The Chinese Warrants Bubble
研究了2005-2008年中国深度价外认沽权证的交易泡沫，发现卖空限制和异质信念共同驱动了泡沫，并验证了实验泡沫文献的关键结论。
In 2005–2008, over a dozen put warrants traded in China went so deep out of the money that they were almost certain to expire worthless. Nonetheless, each warrant was traded more than three times each day at substantially inflated prices. This bubble is unique in that the underlying stock prices make warrant fundamentals publicly observable and that warrants have predetermined finite maturities. This sample allows us to examine a set of bubble theories. In particular, our analysis highlights the joint effects of short-sales constraints and heterogeneous beliefs in driving bubbles and confirms several key findings of the experimental bubble literature.