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A Stock Return Decomposition Study of Chinese AB Share Dual-listed Companies

원문정보

초록

영어

This paper studies the difference between AB share dual-listed stocks from a new perspective. Unexpected returns of twin stocks in AB share are decomposed into unexpected cash flow news and unexpected discount rate news. Also, sensitivities, which is known as beta, towards the two news for twin stocks are also studied. The finding is that cash flow news and discount rate news of twin stocks in different markets are not significantly different, however, investors in the two markets act differently towards these news. Besides, stocks are sorted into characterized portfolios and growth and small stocks have both high cash flow beta and discount rate beta. Pricing of cash flow beta and discount rate beta is also examined by three models, two-beta ICAPM model, two-beta CAPM model and two-beta factor model. Two-beta ICAPM model presents better performance, but all three models seem to lose explaining power when recent data is used.

목차

Abstract
 1 Introduction
 2 Literature Review
  2.1 Literature on AB Share Premium
  2.2 Literature on Return Decomposition
 3 Methodology and Data
  3.1 Return Decomposition Method
  3.2 VAR Model
  3.3 Data
 4 Empirical Results
  4.1 Cash Flow News and Discount Rate News for AB Twin Stocks
  4.2 Cash Flow Beta and Discount Rate Beta
  4.3 Pricing for B CF and B DR
 5 Conclusion
 Reference
 Table

저자정보

  • Xiao Chen HSBC Business School, Peking University
  • Heungju Park HSBC Business School, Peking University

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