In a return commonality framework, the authors estimate portfolio betas associated with changes in returns of 15 Chinese ADRs and their underlying H-shares, where the portfolios denote hosts (NYSE and SHSE) and home (Hang Seng) markets, and their returns are common determinants of ADRs and...

Using a sample of NYSE securities, we investigate whether there is an information risk premium in securities return. We use two proxies for information, probability of information trading (PIN) and institutional trading and determine how those impact securities return after controlling for other...

Fifteen Chinese H-shares listed on the Stock Exchange of Hong Kong are cross listed as ADRs on the NYSE. We empirically determine the role of security specific liquidity associated with those ADRs and their underlying H-shares on return spreads, differences between the returns on ADRs and their...