Momentum, Reversal, and Uninformed Traders in Laboratory Markets
基于Hong和Stein模型的三项实验表明，不知情交易者通过动量交易产生长期价格反转，但若知情交易者也观察价格，则不知情交易者转为反向交易；这解释了个人投资者的反向行为，且不知情交易者主要驱动长期反转而非短期动量。
ABSTRACT 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.