Effects of Credit Expansions on Stock Market Booms and Busts-北京大学战略研究所

题目	Effects of Credit Expansions on Stock Market Booms and Busts
作者	Hansman, Christopher Hong, Harrison Jiang, Wenxi Liu, Yu-Jane Meng, Juan-Juan
作者单位	Emory Univ, Atlanta, GA 30322 USA Columbia Univ, New York, NY USA Chinese Univ Hong Kong, CUHK Business Sch, Hong Kong, Peoples R China Peking Univ, Guanghua Sch Management, Beijing, Peoples R China
关键词：	MARGIN REQUIREMENTS PRICE LEVERAGE RISK MANIPULATION INFORMATION CRISIS POLICY
时间：	2025年2月25日
出版者：	REVIEW OF FINANCIAL STUDIES
摘要	There is causal evidence that mortgage credit expansions increase house prices. Does an expansion of margin lending increase stock prices? Because unconstrained arbitrageurs are more important for pricing stocks than homes, the impact is not obvious. Tests are limited because sizable shocks to margin lending are rare. We examine a major Chinese margin-lending expansion between 2010 and 2015. Institutional holding, regression discontinuity, and event study evidence-exploiting the rollout of margin lending across stocks-shows that arbitrageurs anticipated and bought in advance of a significant causal effect of credit. We develop a model to rationalize our findings. Our estimates suggest that margin debt contributes to stock market fluctuations.
URL	http://hdl.handle.net/20.500.11897/742357
ISSN	0893-9454
DOI	10.1093/rfs/hhaf008
收录情况	SSCI

首页

作者单位	Emory Univ, Atlanta, GA 30322 USA Columbia Univ, New York, NY USA Chinese Univ Hong Kong, CUHK Business Sch, Hong Kong, Peoples R China Peking Univ, Guanghua Sch Management, Beijing, Peoples R China	时间	2025年2月25日
出版者	REVIEW OF FINANCIAL STUDIES	URL	http://hdl.handle.net/20.500.11897/742357
ISSN	0893-9454	DOI	10.1093/rfs/hhaf008
收录情况	SSCI	分类