The AH premium: A tale of “siamese twin” stocks

Renbin Zhang and Tongbin Zhang

Journal of Empirical Finance, 2025, vol. 81, issue C

Abstract: A large proportion of Chinese companies are dual-listed in both the mainland (A-share) and Hong Kong (H-share) markets. A-shares usually sell at a premium, known as the AH premium, which is large and volatile. The AH premium resembles a globally well-known premium puzzle in “Siamese twin” stocks. We find that a model of subjective stock price expectations, where agents forecast the future capital gains by extrapolating from the past provides a good explanation. This finding emphasizes the importance of modeling investors with extrapolative stock price expectations.

Keywords: AH premium; “Siamese twin” stocks; Extrapolative price expectations (search for similar items in EconPapers)
JEL-codes: D83 D84 G12 G14 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927539825000210
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000210

DOI: 10.1016/j.jempfin.2025.101599

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().