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A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets

Hong, Harrison - 1997

We assume that the instantaneous riskless rate reverts towards a central tendency which in turn, is changing stochastically over time. As a result, current short-term rates are not" sufficient to predict future short-term rates movements, as would be the case if the central" tendency was...

Persistent link: https://www.econbiz.de/10012472491

Crash Risk in Currency Markets

Farhi, Emmanuel - 2009

expected exchange rate depreciations (appreciations) for high (low) interest rate currencies, suggesting that disaster risk is … priced in currency markets. To study the price of disaster risk, we propose a simple structural model that includes both … Gaussian and disaster risk and can be estimated even in samples that do not contain disasters. Estimating the model over the …

Persistent link: https://www.econbiz.de/10012463588

Do Hedge Funds Profit From Mutual-Fund Distress?

Chen, Joseph - 2008

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 management -- are forced to...

Persistent link: https://www.econbiz.de/10012464861

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

Hong, Harrison - 2003

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 manager and the stock in...

Persistent link: https://www.econbiz.de/10012468987

Breadth of Ownership and Stock Returns

Chen, Joseph - 2001

We develop a model of stock prices in which there are both differences of opinion among investors as well as short-sales constraints. The key insight that emerges is that breadth of ownership is a valuation indicator. When breadth is low i.e., when few investors have long positions in the stock...

Persistent link: https://www.econbiz.de/10012470575

Banks as Patient Fixed-Income Investors

Hanson, Samuel G. - 2014

-income assets that have only modest fundamental risk, but are relatively illiquid and have substantial transitory price volatility …

Persistent link: https://www.econbiz.de/10012458379

Speculative growth : hints from the US economy

Caballero, Ricardo J. (contributor); … - 2004 - [Elektronische Ressource]. - Rev

Persistent link: https://www.econbiz.de/10002111075

Information Production and Capital Allocation : Decentralized vs. Hierarchical Firms

Stein, Jeremy C. - 2000

costlessly hardened' and passed along within the hierarchy. As a concrete application of the theory, the paper discusses the …, this is exactly what the theory would lead one to expect …

Persistent link: https://www.econbiz.de/10012471056

Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices

Chen, Joseph - 2000

This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...

Persistent link: https://www.econbiz.de/10012471074

Differences of Opinion, Rational Arbitrage and Market Crashes

Hong, Harrison - 1999

We develop a theory of stock-market crashes based on differences of opinion among investors. Because of short …

Persistent link: https://www.econbiz.de/10012471408