The AH premium: A tale of “siamese twin” stocks

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2025-02-24 DOI:10.1016/j.jempfin.2025.101599

Renbin Zhang , Tongbin Zhang

引用次数: 0

Abstract

A large proportion of Chinese companies are dual-listed in both the mainland (A-share) and Hong Kong (H-share) markets. A-shares usually sell at a premium, known as the AH premium, which is large and volatile. The AH premium resembles a globally well-known premium puzzle in “Siamese twin” stocks. We find that a model of subjective stock price expectations, where agents forecast the future capital gains by extrapolating from the past provides a good explanation. This finding emphasizes the importance of modeling investors with extrapolative stock price expectations.

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.