Understanding the Variation of Foreign Share Price Discounts– A Study of Dual-listed Chinese Firms

摘要：

This paper investigates what drives the price disparity to vary in the “twin shares (A shares traded largely by domestic investors while B- and H- shares traded mainly by foreign investors) in China. Extending the variance decomposition framework of Vuolteenaho (2002), we decompose the unexpected price disparity into two terms: difference in expected return news and difference in cash flow news. Our results show that difference in expected return news overwhelmingly dominates difference in cash flow news in driving the variation of the price disparity. This suggests that to a large extent, market or macro news, rather than firms’ specific news, moves the price disparity of the twin shares.

作者: Jeffrey L. Callen Karen Lai Steven X. Wei

作者单位: Rotman School of Management University of Toronto 105 St. George Street Toronto ON, Canada, M5S 3E6 School of Accounting and Finance The Hong Kong Polytechnic University Hung Hom, Kowloon, Hong Kong

会议类型: 国际会议

会议名称: 2009年中国金融国际年会

会议地点: 广州

会议语种:英文

页码: 1-43

在线出版日期: 2009-07-07（万方平台首次上网日期，不代表论文的发表时间）