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Cited by 4,001

The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.

A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets

Hong, Harrison, Stein, Jeremy C.·1999·The Journal of Finance
DOI 10.1111/0022-1082.00184
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Abstract

We model a market populated by two groups of boundedly rational agents: “newswatchers” and “momentum traders.” Each newswatcher observes some private information, but fails to extract other newswatchers' information from prices. If information diffuses gradually across the population, prices underreact in the short run. The underreaction means that the momentum traders can profit by trend‐chasing. However, if they can only implement simple (i.e., univariate) strategies, their attempts at arbitrage must inevitably lead to overreaction at long horizons. In addition to providing a unified account of under‐ and overreactions, the model generates several other distinctive implications.

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Metadata

Authors
Hong, H., & Stein, J. C.
Venue
The Journal of Finance
Publisher
Wiley
Published
1999-12
Volume
54
Issue
6
Pages
2143-2184
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/0022-1082.00184
OpenAlex
W2892285611
Cited by
4,001
References
4
FWCI
112.11
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets. https://app.cochat.ai/papers/10.1111/0022-1082.00184
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Hong, H., & Stein, J. C. (1999). A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets. The Journal of Finance. https://doi.org/10.1111/0022-1082.00184

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.