Information asymmetry and asset prices: Evidence from the China foreign share discount

Journal of Finance

Volumn 63, Issue 1, 2008, Pages 159-196

  Chan, Kalok ^a   Menkveld, Albert J ^b   Yang, Zhishu ^c  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b VU UNIVERSITY AMSTERDAM   (Netherlands)

^c Tsinghua University

Author keywords

[No Author keywords available]

Indexed keywords

EID: 38349168490     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2008.01313.x     Document Type: Article

References (41)

1. Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223 249.
2. Bailey, Warren, Y. Peter Chung, and Jun-Koo Kang, 1999, Foreign ownership restrictions and equity price premiums: What drives the demand for cross-border investments? Journal of Financial and Quantitative Analysis 34, 489 511.
3. Bailey, Warren, and Julapa Jagtiani, 1994, Foreign ownership restrictions and stock prices in the Thai capital market, Journal of Financial Economics 36, 57 87.
4. Brennan, Michael J., and H. Henry Cao, 1997, International portfolio investment flows, Journal of Finance 52, 1851 1880.
5. Chakravarty, Sugato, Asani Sarkar, and Lifan Wu, 1998, Information asymmetry, market segmentation and the pricing of cross-listed shares: Theory and evidence from Chinese A and B shares, Journal of International Financial Markets, Institutions and Money 8, 325 355.
6. Chan, Kalok, Albert J. Menkveld, and Zhishu Yang, 2007, The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market, Journal of Financial Markets 10, 391 415.
7. Chen, Gongmeng, Bong-Soo Lee, and Oliver M. Rui, 2001, Foreign ownership restrictions and market segmentation in China's stock markets, Journal of Financial Research 24, 133 155.
8. Chen, Zhiwu, and Peng Xiong, 2001, Discounts on illiquid stocks: Evidence from China, Working paper, Yale University.
9. Chen, Zhiwu, Peng Xiong, Che, J., and Y. Qian, 2001, Discounts on illiquid stocks: Evidence from China, Working paper, Yale University.
10. Choe, Hyuk, Bong-Chan Kho, and René M. Stulz, 1999, Do foreign investors destabilize stock markets? The Korean experience in 1997, Journal of Financial Economics 54, 227 264.
11. Choe, Hyuk, Bong-Chan Kho, and René M. Stulz, 2001, Do domestic investors have more valuable information about individual stocks than foreign investors, Working paper, Fisher School of Business, Ohio State University.
12. Copeland, Thomas E., and Hans R. Stoll, 1990, Trading markets, in Dennis E. Logue, ed. : Handbook of Modern Finance, 2nd ed. (Warren, Gorham & Lamont, Boston, MA).
13. Domowitz, Ian, Jack Glen, and Ananth Madhavan, 1997, Market segmentation and stock prices: Evidence from an emerging market, Journal of Finance 52, 1059 1085.
14. Easley, David, Soeren Hvidkjaer, and Maureen O'Hara, 2002, Is information risk a determinant of asset returns? Journal of Finance 57, 2185 2221.
15. Easley, David, Nicholas M. Kiefer, and Maureen O'Hara, 1996, Cream-skimming or profit-sharing? The curious role of purchased order flow, Journal of Finance 51, 811 833.
16. Easley, David, Nicholas M. Kiefer, and Maureen O'Hara, 1997a, The information content of the trading process, Journal of Empirical Finance 4, 159 186.
17. Easley, David, Nicholas M. Kiefer, and Maureen O'Hara, 1997b, One day in the life of a very common stock, Review of Financial Studies 10, 805 835.
18. Easley, David, and Maureen O'Hara, 1987, Price, trade size, and information in securities markets, Journal of Financial Economics 19, 69 90.
19. Easley, David, and Maureen O'Hara, 2004, Information and the cost of capital, Journal of Finance 59, 1553 1583.
20. Eun, Cheol S., Sundaram Janakiramanan, and Bong-Soo Lee, 2001, The Chinese discount puzzle, Working paper, Georgia Tech University.
21. Fernald, John, and John H. Rogers, 2002, Puzzles in the Chinese stock market, Review of Economics and Statistics 84, 416 432.
22. Froot, Kenneth A., and Tarun Ramadorai, 2007, Institutional portfolio flows and international investments, Review of Financial Studies (forthcoming).
23. Glosten, Lawrence R., 1987, Components of bid ask spread and the statistical properties of transaction prices, Journal of Finance 42, 1293 1308.
24. Glosten, Lawrence R., and Lawrence E. Harris, 1988, Estimating the components of the bid-ask spread, Journal of Financial Economics 21, 123 142.
25. Grinblatt, Mark, and Matti Keloharju, 2000, The investment behavior and performance of various investor types: A study of Finland's unique data set, Journal of Financial Economics 55, 43 67.
26. Grinblatt, Mark, and Matti Keloharju, 2001, Distance, language, and culture bias: The role of investor sophistication, Journal of Finance 56, 1053 1073.
27. Grossman, Sanford J., and Joseph E. Stiglitz, 1980, On the impossibility of informationally efficient markets, American Economic Review 70, 393 408.
28. Hau, Harald, 2001, Location matters: An examination of trading profits, Journal of Finance 56, 1951 1983.
29. Ho, Thomas, and Hans R. Stoll, 1981, Optimal dealer pricing under transactions and return uncertainty, Journal of Financial Economics 9, 47 73.
30. Ho, Thomas, and Hans R. Stoll, 1983, The dynamics of dealer markets under competition, Journal of Finance 38, 1053 1074.
31. Karolyi, G. Andrew, and Lianfa Li, 2003, A resolution of the Chinese discount puzzle, Working paper, Fisher School of Business, Ohio State University.
32. Kyle, Albert S., 1985, Continuous auctions and insider trading, Econometrica 53, 1315 1335.
33. Lee, Charles M.C., and Mark J. Ready, 1991, Inferring trade direction from intraday data, Journal of Finance 46, 733 746.
34. Lin, Ji-Chai, Gary C. Sanger, and G. Geoffrey Booth, 1995, Trade size and components of the bid-ask spread, Review of Financial Studies 8, 1153 1183.
35. Madhavan, Ananth, Matthew Richardson, and Mark Roomans, 1997, Why do security prices charge? A transaction-level analysis of NYSE stocks, Review of Financial Studies 10, 1035 1064.
36. Mei, Jianping, Jose A. Scheinkman, and Wei Xiong, 2003, Speculative trading and stock prices: An analysis of Chinese A-B share premia, Working paper, Bendheim Center for Finance, Princeton University.
37. Merton, Robert C., 1987, A simple model of capital market equilibrium with incomplete information, Journal of Finance 42, 483 510.
38. Portes, Richard, and Helene Rey, 2005, The determinants of cross-border equity flows, Journal of International Economics 65, 269 296.
39. Scheinkman, Jose A., and Wei Xiong, 2003, Overconfidence and speculative bubbles, Journal of Political Economy 111, 642 685.
40. Seasholes, Mark S., 2000, Smart foreign traders in emerging markets, Working paper, Harvard Business School.
41. Stoll, Hans R., 1978, The supply of dealer services in securities markets, Journal of Finance 33, 1133 1151.