BLOOMFIELD, ROBERT J.; TAYLER, WILLIAM B.; FLORA … - In: Journal of Finance 64 (2009) 6, pp. 2535-2558
We report the results of three experiments based on the model of <link rid="b14">Hong and Stein (1999)</link>. Consistent with the model, the results show that when informed traders do not observe prices, uninformed traders generate long-term price reversals by engaging in momentum trade. However, when informed...