第一百三十八期财务与会计学术论坛

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题目: New Investors and Bubbles: An Analysis of the Baosteel Call Warrant Bubble 演讲者:Deng Pan, Associate Professor in Economics, Fudan University 时间: 2011年3月25日(星期五)3:00—4:30PM 地点: 嘉庚二501 参加者: 对财务研究有兴趣的广大师生 主持人: 阮军老师 论文简介: This paper provides an empirical analysis of the trading behavior of new investors in the bubble of the Baosteel call warrant, the first derivative in China after a nine years suspension.First, we find that the heterogeneity across investors, which is suggested to play an important role in forming bubbles by many theoretical and empirical studies, mainly came from new investors.Second, echoing common wisdom, we empirically prove that the entries of new investors sustained the bubble.Third, we attribute the slow drop of the warrant price as the maturity approached to new investors who perceived the relative low price as cheap. 讲座人简介: 攀登于上海交通大学获得自动控制理论与应用专业学士学位、机械设计与自动化专业硕士学位和管理科学与工程专业博士学位,现为复旦大学经济学院副教授。主要研究领域为市场微观结构、行为金融和金融工程。