@techreport{NBERw11362,
 title = "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia",
 author = "Jianping Mei and Jose Scheinkman and Wei Xiong",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "11362",
 year = "2005",
 month = "May",
 URL = "http://www.nber.org/papers/w11362",
 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.},
}