{"title":"中国连体双胞胎的投资者情绪与股价溢价验证","authors":"Yuan Li , Jimmy Ran","doi":"10.1016/j.mulfin.2020.100655","DOIUrl":null,"url":null,"abstract":"<div><p>We apply the principal component analysis (PCA) and the partial least squares (PLS) methods to construct investor sentiment measurements and decompose them into total, local and global indices for the Mainland China (A-shares) and Hong Kong (H-shares) stock markets. Our results show that total investor sentiment is a strong predictor for the A-shares market, but it has hardly any effect in the H-shares market. We find that the sentiment differential, either total or local, has a positive relationship with the aggregate excess returns differential between the two markets, but the Hong Kong sentiment alone, either total or local, does not play much role. We further find that the sentiment differential is positively associated with the price premium of A-shares over H-shares. Our results are robust even after we add traditional factors.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"57 ","pages":"Article 100655"},"PeriodicalIF":2.9000,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.mulfin.2020.100655","citationCount":"6","resultStr":"{\"title\":\"Investor Sentiment and Stock Price Premium Validation with Siamese Twins from China\",\"authors\":\"Yuan Li , Jimmy Ran\",\"doi\":\"10.1016/j.mulfin.2020.100655\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We apply the principal component analysis (PCA) and the partial least squares (PLS) methods to construct investor sentiment measurements and decompose them into total, local and global indices for the Mainland China (A-shares) and Hong Kong (H-shares) stock markets. Our results show that total investor sentiment is a strong predictor for the A-shares market, but it has hardly any effect in the H-shares market. We find that the sentiment differential, either total or local, has a positive relationship with the aggregate excess returns differential between the two markets, but the Hong Kong sentiment alone, either total or local, does not play much role. We further find that the sentiment differential is positively associated with the price premium of A-shares over H-shares. Our results are robust even after we add traditional factors.</p></div>\",\"PeriodicalId\":47268,\"journal\":{\"name\":\"Journal of Multinational Financial Management\",\"volume\":\"57 \",\"pages\":\"Article 100655\"},\"PeriodicalIF\":2.9000,\"publicationDate\":\"2020-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1016/j.mulfin.2020.100655\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Multinational Financial Management\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1042444X2030044X\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Multinational Financial Management","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1042444X2030044X","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Investor Sentiment and Stock Price Premium Validation with Siamese Twins from China
We apply the principal component analysis (PCA) and the partial least squares (PLS) methods to construct investor sentiment measurements and decompose them into total, local and global indices for the Mainland China (A-shares) and Hong Kong (H-shares) stock markets. Our results show that total investor sentiment is a strong predictor for the A-shares market, but it has hardly any effect in the H-shares market. We find that the sentiment differential, either total or local, has a positive relationship with the aggregate excess returns differential between the two markets, but the Hong Kong sentiment alone, either total or local, does not play much role. We further find that the sentiment differential is positively associated with the price premium of A-shares over H-shares. Our results are robust even after we add traditional factors.
期刊介绍：
International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.
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