Winners, Losers, and Regulators in a Derivatives Market Bubble

• 成果类型: Article
• 署名作者: Li, Xindan; Subrahmanyam, Avanidhar; Yang, Xuewei
• 署名单位: Nanjing University; Nanjing University; University of California System; University of California Los Angeles
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa058
• 发表日期: 2021
• 页码: 313
• 关键词: cross-section; investors; options; lotteries; stocks; overconfidence; preferences; exercise; BEHAVIOR; returns

摘要

We use proprietary brokerage data to study trading patterns within a well-known financial market bubble: the Chinese warrants bubble. Persistently successful investors trade very actively and exhibit characteristics of de facto market makers. Unskilled investors unprofitably trend-chase and increase holdings in out-of-the-money warrants near expiration, whereas sophisticated investors do the reverse. We find that regulators did not properly forecast trading frenzies, as the prespecified price limits often exclude the fundamental values of warrants.