International Journal of Financial Services Management
Finance and Financial Management
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.
Zhou, H., Zhu, J. (2013). Asset Pricing, Jump Risk, and China's B-Share Discount Puzzle. International Journal of Financial Services Management, 6(4), pp. 352-366.
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