead the Stock Market?”
H Hong… - 2003 - Mimeo, UCLA, July
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 ...
[CITATION] A unified theory of underreaction, momentum trading, and overreaction in asset markets, manuscript
H Hong… - 1997 - MIT, May
[CITATION] Does fund size erode
J Chen, H Hong, M Huang… - 2004
[CITATION] Forthcoming, The only game in town: Stock-price consequences of local bias
H Hong, J Kubik… - Journal of Financial Economics
[CITATION] Forthcoming. Competition and bias
H Hong… - Quarterly Journal of Economics
[CITATION] Commodity Market Interest and Asset Return
H Hong… - 2009
[CITATION] rThe Price of Sin: The Effect of Social Norms on Markets. sWorking Paper
H Hong… - University of British Columbia, 2006
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 ...
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 ...
[CITATION] Social Interaction and Stock
H Hong, JD Kubik… - 2004
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
[CITATION] The Road to a Technology Bubble is Paved with Good Intentions: A Model of Advisors and Asset Prices
[CITATION] Do Industries Lead Stock Markets?(Digest Summary)
H Hong, W Torous… - CFA Digest, 2007 - CFA Institute
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 ( ...
[CITATION] Dyanmic models of asset returns and trading
HG Hong - 1997 - Massachusetts Institute of …
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 ...
J Wang, J Stein, G Ellison… - 1997 - dspace.mit.edu
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[CITATION] What Drives Corporate Social Responsibility?
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. ...
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. ...
HG Hong… - 2000 - temporaryaddress.cepr.org
DP2416 Strategic Trading And Learning About Liquidity. Author(s ...
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
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 ...
[CITATION] The Only Game in Town: Stock-Price Consequences of Local Bias (Digest Summary)
H Hong, JD Kubik… - CFA Digest, 2009 - CFA Institute
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 ...
[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
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 ...
SSRN-Advisors and Asset Prices: A Model of the Origins of Bubbles
by Jose Scheinkman, Wei Xiong, Harrison Hong.
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 ...
[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
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 ...
[CITATION] Disagreement and the Stock Market (Digest Summary)
H Hong… - CFA Digest, 2007 - CFA Institute
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 ...
[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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