The Chinese Warrants Bubble: Evidence from Brokerage Account Records
利用经纪账户记录研究中国认沽权证泡沫期间的交易行为，发现投资者基于自身历史回报进行反馈交易，这种交易与触发事件相互作用形成反馈循环，推高价格和交易量。
Abstract We use brokerage account records to study trading during the Chinese put warrants bubble and find evidence consistent with extrapolative theories of speculative asset price bubbles. We identify the event that started the bubble and show that investors engaged in a form of feedback trading based on their own past returns. The interaction of feedback trading with the precipitating event caused additional buying and price increases in a feedback loop, and estimates of the trading volume due to this mechanism explain prices and returns during the bubble.