Authors: Haigang Zhou; John Qi Zhu
Addresses: Department of Finance, Cleveland State University, Cleveland, OH 44115-2214, USA ' Department of Finance, School of Management, Fudan University, Shanghai 200433, China
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: asset pricing; jump risk; China; B-share discounts; realised volatility; Brownian; financial services management; systematic risks; continuous risk.
International Journal of Financial Services Management, 2013 Vol.6 No.4, pp.352 - 366
Available online: 02 Mar 2014 *Full-text access for editors Access for subscribers Purchase this article Comment on this article