Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia (2009)
| Venue: | ANNALS OF ECONOMICS AND FINANCE 10-2, 225–255 (2009) |
| Citations: | 6 - 0 self |
BibTeX
@MISC{Mei09speculativetrading,
author = {Jianping Mei and José A. Scheinkman and Wei Xiong},
title = { Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia },
year = {2009}
}
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Abstract
The market dynamics of technology stocks in the late 1990s have stimulated a growing body of theory that analyzes the joint effects of short-sales constraints and heterogeneous beliefs on stock prices and trading volume. This paper examines several implications of these theories using a unique data sample from a market with stringent short-sales constraints and perfectly segmented dual-class shares. The identical rights of the dual-class shares allow us to control for stock fundamentals. We find that trading caused by investors’ speculative motives can help explain a significant fraction of the price difference between the dual-class shares.
