This paper investigates the relationship between industrial diversification and firm valuation in a sample of 816 publicly listed firms in China. It contributes to the literature in three ways. First, it is one of the first studies of diversification and firm value in an emerging market...

This paper investigates the effect of market segmentation on stock prices and returns in emerging Chinese markets. Under the assumption of infinite investment horizon and representative consumer, I formulate an Intertemporal Capital Asset Pricing Model (ICAPM) with restrictions on share...

We estimate a modified mixture of distribution model (Andersen, 1996) to explore the underlying causes of the volatility differences between domestic A shares and foreign B shares listed in Chinese stock markets. Using return and trading volume data for 24 firms as well as value-weighted...

In this paper, I test a one-period capital asset pricing model (CAPM) under share ownership restrictions to explain differences in prices and expected excess returns between the classes of shares that can be bought and traded by domestic and foreign investors, respectively, in the Chinese stock...

We investigate the cross-section variations in underpricing of Chinese initial public offerings (IPOs), using data of 308 firm-commitment offerings. After correcting for the endogeneity problems inherent in a number of regressions, we find evidence that underpricing can be explained in terms of...

This paper uses a novel approach in addressing two puzzles in the field of corporate finance in China, where government is a major player. In addition to the traditional approach based on agency theory and information asymmetry, the paper uses the political costs approach in studying the stock...

Because of the high economic uncertainty inherent in the privatization process, financial markets in China are characterized by large information asymmetry. Using data of 283 non-financial firm-commitment initial public offerings (IPOs) between January 1994 and December 1997, we investigate...

In this paper, we empirically identify some of the causes of cross-sectional differences in underpricing of Chinese initial public offerings (IPOs) using data compiled for 308 firm-commitment A-share IPOs (available only to Chinese investors) and 57 B-share IPOs (available only to foreign...

<title>Abstract</title> Using data for 1203 publicly listed firms in China during 1999--2002, this paper empirically investigates whether and to what extent state control affects managerial incentives, including managerial compensation and CEO turnover. The paper finds that CEO turnover is negatively related...