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Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia

Jianping Mei, Jose Scheinkman and Wei Xiong

Annals of Economics and Finance, 2009, vol. 10, issue 2, 225-255

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.

Keywords: Speculative bubble; Trading volume (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (131)

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http://aeconf.com/Articles/Nov2009/aef100201.pdf (application/pdf)
http://down.aefweb.net/AefArticles/aef100201.pdf (application/pdf)

Related works:
Working Paper: Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia (2009) Downloads
Working Paper: Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia (2005) Downloads
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