Momentum, Reversal, and Uninformed Traders in Laboratory Markets

• 成果类型: Article
• 署名作者: Bloomfield, Robert J.; Tayler, William B.; Zhou, Flora (Hailan)
• 署名单位: Cornell University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01510.x
• 发表日期: 2009
• 页码: 2535-2558
• 关键词: SYNCHRONIZATION RISK; STOCK; overreaction; EFFICIENCY; investors; returns

摘要

We report the results of three experiments based on the model of Hong and Stein (1999). Consistent with the model, the results show that when informed traders do not observe prices, uninformed traders generate long-term price reversals by engaging in momentum trade. However, when informed traders also observe prices, uninformed traders generate reversals by engaging in contrarian trading. The results suggest that a dominated information set is sufficient to account for the contrarian behavior observed among individual investors, and that uninformed traders may be responsible for long-term price reversals but play little role in driving short-term momentum.