Abstract
The market dynamics of technology stocks in the late 1990s have stimulated a growing body of theory that analyzes the joint effects of short-sales constraints and heterogeneous beliefs on stock prices and trading volume. This paper examines several implications of these theories using a unique data sample from 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 motives can help explain a significant fraction of the price difference between the dual-class shares.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 225-255 |
| Number of pages | 31 |
| Journal | Annals of Economics and Finance |
| Volume | 10 |
| Issue number | 2 |
| State | Published - Nov 2009 |
All Science Journal Classification (ASJC) codes
- Finance
- Economics and Econometrics
Keywords
- Speculative bubble
- Trading volume