Harrison Hong

 

 

John R. Eckel Jr. Professor of Financial Economics
Department of Economics
Columbia University
NY, NY 10027

                    
          

 

 

Curriculum Vitae

[CV]

 

 

Short Bio

[BIO]

 

 

Articles

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, Neuberger Berman) 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. "Discussion Comments of Momentum and Stock Return Autocorrelation" (w/ Joseph Chen, USC)
Review of Financial Studies, March 2002.

 

8. "Strategic Trading and Learning about Liquidity" (w/ Sven Rady, University of Munich)
Journal of Financial Markets, November 2002.

 

9. "Breadth of Ownership and Stock Returns" (w/ Joseph Chen, USC, Jeremy Stein, Harvard University)
Journal of Financial Economics, November 2002.

 

10. "Analyzing the Analysts: Career Concerns and Biased Earnings Forecasts" (w/ Jeffrey Kubik, Syracuse University)
Journal of Finance, February 2003.

 

11. "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")

 

12. "Social Interaction and Stock Market Participation" (w/ Jeffrey Kubik, Syracuse University and Jeremy Stein, Harvard University)
Journal of Finance, February 2004.

 

13. "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.

 

14. "Talking up Liquidity: Insider Trading and Investor Relations" (w/ Ming Huang, Stanford University)
Journal of Financial Intermediation, January 2005.

 

15. "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.

 

16. "Asset Float and Speculative Bubbles" (w/ Jose Scheinkman and Wei Xiong, Princeton University)
Journal of Finance, June 2006.

 

17. "Do Industries Lead Stock Markets?" (w/ Walter Torous, UCLA and Ross Valkanov, UCSD)
Journal of Financial Economics, February 2007.

 

Program and Data:

 

                                   http://rady.ucsd.edu/docs/faculty/valkanov/Note_10282014.pdf

                                   http://rady.ucsd.edu/docs/faculty/valkanov/Do%20Industries%20Lead%20Stock%20Data%20and%20Code.zip

 

 

18. "Simple Forecasts and Paradigm Shifts" (w/ Jeremy Stein, Harvard University and Jialin Yu, Columbia University)
Journal of Finance, June 2007.

 

19. "Disagreement and the Stock Market" (w/ Jeremy Stein, Harvard University)
Journal of Economic Perspectives, Spring 2007.

 

20. "Firms as Buyers of Last Resort" (w/ Jialin Yu, Columbia University and Jiang Wang, MIT)
Journal of Financial Economics, April 2008.

 

21. "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.

 

22. "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.

 

23. "The Price of Sin: The Effects of Social Norms on Markets" (w/ Marcin Kacperczyk, NYU)
Journal of Financial Economics, July 2009.

Data for Hong and Kacperczyk Price of Sin: http://www.columbia.edu/~hh2679/sinstocks.pdf

 

24. "Gone Fishin': Seasonality in Trading Activity and Asset Prices" (w/ Jialin Yu, Columbia University)
Journal of Financial Markets, November 2009.

 

25. "Competition and Bias" (w/ Marcin Kacperczyk, NYU)

Quarterly Journal of Economics, November 2010.

Program and Data for Hong and Kacperczyk Competition and Bias: http://pages.stern.nyu.edu/~sternfin/mkacperc/public_html/~mkacperc.htm

 

26. "Red and Blue Investing: Values and Finance" (w/ Leonard Kostovetsky, Rochester)

Journal of Financial Economics, January 2012.

Program and Data for Hong and Kostovetsky Red and Blue Investing: "Data on Money Manager Political Affiliation"

 

27. "Do Arbitrageurs Amplify Economic Shocks?" (w/ Tal Fishman, Princeton University and Jeffrey Kubik, Syracuse University)

Journal of Financial Economics, March 2012.

Supplemental Appendix: "Internet Appendix for Arbs Amplify"

 

28. "What Futures Market Interest Tell Us About the Macroeconomy and Asset Prices?" (w/ Motohiro Yogo, Wharton)

Journal of Financial Economics, September 2012.

Program and Data for Hong and Yogo What Futures Market Open Interest Tells Us About the Macroeconomy?: https://sites.google.com/site/motohiroyogo/home/publications/#AssetPricing

 

29. "Outsourcing Mutual Fund Management: Firm Boundaries, Incentives and Performance" (w/ Joseph Chen, USC, Wenxi Jiang, Yale University, Jeffrey Kubik, Syracuse University)

Journal of Finance, April 2013.

Supplemental Appendix: "Internet Appendix for Outsourcing"

 

30. "Quiet Bubbles" (w/ David Sraer, Princeton University)

Journal of Financial Economics, December 2013.

Supplemental Appendix: "Internet Appendix for QB"

 

31. "Speculating on Home Improvements" (w/ Hyun-Soo Choi, Princeton University and Jose Scheinkman, Princeton University)

Journal of Financial Economics, March 2014.

 

32. "Trading for Status" (w/ Wenxi Jiang, Yale University, Na Wang, Hofstra University, and Bin Zhao, Shanghai Advanced Institute for Finance)

Review of Financial Studies, November 2014.

 

33. "Regression Discontinuity and The Price Effects of Stock Market Indexing" (w/ Yen-cheng Chang, Shanghai Advanced Institute for Finance and Inessa Liskovich, Princeton University)

Program for Chang, Hong and Liskovich Russell 2000 RD: "Program" (Please read the Internet Appendix before running the RD. You need to use the end-of-May market-cap ranks for the fuzzy RD. Using the end-of-June Russell weights will severely bias the RD.)

Review of Financial Studies, January 2015

 

34. "Ordering, Revenue and Anchoring in Art Auctions" (w/ Jeffrey Kubik, Syracuse, Ilan Kremer, Warwick, Jianping Mei, CKGSB, Michael Moses, NYU)

Rand Journal of Economics, Spring 2015.

 

35. "Yesterday's Heroes: Compensation and Risk at Financial Firms" (w/ Ing-Haw Cheng University of Michigan and Jose Scheinkman, Princeton University)

This draft replaces an older draft titled, "Yesterday's Heroes: Compensation and Creative Risk-Taking"

Journal of Finance, April 2015.

 

36. "Speculative Betas" (w/ David Sraer, Princeton University)

Journal of Finance, October 2016.

Data and Programs

 

37. "Inflation Bets on the Long Bond" (w/ David Sraer, Princeton University and Jialin Yu, HKUST)

Review of Financial Studies, January 2017.

 

38. "Climate Risks and Market Efficiency" (w/ Frank Weikai Li, Hong Kong University of Science and Technology and Jiangmin Xu, Peking University)

Journal of Econometrics, January 2019.

Internet Appendix

Data and Programs

 

39. "Inferring Latent Social Networks from Stock Holdings" (w/ Jiangmin Xu, Peking University)

Journal of Financial Economics, February 2019.

Internet Appendix

Manual for Codes

Codes

 

40. "Robust Measures of Earnings Surprises" (w/ Chin-Han Chiang, Singapore Management, Wei Dai, Dimensional Fund Advisors, Jianqing Fan, Princeton University, Jun Tu, Singapore Management)

Journal of Finance, April 2019.

"Internet Appendix Robust Surprises"

 

41. "Selection Versus Talent Effects on Firm Value" (w/ Briana Chang, University of Wisconsin)

Journal of Financial Economics, September 2019.

 

42. "Location Choice, Portfolio Choice" (w/ Ioannis Branikas, Princeton University and Jiangmin Xu, Peking University)

Journal of Financial Economics, forthcoming.

 

43. "Climate Finance" (w/ Andrew Karolyi, Cornell University and Jose Scheinkman, Columbia University)

Review of Financial Studies, forthcoming.

 

 

Working Papers

 

44. "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)

 

45. "Stochastic Convenience Yield, Optimal Hedging and the Term Structure of Open Interest and Futures Prices"
(July 2001)

 

46. "An Epidemiological Approach to Opinion and Price-Volume Dynamics" (w/ Dong Hong, Singapore Management University and Andrei Ungureanu, Princeton University)

(First Draft: March 2010)

 

47. "Financial Constraints on Corporate Goodness" (w/ Jeffrey D. Kubik, Syracuse University and Jose Scheinkman, Princeton University)

(First Draft: January 2011)

 

48. "When Some Investors Head for the Exit" (w/ Wenxi Jiang, Yale University)

(First Draft: November 2011)

 

49. "Do Managers Do Good With Other Peoples' Money?" (w/ Ing-Haw Cheng, University of Michigan and Kelly Shue, University of Chicago)

(First Draft: November 2011, This Draft: August 2013)

 

50. "Do Security Analysts Discipline Credit Rating Agencies?" (w/ Kingsley Fong, UNSW, Marcin Kacperczyk, NYU, Jeffrey D. Kubik, Syracuse University)

(First Draft: December 2011, This Draft: August 2014)

 

51. "Sand States and the US Housing Crisis" (w/ Hyun-Soo Choi, Singapore Management University, Jeffrey D. Kubik, Syracuse University, Jeffrey Thompson, Federal Reserve Board of Governors)

(First Draft: January 2013, This Draft: April 2016. This paper subsumes some of the material from When Real Estate is the Only Game in Town)

 

52. "Does Diversity Lead to Diverse Opinions? Evidence from Languages and Stock Markets" (w/ Yen-Cheng Chang, Shanghai Advanced Institute for Finance, Larissa Tiedens, Stanford Graduate School of Business, and Bin Zhao, Shanghai Advanced Institute for Finance)

(First Draft: July 2013, This Draft: December 2013)

 

53. "Crime, Punishment and the Value of Corporate Social Responsibility" (w/ Inessa Liskovich, Princeton University)

(First Draft: April 2014, This Draft: March 2016)

Previously titled "Crime, Punishment and the Halo Effect of Corporate Social Responsibility"

 

54. "Days to Cover and Stock Returns" (w/ Weikai Li, Hong Kong University of Science and Technology, Sophie Xi Ni, Hong Kong University of Science and Technology, Jose Scheinkman, Columbia and Princeton University, and Philip Yan, Goldman Sachs)

(First Draft: April 2014, This Draft: December 2015)

 

55. "Hedging and Pricing Rent Risk with Search Frictions" (w/ Briana Chang, University of Wisconsin, Hyun-Soo Choi, Singapore Management University, and Jeffrey Kubik, Syracuse University)

(First Draft: July 2017)

 

56. "Riding the Credit Boom" (w/ Christopher Hansman, Imperial College Business School, Wenxi Griffin Jiang, Chinese University of Hong Kong, Jane Liu, Peking University Guanghua School of Management, Juaniuan Meng, Peking University Guanghua School of Management)

(First Draft: May 2018)

 

57. "A Sticky-Price View of Hoarding" (w/ Christopher Hansman, Imperial College Business School, Aureo de Paula, University College of London and Vishal Singh, New York University)

(First Draft: April 2014, This Draft: November 2018)

This paper subsumes earlier work circulated as “Hoarding Behavior and Commodity Bubbles”

 

 

Harrison Hong / hh2679@columbia.edu

Last updated: 11/06/2019