the文档教材chinesewarrantsbubble权证泡沫中的投资者交.pdfVIP

1 Investor Trading During the Chinese Put Warrants Bubble* Neil Pearson Zhishu Yang October 2013 *We thank Yang Zhao for excellent research assistance. 2 “Bubbles” in Asset Pricing • There is long-standing theoretical interest in “bubbles,” dating at least to Smith (1776), who attributed them to “overtrading.” • Interest has intensified following the 1996-2000 boom in the prices of technology stocks • Recent empirical papers include Brunnermeier and Nagel (2004), Hong, Scheinkman, and Xiong (2006), Greenwood and Nagel (2009), Griffin, Harris, Shu, and Topolaglu (2009), and Xiong and Yu (2011). • Empirical work is limited by lack of access to detailed data on investors’ trades.* E.g., the empirical analyses in Xiong and Yu (2011) focus on end-of-day closing prices and volume *An exception is Kaustia and Knupfer (JFE , 2012), who use Finnish data to study social contagion during a period that included the technology bubble. 3 Our Contribution We use detailed brokerage account trading records from a Chinese securities firm to study investor behavior during the Chinese put warrants bubble •The data we have covers almost the entire period of warrant trading, from August 22, 2005 (the date the first warrant was issued) until December 31, 2009 Using these data: •We find evidence inconsistent with a leading theory of bubbles, the resale option theory of Scheinkman and Xiong (JPE , 2003) •We find evidence that the order imbalances due to the trades of new investors forecast returns •We present strong e