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Citations for "Disagreement and the Stock Market"

by Hong, Harrison & Stein, Jeremy

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  1. Otavio Ribeiro de Medeiros and Vitor Leone, 2012. "Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble," Working Papers 2012/02, Nottingham Trent University, Nottingham Business School, Economics Division.
  2. Amil Dasgupta & Andrea Prat & Michela Verardo, 2011. "The Price Impact of Institutional Herding," Review of Financial Studies, Society for Financial Studies, vol. 24(3), pages 892-925.
  3. Arno Riedl & Paul Smeets, 2013. "Why Do Investors Hold Socially Responsible Mutual Funds?," CESifo Working Paper Series 4403, CESifo Group Munich.
  4. Narayan, Paresh Kumar & Mishra, Sagarika & Sharma, Susan & Liu, Ruipeng, 2013. "Determinants of stock price bubbles," Economic Modelling, Elsevier, vol. 35(C), pages 661-667.
  5. Dan Li & Geng Li, 2011. "Belief dispersion among household investors and stock trading volume," Finance and Economics Discussion Series 2011-39, Board of Governors of the Federal Reserve System (U.S.).
  6. Lauren Cohen & Umit G. Gurun & Christopher J. Malloy, 2012. "Resident Networks and Firm Trade," NBER Working Papers 18312, National Bureau of Economic Research, Inc.
  7. Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2011. "A Theory of Asset Prices Based on Heterogeneous Information," Cowles Foundation Discussion Papers 1827, Cowles Foundation for Research in Economics, Yale University.
  8. Wei Xiong & Hongjun Yan, 2010. "Heterogeneous Expectations and Bond Markets," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
  9. Lee, Boram & Rosenthal, Leonard & Veld, Chris & Veld-Merkoulova, Yulia, 2015. "Stock market expectations and risk aversion of individual investors," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 122-131.
  10. repec:dau:papers:123456789/3495 is not listed on IDEAS
  11. repec:eee:mateco:v:70:y:2017:i:c:p:105-114 is not listed on IDEAS
  12. Ferdinand Graf, 2011. "Mechanically Extracted Company Signals and their Impact on Stock and Credit Markets," Working Paper Series of the Department of Economics, University of Konstanz 2011-18, Department of Economics, University of Konstanz.
  13. Chou, Pin-Huang & Huang, Tsung-Yu & Yang, Hung-Jeh, 2013. "Arbitrage risk and the turnover anomaly," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4172-4182.
  14. Sheila C. Dow, 2013. "Framing finance: A methodological account," Working Papers PKWP1308, Post Keynesian Economics Study Group (PKSG).
  15. Glaser, Markus & Weber, Martin, 2009. "Which past returns affect trading volume?," Journal of Financial Markets, Elsevier, vol. 12(1), pages 1-31, February.
  16. Larrain, Borja & Urzúa I., Francisco, 2013. "Controlling shareholders and market timing in share issuance," Journal of Financial Economics, Elsevier, vol. 109(3), pages 661-681.
  17. Riedl, A.M. & Smeets, P.M.A., 2013. "Social preferences and portfolio choice," Research Memorandum 051, Maastricht University, Graduate School of Business and Economics (GSBE).
  18. Barberis, Nicholas & Xiong, Wei, 2012. "Realization utility," Journal of Financial Economics, Elsevier, vol. 104(2), pages 251-271.
  19. Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 0. "Developing a Volume Forecasting Model," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 0, pages 1.
  20. Bianchi, Milo & Jehiel, Philippe, 2015. "Financial reporting and market efficiency with extrapolative investors," Journal of Economic Theory, Elsevier, vol. 157(C), pages 842-878.
  21. Beker, Pablo F. & Espino, Emilio, 2011. "The dynamics of efficient asset trading with heterogeneous beliefs," Journal of Economic Theory, Elsevier, vol. 146(1), pages 189-229, January.
  22. Marcel Nutz & José A. Scheinkman, 2017. "Supply and Shorting in Speculative Markets," NBER Working Papers 23751, National Bureau of Economic Research, Inc.
  23. Marco Ottaviani & Peter Norman Sørensen, 2009. "Aggregation of Information and Beliefs: Asset Pricing Lessons from Prediction Markets," Discussion Papers 09-14, University of Copenhagen. Department of Economics.
  24. Chuang, Wen-I & Lee, Hsiu-Chuan, 2010. "The Impact of Short-Sales Constraints on Liquidity and the Liquidity-Return Relations," Pacific-Basin Finance Journal, Elsevier, vol. 18(5), pages 521-535, November.
  25. Ajit Singh, 2012. "Financial Globalization and Human Development," Journal of Human Development and Capabilities, Taylor & Francis Journals, vol. 13(1), pages 135-151, February.
  26. Jan Toporowski, 2013. "The Elgar Companion to Hyman Minsky," Review of Political Economy, Taylor & Francis Journals, vol. 25(1), pages 175-177, January.
  27. Robert Edelstein & Wenlan Qian, 2014. "Short-Term Buyers and Housing Market Dynamics," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 654-689, November.
  28. Raghuram Rajan & Rodney Ramcharan, 2015. "The Anatomy of a Credit Crisis: The Boom and Bust in Farm Land Prices in the United States in the 1920s," American Economic Review, American Economic Association, vol. 105(4), pages 1439-1477, April.
  29. Al-Najjar, Nabil I. & Pai, Mallesh M., 2014. "Coarse decision making and overfitting," Journal of Economic Theory, Elsevier, vol. 150(C), pages 467-486.
  30. Adam, Klaus & Beutel, Johannes & Marcet, Albert & Merkel, Sebastian, 2015. "Can a financial transaction tax prevent stock price booms?," Journal of Monetary Economics, Elsevier, vol. 76(S), pages 90-109.
  31. Siganos, Antonios & Vagenas-Nanos, Evangelos & Verwijmeren, Patrick, 2017. "Divergence of sentiment and stock market trading," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 130-141.
  32. Cespa, Giovanni & Vives, Xavier, 2011. "Expectations, Liquidity, and Short-term Trading," CEPR Discussion Papers 8303, C.E.P.R. Discussion Papers.
  33. Ioan Roxana, 2015. "The Influence Of Stock Market Investors’ Behavior On Business Cycles," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 6, pages 136-144, December.
  34. Kei Kawakami, 2014. "Excessive Dynamic Trading: Propagation of Belief Shocks in Small Markets," Department of Economics - Working Papers Series 1188, The University of Melbourne.
  35. Aman, Hiroyuki, 2013. "An analysis of the impact of media coverage on stock price crashes and jumps: Evidence from Japan," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 22-38.
  36. Marco Ottaviani & Peter Norman Sørensen, 2015. "Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal," American Economic Review, American Economic Association, vol. 105(1), pages 1-34, January.
  37. Glaser, Markus & Weber, Martin, 2007. "Why inexperienced investors do not learn: They do not know their past portfolio performance," Finance Research Letters, Elsevier, vol. 4(4), pages 203-216, December.
  38. Han, Jianlei & Pan, Zheyao & Zhang, Guangli, 2017. "Divergence of opinion and long-run performance of private placements: evidence from the auction market," Working Papers 2017-09, University of Tasmania, Tasmanian School of Business and Economics.
  39. Martin Dierker & Jung-Wook Kim & Jason Lee & Randall Morck, 2016. "Investors’ Interacting Demand and Supply Curves for Common Stocks," Review of Finance, European Finance Association, vol. 20(4), pages 1517-1547.
  40. Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Stroebel, 2016. "Social Networks and Housing Markets," NBER Working Papers 22258, National Bureau of Economic Research, Inc.
  41. He, Xue-Zhong & Treich, Nicolas, 2012. "Heterogeneous Beliefs and Prediction Market Accuracy," TSE Working Papers 13-394, Toulouse School of Economics (TSE).
  42. Johnson, Timothy C., 2016. "Rethinking reversals," Journal of Financial Economics, Elsevier, vol. 120(2), pages 211-228.
  43. Wei Xiong & Jialin Yu, 2011. "The Chinese Warrants Bubble," American Economic Review, American Economic Association, vol. 101(6), pages 2723-2753, October.
  44. Xue-Zhong He & Lei Shi, 2012. "Disagreement in a Multi-Asset Market," International Review of Finance, International Review of Finance Ltd., vol. 12(3), pages 357-373, 09.
  45. Markus Glaser & Martin Weber, 2007. "Overconfidence and trading volume," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 32(1), pages 1-36, June.
  46. Jose A. Scheinkman, 2013. "Speculation, Trading and Bubbles Third Annual Arrow Lecture," Working Papers 1458, Princeton University, Department of Economics, Econometric Research Program..
  47. Leone, Vitor & de Medeiros, Otavio Ribeiro, 2015. "Signalling the Dotcom bubble: A multiple changes in persistence approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 77-86.
  48. Arthur Charpentier & Emilios C. Galariotis & Christophe Villa, 2009. "Category-based Tail Comovement," Working Papers hal-00550330, HAL.
  49. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
  50. Muñoz, Francisco, 2013. "Liquidity and firm investment: Evidence for Latin America," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 18-29.
  51. Au, Pak Hung, 2016. "Price reaction and disagreement over public signal," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 81-106.
  52. Brunnermeier, Markus K. & Oehmke, Martin, 2013. "Bubbles, Financial Crises, and Systemic Risk," Handbook of the Economics of Finance, Elsevier.
  53. Xue-Zhong He & Lei Shi & Min Zheng, 2012. "Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs," Research Paper Series 302, Quantitative Finance Research Centre, University of Technology, Sydney.
  54. Bhootra, Ajay & Hur, Jungshik, 2012. "On the relationship between concentration of prospect theory/mental accounting investors, cointegration, and momentum," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1266-1275.
  55. Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2017. "Developing a Volume Forecasting Model," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(1), pages 1-1.
  56. Söderlind, Paul, 2009. "Why disagreement may not matter (much) for asset prices," Finance Research Letters, Elsevier, vol. 6(2), pages 73-82, June.
  57. Beshears, John & Milkman, Katherine L., 2011. "Do sell-side stock analysts exhibit escalation of commitment?," Journal of Economic Behavior & Organization, Elsevier, vol. 77(3), pages 304-317, March.
  58. Chunxin Jia & Yaping Wang & Wei Xiong, 2015. "Social Trust and Differential Reactions of Local and Foreign Investors to Public News," NBER Working Papers 21075, National Bureau of Economic Research, Inc.
  59. Eric Van den Steen, 2011. "Overconfidence by Bayesian-Rational Agents," Management Science, INFORMS, vol. 57(5), pages 884-896, May.
  60. Cheng, Si & Massa, Massimo & Zhang, Hong, 2015. "Short-Sale Constraints and the Pricing of Managerial Skills," CEPR Discussion Papers 10447, C.E.P.R. Discussion Papers.
  61. Andrade, Sandro C. & Bian, Jiangze & Burch, Timothy R., 2013. "Analyst Coverage, Information, and Bubbles," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(05), pages 1573-1605, October.
  62. Hong, Harrison & Sraer, David, 2013. "Quiet bubbles," Journal of Financial Economics, Elsevier, vol. 110(3), pages 596-606.
  63. S. C. Dow., 2010. "The Psychology of Financial Markets: Keynes, Minsky and Emotional Finance," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 1.
  64. Jing Wu & Yongheng Deng, 2015. "Intercity Information Diffusion and Price Discovery in Housing Markets: Evidence from Google Searches," The Journal of Real Estate Finance and Economics, Springer, vol. 50(3), pages 289-306, April.
  65. Zhang, Yan & Ikeda, Shin S., 2016. "A dynamic panel analysis of HKEx shorting ban’s impact on the relationship between disagreement and future returns," Finance Research Letters, Elsevier, vol. 17(C), pages 10-16.
  66. Liang, Pinghan & Guo, Shiqi, 2015. "Social interaction, Internet access and stock market participation—An empirical study in China," Journal of Comparative Economics, Elsevier, vol. 43(4), pages 883-901.
  67. Milo Bianchi & Philippe Jehiel, 2008. "Bubbles and crashes with partially sophisticated investors," PSE Working Papers halshs-00586045, HAL.
  68. Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 9, December.
  69. Lan, Chunhua & Moneta, Fabio & Wermers, Russ, 2015. "Mutual fund investment horizon and performance," CFR Working Papers 15-06, University of Cologne, Centre for Financial Research (CFR).
  70. Yu, Jialin, 2011. "Disagreement and return predictability of stock portfolios," Journal of Financial Economics, Elsevier, vol. 99(1), pages 162-183, January.
  71. Wen-Chung Guo & Sy-Ming Guu & Ting-Yun Chang, 2011. "Equilibrium Information Acquisition, Prediction Abilities and Asset Prices," Computational Economics, Springer;Society for Computational Economics, vol. 37(1), pages 89-111, January.
  72. Qian, Xiaolin, 2014. "Small investor sentiment, differences of opinion and stock overvaluation," Journal of Financial Markets, Elsevier, vol. 19(C), pages 219-246.
  73. Wongchoti, Udomsak & Wu, Fei & Young, Martin, 2009. "Buy and sell dynamics following high market returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 12-20, March.
  74. Orhan ERDEM & Evren ARIK & Serkan YÜKSEL, 2014. "Trading Puzzle, Puzzling Trade," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 29(345), pages 83-102.
  75. Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2011. "A Theory of Asset Pricing Based on Heterogeneous Information," NBER Working Papers 17548, National Bureau of Economic Research, Inc.
  76. Jungshik Hur & Vivek Singh, 2016. "Reexamining momentum profits: Underreaction or overreaction to firm-specific information?," Review of Quantitative Finance and Accounting, Springer, vol. 46(2), pages 261-289, February.
  77. Martijn Cremers & Ankur Pareek, 2009. "Institutional Investors’ Investment Durations and Stock Return Anomalies: Momentum, Reversal, Accruals, Share Issuance and R&D Increases," Yale School of Management Working Papers amz2662, Yale School of Management, revised 04 Sep 2009.
  78. Shaun Hargreaves Heap & Daniel John Zizzo, 2011. "Emotions and chat in a financial markets experiment," Working Paper series, University of East Anglia, Centre for Behavioural and Experimental Social Science (CBESS) 11-11, School of Economics, University of East Anglia, Norwich, UK..
  79. Tanya Gulati & S. K. Bose & Supriyo Roy, 2017. "Short selling restrictions in 2005–2009 in Indian market and underpricing of initial public offerings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(1), pages 116-135, January.
  80. Celiker, Umut & Kayacetin, Nuri Volkan & Kumar, Raman & Sonaer, Gokhan, 2016. "Cash flow news, discount rate news, and momentum," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 240-254.
  81. Paulo M. Gama & Elisabete F. S. Vieira, 2013. "Another look at the holiday effect," Applied Financial Economics, Taylor & Francis Journals, vol. 23(20), pages 1623-1633, October.
  82. repec:spr:cliomt:v:11:y:2017:i:3:d:10.1007_s11698-016-0146-5 is not listed on IDEAS
  83. Assefa, Tibebe A. & Mollick, André Varella, 2014. "African stock market returns and liquidity premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 325-342.
  84. Zhang, Yongjie & Feng, Lina & Jin, Xi & Shen, Dehua & Xiong, Xiong & Zhang, Wei, 2014. "Internet information arrival and volatility of SME PRICE INDEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 70-74.
  85. Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2011. "Geography, skills or both: What explains Fed watchers' forecast accuracy of US monetary policy?," Journal of Macroeconomics, Elsevier, vol. 33(3), pages 420-437, September.
  86. Kim, Jun Sik & Ryu, Doojin & Seo, Sung Won, 2014. "Investor sentiment and return predictability of disagreement," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 166-178.
  87. Singh, Ajit, 2010. "Are the Institutions of the Stock Market and the Market for Corporate Control Evolutionary Advances for Developing Countries?," MPRA Paper 24346, University Library of Munich, Germany.
  88. Li, Dan & Li, Geng, 2014. "Are Household Investors Noise Traders: Evidence from Belief Dispersion and Stock Trading Volume," Finance and Economics Discussion Series 2014-35, Board of Governors of the Federal Reserve System (U.S.).
  89. Chen, Lin & Qin, Lu & Zhu, Hongquan, 2015. "Opinion divergence, unexpected trading volume and stock returns: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 36(C), pages 119-127.
  90. Ing-Haw Cheng & Harrison Hong & Jose Scheinkman, 2010. "Yesterday's Heroes: Compensation and Creative Risk-Taking," NBER Chapters,in: Market Institutions and Financial Market Risk National Bureau of Economic Research, Inc.
  91. Hong, Harrison & Yogo, Motohiro, 2012. "What does futures market interest tell us about the macroeconomy and asset prices?," Journal of Financial Economics, Elsevier, vol. 105(3), pages 473-490.
  92. Jon H. Fiva & Lars J. Kirkebøen, 2008. "Does the Housing Market React to New Information on School Quality?," Discussion Papers 541, Statistics Norway, Research Department.
  93. Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2006. "Geography or skills: What explains Fed watchers’ forecast accuracy of US monetary policy?," Working Paper Series 695, European Central Bank.
  94. Gelman, Sergey & Burhop, Carsten, 2008. "Taxation, regulation and the information efficiency of the Berlin stock exchange, 1892–1913," European Review of Economic History, Cambridge University Press, vol. 12(01), pages 39-66, April.
  95. Mao, Mike Qinghao & Wei, K.C. John, 2014. "Price and earnings momentum: An explanation using return decomposition," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 332-351.
  96. Kaustia, Markku & Knüpfer, Samuli, 2012. "Peer performance and stock market entry," Journal of Financial Economics, Elsevier, vol. 104(2), pages 321-338.
  97. Manfred Gartner, 2010. "Predicting the presidential election cycle in US stock prices: guinea pigs versus the pros," Applied Economics Letters, Taylor & Francis Journals, vol. 17(18), pages 1759-1765.
  98. Shin S. Ikeda & Yan Zhang, 2012. "Heterogeneous Beliefs, a Short-Sale Restriction, and the Cross Section of Stock Returns: An Evidence from China," GRIPS Discussion Papers 12-12, National Graduate Institute for Policy Studies.
  99. Hong, Harrison & Yu, Jialin, 2009. "Gone fishin': Seasonality in trading activity and asset prices," Journal of Financial Markets, Elsevier, vol. 12(4), pages 672-702, November.
  100. Stefania Sitzia & Jiwei Zheng & Daniel Zizzo, 2015. "Inattentive consumers in markets for services," Theory and Decision, Springer, vol. 79(2), pages 307-332, September.
  101. Pietro Dindo, 2015. "Survival in Speculative Markets," LEM Papers Series 2015/32, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  102. Penasse, J.N.G. & Renneboog, L.D.R., 2014. "Bubbles and Trading Frenzies : Evidence from the Art Market," Discussion Paper 2014-068, Tilburg University, Tilburg Law and Economic Center.
  103. Tomura, Hajime, 2013. "Heterogeneous beliefs and housing-market boom-bust cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 735-755.
  104. Yu Liang & Weiqiang Zhang, 2016. "Do Investors Buy Lotteries in China’s Stock Market?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(5), pages 1-5.
  105. J. Bradford DeLong & Konstantin Magin, 2009. "The U.S. Equity Return Premium: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 193-208, Winter.
  106. Erik Eyster & Matthew Rabin & Dimitri Vayanos, 2015. "Financial Markets where Traders Neglect the Informational Content of Prices," NBER Working Papers 21224, National Bureau of Economic Research, Inc.
  107. Li, Yan & Yang, Liyan, 2013. "Prospect theory, the disposition effect, and asset prices," Journal of Financial Economics, Elsevier, vol. 107(3), pages 715-739.
  108. John Fender, 2015. "Towards a General Theory of the Stock Market," Discussion Papers 15-15, Department of Economics, University of Birmingham.
  109. Andrew Sheng & Ajit Singh, 2012. "Enhancing Islamic Finance: Establishing an Islamic Stock Market that Overcomes Problems of the Existing Stock Market," Working Papers wp437, Centre for Business Research, University of Cambridge.
  110. Gao, Xiaohui & Ritter, Jay R., 2010. "The marketing of seasoned equity offerings," Journal of Financial Economics, Elsevier, vol. 97(1), pages 33-52, July.
  111. Urzúa Infante, F., 2014. "Essays on ownership and control," Other publications TiSEM f17a9a42-f7a7-4ffa-a95d-a, Tilburg University, School of Economics and Management.
  112. repec:dau:papers:123456789/5361 is not listed on IDEAS
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