decisions based only on price changes.No trader purposefully chooses a trading strategy to take advantage of other people's behavioral biases. Moreover,the price movement in our model is completely trade based.It neither resorts to information asymmetry nor depends on the fundamental risk of the asset.Almost all other behavior-based asset pricing theories,however,depend on fundamental-related information or news in some ways.Here lies the main distinction of our model from De Long,Shleifer,Summers,and Waldmann(1990,DSSW thereafter).As we will discuss subsequently,this feature allows us to investigate purely trade based market manipulation. Finally,our model produces somewhat similar correlations among prices,turnover,and volatility to the model of investor overconfidence by Scheinkman and Xiong (2003).In our model,the manipulator's strategic action,together with other investors'behavioral biases,not only brings the manipulator himself profit,but also brings about excess volatility,excess trading,short-term price continuation,and long-term price reversal.This feature helps us to further understand why investors trade and why asset prices sometimes fluctuate continually without any significant news on earnings and other fundamental variables.It also provides a purely trade-based explanation on some well known empirical anomalies,such as price momentum and reversal. The rest of the paper is structured as follows.The next section reviews the literature of manipulation.Section 2 sets up the theoretical model.Section 3 solves the model for the “pump and dump”strategy and then extends the model to include the“dump and cover” strategy..Section 4 investigates the implications of the model on several well-known asset pricing anomalies.Section 5 provides some empirical evidence from recent studies of market manipulation that is consistent with our model.Section 6 concludes.4 decisions based only on price changes. No trader purposefully chooses a trading strategy to take advantage of other people’s behavioral biases. Moreover, the price movement in our model is completely trade based. It neither resorts to information asymmetry nor depends on the fundamental risk of the asset. Almost all other behavior-based asset pricing theories, however, depend on fundamental-related information or news in some ways. Here lies the main distinction of our model from De Long, Shleifer, Summers, and Waldmann (1990, DSSW thereafter). As we will discuss subsequently, this feature allows us to investigate purely trade based market manipulation. Finally, our model produces somewhat similar correlations among prices, turnover, and volatility to the model of investor overconfidence by Scheinkman and Xiong (2003). In our model, the manipulator’s strategic action, together with other investors’ behavioral biases, not only brings the manipulator himself profit, but also brings about excess volatility, excess trading, short-term price continuation, and long-term price reversal. This feature helps us to further understand why investors trade and why asset prices sometimes fluctuate continually without any significant news on earnings and other fundamental variables. It also provides a purely trade-based explanation on some well known empirical anomalies, such as price momentum and reversal. The rest of the paper is structured as follows. The next section reviews the literature of manipulation. Section 2 sets up the theoretical model. Section 3 solves the model for the “pump and dump” strategy and then extends the model to include the “dump and cover” strategy.. Section 4 investigates the implications of the model on several well-known asset pricing anomalies. Section 5 provides some empirical evidence from recent studies of market manipulation that is consistent with our model. Section 6 concludes