Simple Forecasts and Paradigm Shifts

By Harrison G. Hong, Jeremy C. Stein, Jialin Yu. 2007

173 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f3103520ffabe71f0ea579d644a67a5e73fa5795

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Citations in the corpus

Natural Expectations, Macroeconomic Dynamics, and Asset Pricing (2012, background): “…and fi nds that this can generate additional volatility and persis- Natural Expectations, Macroeconomic Dynamics, and Asset Pricing 11 tence of shocks in asset prices and/or the economy (e.g., Branch and Evans 2007, 2010; Hong, Stein, and Yu 2007; Huang, Liu, and Zha 2009; Eusepi and Preston 2011).”
Coarse Thinking and Persuasion (2008, background): “Hong, Stein, and Yu (2007) present a model in which investors use simplified univariate theories to forecast dividends.”
Competition and Bias (2010, methodology): “Or it might come from analysts using different models (see Hong, Stein, and Yu (2007)).”
Parameter Learning in General Equilibrium: The Asset Pricing Implications (2016, unknown): “[26] Hong, H.”
Information Markets and the Comovement of Asset Prices (2006, unknown): “V I = V ar[ut|θ1] =   σ(2) 2 0 0 0 σ(2) η + σ 2 2 − σ 2 12 σ2 η σ23 − σ12σ13 σ2 η 0 σ23 − σ12σ13 σ2 η σ 2 η + σ 2 2 − σ 2 13 σ2 η   (10)”
Macroeconomic Regimes and Regime Shifts (2016, unknown): “Learning by market participants introduces another possible source of tippingpoint or regime-shift dynamics (Hong, Stein, and Yu, 2007; Branch and Evans, 2010).”
Coordination of Expectations in Asset Pricing Experiments (2005, background): “…e.g. Cutler et al. (1990), DeBondt and Thaler (1985), DeLong et al. (1990a, 1990b), Brock and Hommes (1997, 1998), Gervais and Odean (2001) and Hong and Stein (1999, 2003), among others; see e.g. Shleifer (2000) and Hirshleifer (2001) for extensive surveys and many more references on…”
Modeling the Change of Paradigm: Non-Bayesian Reactions to Unexpected News † (2012, background): “In behavioral finance, Hong, Stein, and Yu (2007) suggest a model in which an investor can use one of two explicitly oversimplified and incorrect models of the world to make predictions on the behavior of a stock.”
Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns (2012, unknown): “Hong et al. (2007) develop a model that predicts negatively skewed returns for glamour stocks and positively skewed returns for value stocks.”