Information Asymmetry and Asset Prices : Evidence from the China Foreign Share Discount
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
Year of publication: |
[2008]
|
---|---|
Authors: | Chan, Kalok |
Other Persons: | Menkveld, Albert J. (contributor) ; Yang, Zhishu (contributor) |
Publisher: |
[2008]: [S.l.] : SSRN |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Chan, Kalok, (2006)
-
Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount
Chan, Kalok, (2006)
-
Chan, Kalok, (2007)
- More ...