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Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia
16 references·16 citing·43 second hopsampled
Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia (2005)Speculative Trading and Stock Prices: Evi…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…Short-sale constraints and stock returns (2002)Short-sale constraints and st…Market Timing and Capital Structure (2002)Market Timing and Capital Str…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…Breadth of ownership and stock returns (2002)Breadth of ownership and stoc…A Survey of Behavioral Finance (2002)A Survey of Behavioral FinanceTrading activity and expected stock returns (2001)Trading activity and expected…UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES (1999)UNEQUALLY SPACED PANEL DATA R…A New Estimate of Transaction Costs (1999)A New Estimate of Transaction…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Calibration of probabilities: The state of the art to 1980 (1982)Calibration of probabilities:…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…Dissecting the Long‐Term Performance of the Chinese Stock Market (2024)Dissecting the Long‐Term Perf…A review of China-related accounting research in the past 25 years (2022)A review of China-related acc…Corporate actions and the manipulation of retail investors in China: An analysis of stock splits (2021)Corporate actions and the man…Fama–French in China: Size and Value Factors in Chinese Stock Returns (2018)Fama–French in China: Size an…Can investor sentiment be a momentum time-series predictor? Evidence from China (2017)Can investor sentiment be a m…An Overview of China's Financial System (2017)An Overview of China's Financ…Economic Policy Uncertainty in China and Stock Market Expected Returns (2016)Economic Policy Uncertainty i…Stock market efficiency in China: Evidence from the split-share reform (2015)Stock market efficiency in Ch…Institutions and Information Environment of Chinese Listed Firms (2012)Institutions and Information …The Price Impact of Institutional Herding (2011)The Price Impact of Instituti…The Chinese Warrants Bubble (2011)The Chinese Warrants BubbleWhat Segments Equity Markets? (2009)What Segments Equity Markets?Value Relevance of Accounting Information in Different Stock Market Segments: The Case of Chinese A-, B-, and H-Shares (2007)Value Relevance of Accounting…The trading behavior of institutions and individuals in Chinese equity markets (2007)The trading behavior of insti…The informativeness of domestic and foreign investors’ stock trades: Evidence from the perfectly segmented Chinese market (2007)The informativeness of domest…The Earnings Announcement Premium and Trading Volume (2007)The Earnings Announcement Pre…Essays in the Theory of Risk-Bearing. (1972)Differences of Opinion Make a Horse Race (1993)Chapter 18 A survey of behavioral finance (2003)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)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)Limited-dependent and qualitative variables in econometrics (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Corporate Yield Spreads and Bond Liquidity (2007)Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data (2009)A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)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 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)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)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)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)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)Investor Psychology and Security Market Under‐ and Overreactions (1998)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Gender Differences in Preferences (2009)
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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
  • 2003Overconfidence and Speculative Bubbles2,227 cited
  • 2002Differences of Opinion and the Cross Section of Stock Returns2,145 cited
  • 1982Calibration of probabilities: The state of the art to 19801,966 cited
  • 1978Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations1,559 cited
  • 1999A New Estimate of Transaction Costs1,340 cited
  • 2002A Survey of Behavioral Finance1,181 cited
  • 2002Breadth of ownership and stock returns1,175 cited
  • 1999UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES965 cited
  • 2003DotCom Mania: The Rise and Fall of Internet Stock Prices916 cited
  • 2001Trading activity and expected stock returns909 cited
  • 2002Short-sale constraints and stock returns899 cited

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Cited by

  • 2011The Chinese Warrants Bubble296 cited
  • 2016Economic Policy Uncertainty in China and Stock Market Expected Returns262 cited
  • 2009What Segments Equity Markets?260 cited
  • 2022A review of China-related accounting research in the past 25 years232 cited
  • 2012Institutions and Information Environment of Chinese Listed Firms218 cited
  • 2007The trading behavior of institutions and individuals in Chinese equity markets218 cited
  • 2011The Price Impact of Institutional Herding206 cited
  • 2007The Earnings Announcement Premium and Trading Volume205 cited
  • 2017An Overview of China's Financial System190 cited
  • 2024Dissecting the Long‐Term Performance of the Chinese Stock Market185 cited
  • 2021Corporate actions and the manipulation of retail investors in China: An analysis of stock splits184 cited
  • 2017Can investor sentiment be a momentum time-series predictor? Evidence from China165 cited
  • 2007The informativeness of domestic and foreign investors’ stock trades: Evidence from the perfectly segmented Chinese market136 cited
  • 2015Stock market efficiency in China: Evidence from the split-share reform132 cited
  • 2018Fama–French in China: Size and Value Factors in Chinese Stock Returns114 cited
  • 2007Value Relevance of Accounting Information in Different Stock Market Segments: The Case of Chinese A-, B-, and H-Shares107 cited