交叉上市、信息不对称与风险特征

本文以"A+H"交叉上市公司价格差异为研究对象,对A股、H股股票价格之间差异及其变化进行研究。根据对36家A+H股上市公司近期9个月溢价水平的分析发现,信息不对称理论能够解释AH股溢价扩大的现象,投资者与公司之间信息不对称问题得到缓解的趋势不明显,反而有所强化;国有股特征导致AH溢价缩小,海外投资者对国有股份的认同度提升;流动性理论、不同风险偏好理论不能解释AH溢价变化,数据分析支持信息不对称理论、风险特征理论和需求理论。

Cross-listing, Information Asymmetry and Risk Characteristics

This paper analyzes the price difference between A-shares and H-shares.Based on analysis upon the A-H price differences of 36 listed firms over the past 9 months,it is found that information asymmetry is the reason for the rise of AH price premium.The information asymmetry between companies and investors is not alleviated but exacerbated.State ownership reduces the AH price premium,showing state ownership is credited.Liquidity theory and differential risk attitude theory cannot explain the data,while information asymmetry theory,risk feature and demand theory are consistent with the data.