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Replication data for: The Chinese Warrants Bubble

Version
V0
Resource Type
Dataset
Creator
  • Xiong, Wei
  • Yu, Jialin
Publication Date
2011-10-01
Description
  • Abstract

    In 2005-2008, over a dozen put warrants traded in China went so deep out of the money that they were almost certain to expire worthless. Nonetheless, each warrant was traded more than three times each day at substantially inflated prices. This bubble is unique in that the underlying stock prices make warrant fundamentals publicly observable and that warrants have predetermined finite maturities. This sample allows us to examine a set of bubble theories. In particular, our analysis highlights the joint effects of short-sales constraints and heterogeneous beliefs in driving bubbles and confirms several key findings of the experimental bubble literature. (JEL G12, G13, O16, P34)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.101.6.2723 (Text)
Publications
  • Xiong, Wei, and Jialin Yu. “The Chinese Warrants Bubble.” American Economic Review 101, no. 6 (October 2011): 2723–53. https://doi.org/10.1257/aer.101.6.2723.
    • ID: 10.1257/aer.101.6.2723 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-11

Xiong, Wei; Yu, Jialin (2011): Replication data for: The Chinese Warrants Bubble. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112466