AH股溢价:“连体双胞胎”股票的故事

IF 2.4 2区 经济学 Q2 BUSINESS, FINANCE
Renbin Zhang , Tongbin Zhang
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引用次数: 0

摘要

很大一部分中国公司在内地(A股)和香港(h股)两地上市。a股通常以溢价出售,即AH溢价,这一溢价很大且波动很大。AH股溢价类似于全球知名的“连体双胞胎”股票溢价之谜。我们发现一个主观股价预期模型提供了一个很好的解释,其中代理人通过从过去推断来预测未来的资本收益。这一发现强调了用外推股价预期对投资者进行建模的重要性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The AH premium: A tale of “siamese twin” stocks
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
CiteScore
3.40
自引率
3.80%
发文量
59
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.
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