The real value of China's stock market

• 成果类型: Article
• 署名作者: Carpenter, Jennifer N.; Lu, Fangzhou; Whitelaw, Robert F.
• 署名单位: New York University; University of Hong Kong; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.08.012
• 发表日期: 2021
• 页码: 679-696
• 关键词: Capital allocation; Price informativeness; market integration; Global investing

摘要

What capital allocation role can China's stock market play? Counter to perception, stock prices in China have become as informative about future profits as they are in the US. This rise in stock price informativeness has coincided with an increase in investment efficiency among privately owned firms, suggesting the market is aggregating information and providing useful signals to managers. However, price informativeness and investment efficiency for state-owned enterprises fell below that of privately owned firms after the postcrisis stimulus, perhaps reflecting unpredictable subsidies and state-directed investment policy. Finally, evidence from realized returns suggests Chinese firms face a higher cost of equity capital than US firms. (C) 2020 Elsevier B.V. All rights reserved.