Information asymmetry and asset prices: Evidence from the china foreign share discount

• 成果类型: Article
• 署名作者: Chan, Kalok; Menkveld, Albert J.; Yang, Zhishu
• 署名单位: Hong Kong University of Science & Technology; Vrije Universiteit Amsterdam; National Tsing Hua University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01313.x
• 发表日期: 2008
• 页码: 159-196
• 关键词: OWNERSHIP RESTRICTIONS; stock-prices; Trade size; components; MARKETS

摘要

We examine the effect of information asymmetry on equity prices in the local A- and foreign B-share market in China. We construct measures of information asymmetry based on market microstructure models, and find that they explain a significant portion of cross-sectional variation in B-share discounts, even after controlling for other factors. On a univariate basis, the price impact measure and the adverse selection component of the bid-ask spread in the A- and B-share markets explains 44% and 46% of the variation in B-share discounts. On a multivariate basis, both measures are far more statistically significant than any of the control variables.