Asset Pricing and Share Reforms: An Anatomy of China’s Investable Stocks

Xiao-Ming Li

Asia-Pacific Financial Markets, 2014, vol. 21, issue 1, 15-34

Abstract: This paper investigates the impact of China’s 2001–2003 share reforms on its investable stocks’ asset-pricing mechanisms. We show that the reforms have caused the size and dividend effects to attenuate for B shares but not for H/red-chip shares; the book-to-market effect to strengthen for H/red-chip shares but not for B shares; the liquidity effect to lessen more for H/red-chip shares than for B shares; and the earnings-to-price effect to decline for H/red-chip shares but not for B shares. These results have practical implications for investors of China’s investable stocks and for the Chinese companies that issue investable shares. Copyright Springer Japan 2014

Keywords: Investable stock; Firm characteristic; Share reform; China (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10690-013-9174-3

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