Differences of Opinion, Short-Sales Constraints, and Market Crashes

By Harrison G. Hong, Jeremy C. Stein. 2003

1,252 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/73ce32ca0f75ea7a210ffa0fcc5ebf7d57dfca52

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Citations in the corpus

Average Idiosyncratic Volatility in G7 Countries (2004, background): “Hong and Stein (2003) suggest that the large fluctuations in stock prices immediately after the crash represented a working-out of microstructural distortions created on that chaotic day, e.”
Financial Statement Comparability and Expected Crash Risk (2016, neutral): “Hong and Stein (2003) argue that investors' belief heterogeneity affects future crash likelihood and predict that higher trading volume is associated with more negatively skewed stock return.”
The Good News in Short Interest (2010, background): “Our results have significant implications for well-known models of the impact of short sale constraints on asset prices such as Miller (1977), Diamond and Verrecchia (1987), and Hong and Stein (2003).”
Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets (2004, neutral): “There is a large, and growing, literature in finance that documents both the theoretical and empirical importance of short sales restrictions.3 Second, it must be possible that the values given by equation (2) can drift apart.”
Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach (2015, background): “The estimation results support the theory, see e.g. Hong and Stein (2003), that pessimistic market conditions lead to higher correlations than optimistic views do.”
Differences of Opinion of Public Information and Speculative Trading in Stocks and Options (2009, background): “…Kreps (1978), DeTemple and Murphy (1994), Kraus and Smith (1996), Morris (1996), Basak (2000), Zapatero (1998), Duffie, Garleanu, and Pederson (2002), Kyle and Lin (2002), Buraschi and Jiltsov (2003), David (2003), Hong and Stein (2003), Qu, Starks, and Yan (2003), and Scheinkman and Xiong (2003).”
Opaque financial reports, R2, and crash risk (2009, background): “To summarize, the impact of OPAQUE on crash risk is statistically highly significant and consistent with the Jin and Myers (2006) model.”
Soft information in earnings announcements: news or noise? (2008, methodology): “33 Turnover is commonly used in the empirical literature as a proxy for the dispersion in informed traders’ beliefs, a tenet that is also supported by numerous theoretical models (e.g., Harris and Raviv (1993), Wang (1998), and Hong and Stein (2003)).”
Red and Blue Investing: Values and Finance (2012, background): “Although explicit SRI (socially responsible investing) funds are more likely to be managed by Democratic managers, this result holds for non-SRI funds and after controlling for other fund and manager characteristics.”
Trust and stock price crash risk: evidence from China (2017, background): “9 omparing the above three models in the representative-investor ramework, Hong and Stein (2003) propose that investor heteroeneity and short-sale constraints represent key elements in stock rice crashes.”
Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns (2006, neutral): “Hong and Stein (2003) suggest that the large fluctuations in stock prices immediately after the crash represented a working out of microstructural distortions created on that chaotic day, e.g., jammed phone lines, overwhelmed market makers, and unexecuted orders.”
Corporate Social Responsibility and Stock Price Crash Risk (2014, positive): “Second, our study extends prior research that attempts to forecast future stock price crash risk (e.g., Chen et al., 2001; Hong and Stein, 2003; Jin and Myers, 2006; Hutton et al., 2009; Kim et al., 2011a and 2011b; Kim and Zhang, 2013).”