The Chinese Warrants Bubble: Evidence from Brokerage Account Records

• 成果类型: Article
• 署名作者: Pearson, Neil D.; Yang, Zhishu; Zhang, Qi
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; Tsinghua University; Durham University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa037
• 发表日期: 2021
• 页码: 264
• 关键词: investors; overconfidence; experiences

摘要

We use brokerage account records to study trading during the Chinese put warrants bubble and find evidence consistent with extrapolative theories of speculative asset price bubbles. We identify the event that started the bubble and show that investors engaged in a form of feedback trading based on their own past returns. The interaction of feedback trading with the precipitating event caused additional buying and price increases in a feedback loop, and estimates of the trading volume due to this mechanism explain prices and returns during the bubble.