Dissecting the Long-Term Performance of the Chinese Stock Market

• 成果类型: Article
• 署名作者: Allen, Franklin; Qian, Jun (Qj); Shan, Chenyu; Zhu, Julie Lei
• 署名单位: Imperial College London; Fudan University; Shanghai University of Finance & Economics
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13312
• 发表日期: 2024
• 页码: 993-1054
• 关键词: CORPORATE GOVERNANCE; investors; prices; FIRMS; size

摘要

Domestically listed Chinese (A-share) firms have lower stock returns than externally listed Chinese, developed, and emerging country firms during 2000 to 2018. They also have lower net cash flows than matched unlisted Chinese firms. The underperformance of both stock and accounting returns is more pronounced for large A-share firms, while small firms show no underperformance along either dimension. Investor sentiment explains low stock returns in the cross-country and within-A-share samples. Institutional deficiencies in listing and delisting processes and weak corporate governance in terms of shareholder value creation are consistent with the underperformance in stock returns and net cash flows.