Document Type

Article

Publication Date

2013

Publication Title

International Journal of Financial Services Management

Keywords

Global/International Business

Disciplines

Finance and Financial Management

Abstract

This study examines whether differential systematic risks, along with other competing explanations, account for cross-sectional variations in B-share discounts in China, using both cross-sectional and panel data analysis. Results show strong evidence that variations in A-share systematic risks are positively related to variations in B-share discount after controlling for various competing explanations. No evidence shows a correlation between variations in B-share systematic risks and variations in B-share discounts. These findings survive various robustness checks. The study further decomposes total systematic risk into continuous and jump components. Regression results indicate that variations in B-share discounts are explained mostly by variations in systematic continuous risk but not by variations in systematic jump risk.

DOI

10.1504/IJFSM.2013.059609

Version

Postprint

Volume

6

Issue

4

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