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Dissecting the Long‐Term Performance of the Chinese Stock Market

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  • FRANKLIN ALLEN
  • JUN (QJ) QIAN
  • CHENYU SHAN
  • JULIE LEI ZHU

Abstract

Domestically listed Chinese (A‐share) firms have lower stock returns than externally listed Chinese, developed, and emerging country firms during 2000 to 2018. They also have lower net cash flows than matched unlisted Chinese firms. The underperformance of both stock and accounting returns is more pronounced for large A‐share firms, while small firms show no underperformance along either dimension. Investor sentiment explains low stock returns in the cross‐country and within‐A‐share samples. Institutional deficiencies in listing and delisting processes and weak corporate governance in terms of shareholder value creation are consistent with the underperformance in stock returns and net cash flows.

Suggested Citation

  • Franklin Allen & Jun (Qj) Qian & Chenyu Shan & Julie Lei Zhu, 2024. "Dissecting the Long‐Term Performance of the Chinese Stock Market," Journal of Finance, American Finance Association, vol. 79(2), pages 993-1054, April.
    • Handle: RePEc:bla:jfinan:v:79:y:2024:i:2:p:993-1054
    DOI: 10.1111/jofi.13312
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