Topic: Understanding the Variation of Foreign Share Price Discounts – A Study of Dual-listed Chinese Firms
Presenter：Prof. Steven X. Wei
School of Accounting and Finance
The Hong Kong Polytechnic University |
Time: November 21, 2008（Friday）3：00—4：30 PM
Venue: Room 513, Jiageng Bld 2
Chair： Zhe Shen, assistant professor in finance, IFAS
Abstract：
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.
Download:paper