The Chinese Warrants Bubble

• 成果类型: Article
• 署名作者: Xiong, Wei; Yu, Jialin
• 署名单位: Princeton University; Princeton University; Columbia University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.101.6.2723
• 发表日期: 2011
• 页码: 2723-2753
• 关键词: SPECULATIVE INVESTOR BEHAVIOR; asset markets; expectations; lotteries; crashes; prices

摘要

In 2005-2008, over a dozen put warrants traded in China went so deep out of the money that they were almost certain to expire worthless. Nonetheless, each warrant was traded more than three times each day at substantially inflated prices. This bubble is unique in that the underlying stock prices make warrant fundamentals publicly observable and that warrants have predetermined finite maturities. This sample allows us to examine a set of bubble theories. In particular, our analysis highlights the joint effects of short-sales constraints and heterogeneous beliefs in driving bubbles and confirms several key findings of the experimental bubble literature. (JEL G12, G13, O16, P34)