题目：Investor Trading During the Chinese Warrants Bubble
主讲人：Neil Pearson 教授（University of Illinois, Urbana-Champaign）
时间：2015年6月12日15:30-17:00
地点：主楼426
主讲人简介：
    Neil D. Pearson is the Harry A. Brandt Distinguished Professor of Finance at the University of Illinois at Urbana-Champaign. He previously served on the faculty of the William E. Simon Graduate School of Business Administration at the University of Rochester. He teaches courses about the valuation of derivative financial instruments and the measurement of financial risks and conducts research on various issues in financial markets. In addition to publishing papers in a number of academic journals, Dr. Pearson is the author of Risk Budgeting: Portfolio Problem Solving Using Value at Risk (Wiley). He is an Associate Editor of the Journal of Financial Economics, the Journal of Financial and Quantitative Analysis, the Journal of Risk, and Economics Bulletin. Dr. Pearson has extensive consulting experience on the measurement and management of market and credit risk and on the valuation of derivative financial instruments. He received his Ph.D. from the Massachusetts Institute of Technology.
内容简介：
    “Bubbles” in asset prices have received considerable attention in the theoretical literature. Despite this theoretical interest, there has been limited empirical work exploring investor behavior during bubbles and their determinants. We exploit brokerage account data from Chinese securities firm to study investor behavior during the recent bubble in the prices of Chinese put warrants. Investor trading in the put warrants is inconsistent with the resale options theory, which has recently been proposed as an explanation of prices and trading volume during bubbles. Rather, we find evidence that the arrival of new investors was an important determinant of prices during the bubble. We also find evidence consistent with the hypothesis that social contagion played a role in the arrival of new investors. Our results also shed light on investor trading during non-bubble periods.


（主办：国际贸易与金融系）