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Harrison Hong |
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John R.
Eckel Jr. Professor of Financial Economics |
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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.
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
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.
Data for Hong
and Kacperczyk Price of Sin: http://www.columbia.edu/~hh2679/sinstocks.pdf
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.
Program and
Data for Hong and Kacperczyk Competition and Bias: http://pages.stern.nyu.edu/~sternfin/mkacperc/public_html/~mkacperc.htm
25.
"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"
26. "Do Arbitrageurs Amplify Economic Shocks?" (w/ Tal Fishman, Princeton
University and Jeffrey Kubik, Syracuse University)
Journal of
Financial Economics, March 2012.
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.
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
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, April 2013.
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, December 2013.
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. "Speculating on Home Improvements" (w/ Hyun-Soo Choi, Princeton
University and Jose Scheinkman, Princeton University)
Journal of
Financial Economics, March 2014.
Homeowners
over-invest in home improvements because of speculative motive.
31. "Trading for Status" (w/ Wenxi Jiang, Yale University, Na Wang, Hofstra
University, and Bin Zhao, Shanghai Advanced Institute for Finance)
(REVISED!
First Draft: November 2011, This Draft: May 2014)
Review of
Financial Studies, November 2014.
Households living in affluent Chinese cities trade small
local stocks to Keep Up With The Wangs.
32. "Regression Discontinuity and The Price Effects of Stock Market
Indexing"
(w/ Yen-cheng Chang, Shanghai Advanced Institute for Finance and Inessa
Liskovich, Princeton University)
(REVISED First
Draft: June 2011. This Draft: July 2013)
Small changes
in market capitalizations for stocks around the Russell 1000 cut-off lead to
discontinuous demand effects due to value-weighting of Russell Indices.
This draft replaces an older draft: "Rules and Regression Discontinuities in Asset Markets".
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
33. "Ordering, Revenue and Anchoring in Art Auctions" (w/ Jeffrey Kubik, Syracuse,
Ilan Kremer, Warwick, Jianping Mei, CKGSB, Michael Moses, NYU)
(First Draft:
June 2008, This Draft: August 2014)
Evidence of an
anchoring effect using a quasi-experiment from art auctions in New York City.
Rand Journal
of Economics, Spring 2015.
34. "Yesterday's Heroes: Compensation and Risk at Financial
Firms" (w/
Ing-Haw Cheng University of Michigan and Jose Scheinkman, Princeton University)
(REVISED!
First Draft: July 2009, This Draft: December 27, 2013
This draft
replaces an older draft titled, "Yesterday's Heroes: Compensation and Creative Risk-Taking"
Journal of
Finance, April 2015.
35. "Speculative Betas" (w/ David Sraer, Princeton University)
(REVISED!
First Draft: December 2011, This Draft: May 2015)
When investors
disagree about the path of the economy, investors disagree more about the
cashflows of high beta than low beta stocks. Beta by magnifying aggregate
disagreement leads to speculation and high prices for risky assets when the
world is uncertain.
Journal of
Finance, October 2016.
36. "Inflation Bets on the Long Bond" (w/ David Sraer, Princeton
University and Jialin Yu, HKUST)
(First Draft:
July 2014, This Draft: April 2016.)
When investors
disagree about the inflation, investors disagree more about the payoffs of the
long bond than the short bond. Maturity by magnifying inflation disagreement
leads to speculation and high prices for long term bonds when the world is
uncertain.
Review of Financial
Studies, January 2017.
37. "Climate Risks and Market Efficiency" (w/ Frank Weikai Li, Hong Kong
University of Science and Technology and Jiangmin Xu, Peking University)
(First Draft:
May 2016, This Draft: September 2017)
Long-term
trend of drought in a country, measured by the Palmer Drought Severity Index
(PDSI) from climate studies, forecasts poor cashflows and stock returns for
food companies in that country, consistent with stock markets pricing climate
change risk with a delay.
Journal of
Econometrics, forthcoming.
38. "Inferring Latent Social Networks from Stock Holdings" (w/ Jiangmin Xu, Peking
University)
(First Draft:
December 2013, This Draft: September 2017)
The
distribution of managerial linkages in any given city is too over-dispersed or
fat-tailed to be generated by the Erdos and Renyi (1959) model of i.i.d.
connections. Managers at the tail of this distribution, and hence with
non-i.i.d. connections to a city, are shown to have more university alumni
connections in that city and to outperform other mutual funds by 1.6% per
annum.
This draft was previously circulated under the title "Count Models of Social Networks in Finance".
Journal of
Financial Economics, forthcoming.
39. "Robust Measures of Earnings Surprises" (w/ Chin-Han Chiang, Singapore
Management, Wei Dai, Dimensional Fund Advisors, Jianqing Fan, Princeton
University, Jun Tu, Singapore Management)
(First Draft:
July 2014, This Draft: January 2016)
A robust
parametric-free measure of earnings surprises compared to the consensus
forecast error.
Journal of Finance,
forthcoming.
"Internet Appendix Robust Surprises"
40. "Selection Versus Talent Effects on Firm Value" (w/ Briana Chang, University of
Wisconsin)
(First Draft:
July 2017. This paper subsumes our earlier work “Assignment of Stock Market
Coverage”)
We develop a
metric that decomposes selection (or assortative matching) from the direct
effect of talent on firm value.
Journal of
Financial Economics, forthcoming.
41. "Discusion Comments of Momentum and Stock Return Autocorrelation" (w/ Joseph Chen, USC)
Review of Financial Studies, March 2002.
42.
"Transparency: Analysts' Career Concerns and Biased
Forecasts,"
MBA in A Box, May 2004.
43.
"Behavioral Finance: An Introduction to Special
Issue of EFMJ,"
European
Financial Management Journal, June 2007.
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)
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.
47. "Financial Constraints on Corporate Goodness" (w/ Jeffrey D. Kubik, Syracuse
University and Jose Scheinkman, Princeton University)
(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?
48. "When Some Investors Head for the Exit" (w/ Wenxi Jiang, Yale
University)
(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.
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)
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.
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)
Increasing
security analyst coverage, which leads to less biased analyst forecasts by
fostering competition, also leads to less biased credit ratings.
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)
Housing
crisis of 2008 centered in MSAs of Sand States (California, Arizona, Nevada and
Florida). Leading explanations of the housing crisis cannot account for Sand
States. This paper provides an explanation.
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)
We provide
evidence for an oft-cited premise that diverse societies grow faster than
homogenous ones because they bring about diverse opinions that foster problem
solving and creativity.
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"
High CSR firms
receive more lenient settlements for Foreign Corrupt Practices Act violations
and outperform low CSR firms by 2.4% in the six months subsequent to the announcements
of the settlements.
54. "Hoard Behavior During Commodity Bubbles" (w/ Aureo de Paula, University
College of London and Vishal Singh, New York University)
(First Draft:
April 2014, This Draft: September 2014)
A study of US
households hoarding rice during the 2008 Rice Bubble using supermarket scanner
data.
55. "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)
Days to cover,
short interest ratio divided by average daily share turnover, and not short
interest ratio measures the rewards to entering crowded trades.
56. "Location Choice, Portfolio Choice" (w/ Ioannis Branikas, Princeton
University and Jiangmin Xu, Peking University)
(First Draft:
September 2016)
Local bias of
household portfolios explained by latent factors driving location choice.
57. "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)
Rent
risk reduces outsides options when there are search frictions, leading to less
picky buyers and worse home/buyer matches, and attenuating the rise in the
price-to-rent ratio that would otherwise occur without frictions.
58. "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)
Unconstrained
investor speculation during credit booms leads to larger effect on asset prices
than does the direct effect of credit to constrained investors.
Harrison Hong
/ hh2679@columbia.edu
Last updated:
5/19/2018