This paper studies the price implication of media censorship in the context of the long-standing foreign share discount puzzle in China. We conjecture that the government censors negative news and promotes positive news in Chinese media, leading to the premium on A-shares, which are mainly...

This paper undertakes a comparison between five multifactor variants of the capital asset pricing model, where this is augmented by size, book to market value, momentum, liquidity and a new investor protection metric based on the product of institutional quality in a country and the proportion...

This paper compares the size and book-to-market value factors of Fama and French (1993) alongside Momentum of Jagadeesh and Titman (1993) with two Liu (2006) liquidity factors formed from 1 year rebalancing and 1 month rebalancing respectively. A heterogeneous and comprehensive sample of the top...

This study introduces a new asset pricing factor to capture both the effects of concentrated ownership and institutional development of in 61 international equity markets. The evidence suggests the new measure offers significant improvements over the size and book-to-market value three factor...

We examine the impact of state ownership on share price informativeness by using the unique setting of the Split Share Structure Reform in China. This reform abolishes the trading restriction of shares held mainly by state shareholders, which in turn renders their wealth more sensitive to share...

We examine the impact of mutual fund ownership on stock price informativeness in China. Existing evidence shows that stock price informativeness is low in China, and attributes this to firms' lack of disclosure incentives under the weak investor protection institutional environment. Mutual funds...

Governance has many dimensions – corporate governance pertains to the firm's management whilst sovereign governance pertains to the firm's exposure to sovereign risk, corruption, and poor regulation. We show that both are important drivers of firm value and this has serious implications for...

This study contrasts the effectiveness of the capital asset pricing model (CAPM) against more recent augmented variants including size and book-to-market factors (Fama and French, 1993) as well as both size and liquidity factors of Martinez et al (2005) in explaining average returns in industry...

Governance has many dimensions - corporate governance pertains to the firm's management whilst sovereign governance pertains to the firm's exposure to sovereign risk, corruption, and poor regulation. We show that both are important drivers of firm value and this has serious implications for the...