DotCom Mania: The Rise and Fall of Internet Stock Prices
用异质信念和卖空限制模型解释互联网股票价格的暴涨、持续和暴跌，发现卖空限制严重、异质性与价格效应相关，锁定期到期后股票长期超额回报低至-33%，并将泡沫破裂归因于锁定期到期和内幕抛售。
Abstract This paper explores a model based on agents with heterogenous beliefs facing short sales restrictions, and its explanation for the rise, persistence, and eventual fall of Internet stock prices. First, we document substantial short sale restrictions for Internet stocks. Second, using data on Internet holdings and block trades, we show a link between heterogeneity and price effects for Internet stocks. Third, arguing that lockup expirations are a loosening of the short sale constraint, we document average, long‐run excess returns as low as −33 percent for Internet stocks postlockup. We link the Internet bubble burst to the unprecedented level of lockup expirations and insider selling.