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Speculative Trading and Stock Prices: An Analysis of Chinese A-B Share Premia
16 references·16 citing·44 second hopsampled
Speculative Trading and Stock Prices: An Analysis of Chinese A-B Share Premia (2004)Speculative Trading and Stock Prices: An …Overconfidence and Speculative Bubbles (2003)Overconfidence and Speculativ…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…DotCom Mania: The Rise and Fall of Internet Stock Prices (2003)DotCom Mania: The Rise and Fa…China share issue privatization: the extent of its success (2003)China share issue privatizati…Market Timing and Capital Structure (2002)Market Timing and Capital Str…Investor Psychology and Asset Pricing (2001)Investor Psychology and Asset…A New Estimate of Transaction Costs (1999)A New Estimate of Transaction…Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)Volume, Volatility, Price, an…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Information, trade and common knowledge (1982)Information, trade and common…Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations (1978)Speculative Investor Behavior…Specification Tests in Econometrics (1978)Specification Tests in Econom…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A Random Walk Down Wall Street (1973)A Random Walk Down Wall StreetCross-border equity flows and information transmission: Evidence from Chinese stock markets (2023)Cross-border equity flows and…How does investor sentiment impact stock volatility? New evidence from Shanghai A-shares market (2021)How does investor sentiment i…Government ownership and stock liquidity: Evidence from China (2019)Government ownership and stoc…Foreign Institutional Investment, Ownership, and Liquidity: Real and Informational Frictions (2017)Foreign Institutional Investm…Does short selling improve stock price efficiency and liquidity? Evidence from a natural experiment in China (2017)Does short selling improve st…Accounting conservatism and short selling: Evidence from China (2017)Accounting conservatism and s…Volatile market condition and investor clientele effects on mutual fund flow performance relationship (2014)Volatile market condition and…China's Financial System and the Law * (2014)China's Financial System and …Effectiveness, cause and impact of price limit—Evidence from China's cross-listed stocks (2013)Effectiveness, cause and impa…The stock market reaction to the 2005 split share structure reform in China (2012)The stock market reaction to …Peer Effects in the Trading Decisions of Individual Investors (2010)Peer Effects in the Trading D…A Review of China’s Financial System and Initiatives for the Future (2009)A Review of China’s Financial…Market liberalization within a country (2008)Market liberalization within …The Nontradable Share Reform in the Chinese Stock Market (2006)The Nontradable Share Reform …Asset Float and Speculative Bubbles (2005)Asset Float and Speculative B…Asset Float and Speculative Bubbles (2004)Asset Float and Speculative B…Agreeing to Disagree (1976)The Private and Social Value of Information and the Reward to Inventive Activity (1978)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Herd Behavior and Investment (1988)Noise Trader Risk in Financial Markets (1990)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On Persistence in Mutual Fund Performance (1997)On the Pooling of Time Series and Cross Section Data (1978)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Econometric Analysis of Cross Section and Panel Data (2001)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)The Cross-Section of Expected Stock Returns (1992)Diversification's effect on firm value (1995)Earnings Management to Exceed Thresholds (1999)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Do Investors Trade Too Much? (1999)Gender Differences in Preferences (2009)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Capital Structure Decisions: Which Factors Are Reliably Important? (2007)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)Judgment under Uncertainty: Heuristics and Biases (1974)Information Uncertainty and Stock Returns (2006)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Who Gambles in the Stock Market? (2009)Norm theory: Comparing reality to its alternatives. (1986)Investor Sentiment and the Closed‐End Fund Puzzle (1991)An Engine, Not a Camera (2006)
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References

  • 1978Specification Tests in Econometrics18,788 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2002Market Timing and Capital Structure3,804 cited
  • 2001Investor Psychology and Asset Pricing2,429 cited
  • 2003Overconfidence and Speculative Bubbles2,227 cited
  • 1998Volume, Volatility, Price, and Profit When All Traders Are Above Average1,980 cited
  • 1973A Random Walk Down Wall Street1,743 cited
  • 1982Information, trade and common knowledge1,738 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1978Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations1,559 cited
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 1999A New Estimate of Transaction Costs1,340 cited
  • 2003China share issue privatization: the extent of its success961 cited
  • 2003DotCom Mania: The Rise and Fall of Internet Stock Prices916 cited

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Cited by

  • 2010Peer Effects in the Trading Decisions of Individual Investors71 cited
  • 2004Asset Float and Speculative Bubbles66 cited
  • 2012The stock market reaction to the 2005 split share structure reform in China58 cited
  • 2017Does short selling improve stock price efficiency and liquidity? Evidence from a natural experiment in China57 cited
  • 2014Volatile market condition and investor clientele effects on mutual fund flow performance relationship54 cited
  • 2009A Review of China’s Financial System and Initiatives for the Future46 cited
  • 2005Asset Float and Speculative Bubbles45 cited
  • 2006The Nontradable Share Reform in the Chinese Stock Market44 cited
  • 2008Market liberalization within a country44 cited
  • 2019Government ownership and stock liquidity: Evidence from China43 cited
  • 2023Cross-border equity flows and information transmission: Evidence from Chinese stock markets43 cited
  • 2013Effectiveness, cause and impact of price limit—Evidence from China's cross-listed stocks42 cited
  • 2021How does investor sentiment impact stock volatility? New evidence from Shanghai A-shares market42 cited
  • 2014China's Financial System and the Law *39 cited
  • 2017Foreign Institutional Investment, Ownership, and Liquidity: Real and Informational Frictions38 cited
  • 2017Accounting conservatism and short selling: Evidence from China35 cited