|
Harrison Hong |
|
|
John Scully
Õ66 Professor of Economics and Finance |
Phone: (609) 258-0259 |
1.
"A Unified Theory of Underreaction,
Momentum Trading and Overreaction in Asset Markets" (w/ Jeremy C. Stein;, Harvard University)
Journal of Finance, December 1999.
2.
"Trading and Returns under Periodic Market
Closures" (w/ Jiang Wang, MIT)
Journal of Finance, February 2000.
3.
"Bad News Travels Slowly: Size, Analyst Coverage and
the Profitability of Momentum Strategies" (w/ Terence Lim, Goldman Sachs and Jeremy C. Stein, Harvard University) Journal of
Finance, February 2000.
4.
"A Model of Returns and Trading in Futures
Markets" Journal of Finance, April 2000.
5.
"Security
Analysts' Career Concerns and Herding of Earnings Forecasts" (w/
Jeffrey
Kubik, Syracuse University and Amit Solomon, DJ Greene) Rand Journal of
Economics, Spring 2000.
6.
"Forecasting Crashes: Trading Volume, Past Returns
and Conditional Skewness in Stock Prices" (w/ Joseph Chen,
USC and Jeremy C. Stein, Harvard University)
Journal of Financial Economics, September 2001.
7.
"Strategic
Trading and Learning about Liquidity" (w/ Sven
Rady, University of Munich)
Journal of Financial Markets, November 2002.
8. "Breadth
of Ownership and Stock Returns" (w/ Joseph Chen, USC,
Jeremy Stein, Harvard University)
Journal of Financial Economics, November 2002.
9. "Analyzing
the Analysts: Career Concerns and Biased Earnings Forecasts"
(w/ Jeffrey Kubik, Syracuse University)
Journal of Finance, February 2003.
10. "Differences
of Opinion, Short-Sales Constraints and Market Crashes" (w/
Jeremy
C. Stein, Harvard University)
Review of Financial Studies, Summer 2003. (Previously circulated as
"Differences of Opinion, Rational Arbitrage and Market Crashes")
11. "Social
Interaction and Stock Market Participation" (w/ Jeffrey Kubik, Syracuse University and Jeremy Stein, Harvard
University)
Journal of Finance, February 2004.
12. "Does
Fund Size Erode Mutual Fund Performance? The Role of Liquidity and
Organization"
(w/ Joseph Chen, USC, Ming Huang, Stanford University, and Jeffrey D. Kubik, Syracuse University)
American Economic Review, December 2004
13. "Talking
up Liquidity: Insider Trading and Investor Relations" (w/
Ming Huang, Stanford University)
Journal of Financial Intermediation, January 2005.
14. "Thy
Neighbor's Portfolio: Word-of-Mouth Effects in the Holdings and Trades of Money
Managers" (w/ Jeremy C. Stein, Harvard University and
Jeffrey D. Kubik, Syracuse University)
Journal of Finance, December 2005.
15. "Asset
Float and Speculative Bubbles" (w/ Jose Scheinkman and Wei Xiong, Princeton
University)
Journal of Finance, June 2006.
16. "Do
Industries Lead Stock Markets?" (w/
Walter Torous, UCLA and Ross Valkanov,
UCSD)
Journal of Financial Economics, February 2007.
17. "Simple Forecasts and Paradigm Shifts" (w/
Jeremy Stein, Harvard University and Jialin Yu,
Columbia University)
Journal of Finance, June 2007.
18.
"Disagreement and the Stock Market" (w/
Jeremy Stein, Harvard University)
Journal of Economic Perspectives, Spring 2007.
19. "Firms as Buyers of Last Resort" (w/ Jialin Yu, Columbia University and Jiang Wang, MIT)
Journal of Financial Economics, April 2008.
20. "Advisors
and Asset Prices: A Model of the Origins of Bubbles" (w/
Jose Scheinkman and Wei Xiong
Princeton University)
Journal of Financial Economics, August 2008.
21. "The Only Game in Town: Stock-Price Consequences of Local
Bias" (w/ Jeffrey Kubik,
Syracuse University and Jeremy Stein, Harvard University)
Journal of Financial Economics, October 2008.
22. "The
Price of Sin: The Effects of Social Norms on Markets"
(w/ Marcin Kacperczyk, NYU)
Journal of Financial Economics, July 2009.
23. "Gone
Fishin':
Seasonality in Trading Activity and Asset Prices" (w/ Jialin Yu, Columbia University)
Journal of Financial Markets, November 2009.
24. "Competition
and Bias" (w/ Marcin Kacperczyk, NYU)
Quarterly
Journal of Economics, November 2010.
25.
"Red and Blue Investing: Values and Finance" (w/
Leonard Kostovetsky, Rochester)
Journal of
Financial Economics, February 2011.
26. "Do Arbitrageurs Amplify Economic Shocks?"
(w/ Tal Fishman, Princeton University and Jeffrey Kubik, Syracuse University)
Journal of
Financial Economics, October 2011.
Price
overshooting of good earnings news as short-sellers are forced to cut their
positions.
Supplemental
Appendix: "Internet Appendix for Arbs
Amplify"
27.
"What Futures Market Interest Tell Us
About the Macroeconomy and Asset Prices?" (w/ Motohiro Yogo,
Wharton)
Journal of
Financial Economics, September 2012.
Changes in
futures market open interest highly pro-cyclical and an unexpected and robust
predictor of prices in commodity, currency, bond and stock markets.
28. "Outsourcing Mutual Fund Management: Firm Boundaries,
Incentives and Performance" (w/ Joseph Chen, USC, Wenxi Jiang, Yale University, Jeffrey Kubik,
Syracuse University)
Journal
of Finance, forthcoming.
Funds with
outsourced management significantly underperform funds ran internally by the
family.
Supplemental
Appendix: "Internet Appendix for Outsourcing"
29. "Quiet Bubbles" (w/ David Sraer, Princeton University)
Journal
of Financial Economics, forthcoming.
Supplemental
Appendix: "Internet Appendix for QB"
Credit payoffs are less sensitive to disagreement about underlying asset value than equity since its upside is capped. Hence credit bubbles are quieter than equity bubbles---high price but lower price volatility and share turnover.
30. "Discusion Comments of Momentum and Stock Return Autocorrelation"
(w/ Joseph Chen, USC)
Review of Financial Studies, March 2002
31.
"Transparency: Analysts' Career Concerns and Biased
Forecasts,"
MBA in A Box, May 2004.
32.
"Behavioral Finance: An Introduction to Special
Issue of EFMJ,"
European
Financial Management Journal, June 2007.
33. "Do Hedge Funds Profit from Mutual Fund Distress?"
(w/ Joseph Chen, USC, Samuel Hanson, HBS, and Jeremy C.
Stein, Harvard University)
(First Draft: September 2007, This Draft: April 2008)
34.
"Stochastic Convenience Yield, Optimal Hedging and
the Term Structure of Open Interest and Futures Prices"
(July 2001)
35. "Ordering
and Revenue in Art Auctions" (w/ Jeffrey Kubik, Syracuse, Ilan Kremer,
Stanford, Jianping Mei, NYU, Michael Moses, NYU)
(First Draft:
June 2008, This Draft: April 2009)
36. "Yesterday's Heroes: Compensation and Creative
Risk-Taking" (w/ Ing-Haw Cheng
University of Michigan and Jose Scheinkman, Princeton
University)
(First Draft:
July 2009, This Draft: June 2010)
37. "An Epidemiological Approach to Opinion and Price-Volume
Dynamics" (w/ Dong Hong, Singapore Management University
and Andrei Ungureanu, Princeton University)
(First Draft:
March 2010)
The canonical
network model of virus transmission embedded in a standard asset pricing and
trading framework generates new insights on price momentum and earnings
announcement drift.
38. "Speculating on Home Improvements" (w/
Hyun-Soo Choi, Princeton University and Jose Scheinkman, Princeton University)
(NEW! First
Draft: September 2010)
Homeowners
over-invest in home improvements because of speculative motive.
39. "Financial Constraints on Corporate Goodness"
(w/ Jeffrey D. Kubik, Syracuse University and Jose Scheinkman, Princeton University)
(NEW! First Draft:
January 2011)
We solve the endogeneity problem that has plagued the corporate social
responsibility literature: do firms do well by doing good
or are they good because they do well?
40. "Rules and Regression Discontinuities in Asset Markets"
(w/ Yen-cheng Chang, Shanghai Advanced Institute for
Finance)
(REVISED First
Draft: June 2011. This Draft: June 2012)
Stock 1001 of
Russell stock market indices has discontinuously higher returns and covariance
with the market but not price volatility compared to Stock 1000.
41. "When Some Investors Head for the Exit"
(w/ Wenxi Jiang, Yale University)
(NEW! First Draft:
November 2011)
The exit rate
of stocks among both equity and hedge funds is tied to binding short-sales
constraints and forecasts low risk-adjusted expected returns.
42. "Trading for Status" (w/ Wenxi Jiang, Yale University and Bin Zhao, Shanghai
Advanced Institute for Finance)
(NEW! First
Draft: November 2011)
A novel
experimental design from China to identify the effect of status preferences on
asset pricing and trading: status leads to excessive trading of and high prices
for local stocks as investors adjust their portfolios to catch up with the Wangs.
43. "Do Managers Do Good With Other Peoples' Money?"
(w/ Ing-Haw Cheng,
University of Michigan and Kelly Shue, University of
Chicago)
(NEW! First
Draft: November 2011)
Two
quasi-experiments supporting agency hypothesis: (1) 2003 Dividend Tax Cut led
to bigger drop in goodness scores for low compared to high insider ownership
firms; (2) firms in which governance proposals just passed the 50% cut-off had
slower growth of goodness scores compared to firms in which they just failed.
44. "Speculative Betas" (w/ David Sraer, Princeton University)
(REVISED! This
Draft: August 11, 2012, First Draft: December 2011)
When there is
macro-economic uncertainty and disagreement, investors disagree more about the
cashflows of high beta assets and they end up over-priced due short-sales
constraints compared to low beta assets. The CAPM holds when macro-disagreement
is low, but the Security Market Line is initially increasing and then
decreasing with beta when macro-disagreement is high.
45. "Do Security Analysts Discipline Credit Rating Agencies?"
(w/ Kingsley Fong, UNSW, Marcin
Kacperczyk, NYU, Jeffrey D. Kubik,
Syracuse University)
(NEW! First
Draft: December 2011)
Security
analysts discipline credit rating agencies. Stocks with more coverage have lower
credit ratings. Causality
established using randomization associated with a decrease in analyst coverage
due to mergers of brokerage houses.
1.
Hong
and KacperczykÕs Price of Sin: "List
of Sin Stocks"
2.
Hong
and KacperczykÕs Competition and Bias: goto MKÕs site
http://pages.stern.nyu.edu/~sternfin/mkacperc/public_html/~mkacperc.htm
3.
Hong
and KostovetskyÕs Red and Blue Investing: "Data
on Money ManagerÕs Political Affiliation"
4.
Hong
and YogoÕs What Futures Market Open Interest Tells Us
About the Macroeconomy?: goto MYÕs site (https://sites.google.com/site/motohiroyogo/home/publications/#AssetPricing)
© Harrison
Hong / hhong@princeton.edu
Last updated:
02/10/2013