• Documents
  • Authors
  • Tables
  • Log in
  • Sign up
  • MetaCart
  • DMCA
  • Donate

CiteSeerX logo

Advanced Search Include Citations
Advanced Search Include Citations | Disambiguate

DMCA

A unified theory of underreaction, momentum trading and overreaction in asset markets (1999)

Cached

  • Download as a PDF

Download Links

  • [post.economics.harvard.edu]
  • [www.economics.harvard.edu]
  • [www.princeton.edu]
  • [www.econ.sdu.edu.cn]
  • [www.eco.sdu.edu.cn]
  • [momentum.technicalanalysis.org.uk]
  • [web.mit.edu]

  • Save to List
  • Add to Collection
  • Correct Errors
  • Monitor Changes
by Harrison Hong , Jeremy C. Stein
Citations:575 - 31 self
  • Summary
  • Citations
  • Active Bibliography
  • Co-citation
  • Clustered Documents
  • Version History

BibTeX

@MISC{Hong99aunified,
    author = {Harrison Hong and Jeremy C. Stein},
    title = {A unified theory of underreaction, momentum trading and overreaction in asset markets },
    year = {1999}
}

Share

Facebook Twitter Reddit Bibsonomy

OpenURL

 

Abstract

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 across the population, prices underreact in the short run. The underreaction means that the momentum traders can profit by trendchasing. However, if they can only implement simple (i.e., univariate) strategies, their attempts at arbitrage must inevitably lead to overreaction at long horizons. In addition to providing a unified account of under- and overreactions, the model generates several other distinctive implications.

Keyphrases

asset market    unified theory    momentum trading    momentum trader    rational agent    private information    short run    newswatchers information    long horizon    several distinctive implication    unified account   

Powered by: Apache Solr
  • About CiteSeerX
  • Submit and Index Documents
  • Privacy Policy
  • Help
  • Data
  • Source
  • Contact Us

Developed at and hosted by The College of Information Sciences and Technology

© 2007-2019 The Pennsylvania State University