Abstract

http://ssrn.com/abstract=596610
 
 

References (18)



 
 

Citations (10)



 


 



Momentum, Reversal, and Uninformed Traders in Laboratory Markets


Robert J. Bloomfield


Cornell University - Samuel Curtis Johnson Graduate School of Management

William B. Tayler


Brigham Young University

Flora H. Zhou


Georgia State University; affiliation not provided to SSRN

June 1, 2008

Journal of Finance, October 2008

Abstract:     
We report the results of three experiments based on the model of Hong and Stein (1999). Consistent with the model, 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. 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.

Number of Pages in PDF File: 45

Keywords: Market efficiency, behavioral finance, underreaction, overreaction, anomalies, uninformed traders

JEL Classification: C92, G14

working papers series





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Date posted: September 28, 2004 ; Last revised: January 4, 2009

Suggested Citation

Bloomfield, Robert J. and Tayler, William B. and Zhou, Flora H., Momentum, Reversal, and Uninformed Traders in Laboratory Markets (June 1, 2008). Journal of Finance, October 2008. Available at SSRN: http://ssrn.com/abstract=596610 or http://dx.doi.org/10.2139/ssrn.596610

Contact Information

Robert J. Bloomfield (Contact Author)
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
450 Sage Hall
Ithaca, NY 14853
United States
607-255-9407 (Phone)
607-254-4590 (Fax)
William B. Tayler
Brigham Young University ( email )
Brigham Young University
519 TNRB
Provo, UT 84602
United States
(801) 422-5972 (Phone)
(801) 422-0621 (Fax)
Flora H. Zhou
Georgia State University ( email )
P.O. Box 4050
Atlanta, GA 30302-4050
United States
affiliation not provided to SSRN
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