TY  - JOUR
AU  - Mei,Jianping
AU  - Scheinkman,Jose
AU  - Xiong,Wei
TI  - Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11362
PY  - 2005
Y2  - May 2005
UR  - http://www.nber.org/papers/w11362
L1  - http://www.nber.org/papers/w11362.pdf
N1  - Author contact info:
Jianping Mei
Stern School of Business
Henery Kaufman Management Center
New York University
44 W 4th Street, 7-69
New York, NY 10012
Tel: 212/998-0354
Fax: 212/995-4221
E-Mail: jmei@stern.nyu.edu

Jose A. Scheinkman
Department of Economics
Princeton University
Princeton, NJ  08544-1021
Tel: 609/258-4020
Fax: 609/258-0771
E-Mail: joses@princeton.edu

Wei Xiong
Princeton University
Department of Economics
Bendheim Center for Finance
Princeton, NJ  08450
Tel: 609/258-0282
Fax: 609/258-0771
E-Mail: wxiong@princeton.edu
AB  - 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.
ER  -