Extrapolative Bubbles and Trading Volume
提出了一个外推泡沫模型，解释金融泡沫中价格和交易量的急剧上升，并利用2014-2015年中国股市泡沫的账户级交易数据验证了模型关于交易量的预测，量化了该机制可使交易量额外增加30%。
Abstract We propose an extrapolative model of bubbles to explain the sharp rise in prices and volume observed in historical financial bubbles. The model generates a novel mechanism for volume: because of the interaction between extrapolative beliefs and disposition effects, investors are quick to not only buy assets with positive past returns but also sell them if good returns continue. Using account-level transaction data on the 2014–2015 Chinese stock market bubble, we test and confirm the model’s predictions about trading volume. We quantify the magnitude of the proposed mechanism and show that it can increase trading volume by another 30$\%$.