Asset Pricing, Jump Risk, and China's B-Share Discount Puzzle

Haigang Zhou; John Qi Zhu

doi:10.1504/IJFSM.2013.059609

Asset Pricing, Jump Risk, and China's B-Share Discount Puzzle

Haigang Zhou, John Qi Zhu

Fudan University

Research output: Contribution to journal › Article › peer-review

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.

Original language	American English
Journal	International Journal of Financial Services Management
Volume	6
DOIs	https://doi.org/10.1504/IJFSM.2013.059609
State	Published - Jan 1 2013

Keywords

Global/International Business

Disciplines

Finance and Financial Management

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10.1504/IJFSM.2013.059609License: CC BY

Asset Pricing Jump Risk and Chinas B-Share Discount PuzzleFinal published version, 1.82 MBLicense: CC BY

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title = "Asset Pricing, Jump Risk, and China's B-Share Discount Puzzle",

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.",

keywords = "Global/International Business",

author = "Haigang Zhou and Zhu, \{John Qi\}",

note = "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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doi = "10.1504/IJFSM.2013.059609",

language = "American English",

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N1 - 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.

PY - 2013/1/1

Y1 - 2013/1/1

N2 - 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.

AB - 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.

KW - Global/International Business

UR - https://engagedscholarship.csuohio.edu/bus_facpub/27

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DO - 10.1504/IJFSM.2013.059609

M3 - Article

VL - 6

JO - International Journal of Financial Services Management

JF - International Journal of Financial Services Management

ER -

Asset Pricing, Jump Risk, and China's B-Share Discount Puzzle

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Keywords

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