CHAN, KALOK; MENKVELD, ALBERT J.; YANG, ZHISHU - In: Journal of Finance 63 (2008) 1, pp. 159-196
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...