The Chinese Warrants Bubble: Evidence from Brokerage Account Records

Neil D. Pearson, Zhishu Yang, Qi Zhang

Research output: Contribution to journalArticlepeer-review

Abstract

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.

Original languageEnglish (US)
Pages (from-to)264-312
Number of pages49
JournalReview of Financial Studies
Volume34
Issue number1
DOIs
StatePublished - Jan 1 2021

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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