AFA 2005 Philadelphia Meetings (Archive)  ·  2005  ·  Impact 6

ABSTRACT
The market dynamics of technology stocks in the late nineties has stimulated a growing body of theories that analyze the joint effects of short-sales constraints and heterogeneous beliefs on stock prices and trading volume. This paper examines implications of these theories using a unique data sample from China, 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 motive can help explain a significant fraction of the price difference between the dual-class shares.

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impact factor6
year_of_publication2005
sourceAFA 2005 Philadelphia Meetings (Archive)

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