Risk-sharing, market imperfections, asset prices: Evidence from China's stock market liberalization

Chan Marc K.; Kwok Simon

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Risk-sharing, market imperfections, asset prices: Evidence from China's stock market liberalization

机译：风险共担，市场缺陷，资产价格：来自中国股票市场自由化的证据

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We examine the roles of risk-sharing and other factors in stock price revaluation during a recent liberalization episode in China. Consistent with the theoretical prediction that liberalizations reduce systematic risk, we find that risk-sharing explains approximately one-fourth of the price revaluation of investible stocks during the eight-month window between reform announcement and implementation. The firm specific information generated by the reform is more efficiently priced into stocks that have a higher degree of market liquidity, information transparency, and informed trading. (C) 2017 Elsevier B.V. All rights reserved.

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来源
《Journal of banking & finance》 |2017年第11期|166-187|共22页
作者
Chan Marc K.; Kwok Simon;
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作者单位

Univ Melbourne, Fac Business & Econ, Parkville, Vic 3010, Australia;

Univ Sydney, Sch Econ, Merewether Bldg, Sydney, NSW 2006, Australia;

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原文格式 PDF
正文语种 eng
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关键词
Stock market liberalization; Chinese reform; Risk-sharing; Market imperfections; Asset pricing;

机译：股市自由化;中国改革;风险共担;市场不完善;资产定价;

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机译：1资产浮动和股票价格：来自中国股市的证据*

Risk-sharing, market imperfections, asset prices: Evidence from China's stock market liberalization

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