第八十四期财务与会计学术论坛

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

 

 演讲者Prof. Steven X. Wei
School of Accounting and Finance
The
Hong Kong Polytechnic University

时间:     20081121日(星期五)300430 PM     

 

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   沈哲老师

 

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论文摘要:

 

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.

 

论文作者简介:

 

魏向东博士获加拿大多伦多大学 (University of Toronto) 经济学硕士和博士,河北大学数学硕士和河北师范大学数学学士。2004 年至现在,任职於香港理工大学 Hong Kong Polytechnic University)会计与财务学院副教授。2003 2004 年,受聘於 澳大利亚新南威尔斯大学 (University of New South Wales) 银行和金融学院高级讲师。1997 2003 年,任香港科技大学 Hong Kong University of Science and Technology)财务学系助理教授。 1996 1997 年,在比利时天主教鲁汶大学 (Universitè Catholique de Louvain)著名经济研究中心CORE 做访问研究。魏向东博士的研究领域涵盖宏观经济学和金融分析,资本市场的波动性,新型市场与公司治理,市场的非正常性,资产定价的实证分析,计量经济学等等。

 

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