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A Resolution of the Chinese Discount Puzzle
16 references·11 citing·32 second hop
A Resolution of the Chinese Discount Puzzle (2003)A Resolution of the Chinese Discount Puzz…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Price Momentum and Trading Volume (2000)Price Momentum and Trading Vo…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (1999)Profitability of Momentum Str…Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan (1997)Why is there a home bias? An …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Market Segmentation and Stock Prices: Evidence from an Emerging Market (1997)Market Segmentation and Stock…International Portfolio Investment Flows (1997)International Portfolio Inves…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market (1989)Asset Pricing in Partially Se…Estimating the components of the bid/ask spread (1988)Estimating the components of …Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership (1986)A Model of International Asse…International Asset Pricing under Mild Segmentation: Theory and Test (1985)International Asset Pricing u…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Accruals Quality and Cost of Capital: Evidence from the Chinese Stock Market (2018)Accruals Quality and Cost of …Information asymmetry, price discovery, and the Chinese B-share discount puzzle (2012)Information asymmetry, price …Isolating the effect of disclosure on information risk (2011)Isolating the effect of discl…A corporate governance explanation of the A-B share discount in China (2011)A corporate governance explan…Stock return seasonalities and investor structure: Evidence from China's B-share markets (2010)Stock return seasonalities an…China's financial market integration with the world (2010)China's financial market inte…The Price Premium of China A‐Shares over Hong Kong H‐Shares: A Further Visit of the Liquidity Hypothesis* (2009)The Price Premium of China A‐…Market liberalization within a country (2008)Market liberalization within …Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years (2008)Chinese and world equity mark…The speed of adjustment to information: Evidence from the Chinese stock market (2007)The speed of adjustment to in…Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount (2003)Information Asymmetry and Ass…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Does the Stock Market Overreact? (1985)Judgment under Uncertainty: Heuristics and Biases (1974)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Investor Diversification and International Equity Markets (1991)Trying to Explain Home Bias in Equities and Consumption (1999)How Distance, Language, and Culture Influence Stockholdings and Trades (2001)The determinants of cross-border equity flows (2004)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Industry costs of equity (1997)Market liquidity as a sentiment indicator (2004)Individualism and Momentum around the World (2010)Time Series Momentum (2011)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
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  • 2000Price Momentum and Trading Volume1,593 cited
  • 1997Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan1,542 cited
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  • 1997Market Segmentation and Stock Prices: Evidence from an Emerging Market

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322 cited
  • 1989Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market273 cited
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    • 2008Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years48 cited
    • 2007The speed of adjustment to information: Evidence from the Chinese stock market44 cited
    • 2008Market liberalization within a country44 cited
    • 2011A corporate governance explanation of the A-B share discount in China43 cited
    • 2003Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount35 cited
    • 2010China's financial market integration with the world34 cited
    • 2011Isolating the effect of disclosure on information risk32 cited
    • 2012Information asymmetry, price discovery, and the Chinese B-share discount puzzle30 cited
    • 2009The Price Premium of China A‐Shares over Hong Kong H‐Shares: A Further Visit of the Liquidity Hypothesis*30 cited
    • 2010Stock return seasonalities and investor structure: Evidence from China's B-share markets28 cited
    • 2018Accruals Quality and Cost of Capital: Evidence from the Chinese Stock Market20 cited