Business Faculty Publications
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.
Recommended Citation
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.
DOI
10.1504/IJFSM.2013.059609
Version
Postprint
Publisher's Statement
acknowledgement in the form of a full citation must be given to the journal as the original source of publication, together with a link to the journal webpage and/or DOI as soon as they are available.
Volume
6
Issue
4
