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Asset Pricing and Share Reforms: An Anatomy of China’s Investable Stocks

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  • Xiao-Ming Li

Abstract

This paper investigates the impact of China’s 2001–2003 share reforms on its investable stocks’ asset-pricing mechanisms. We show that the reforms have caused the size and dividend effects to attenuate for B shares but not for H/red-chip shares; the book-to-market effect to strengthen for H/red-chip shares but not for B shares; the liquidity effect to lessen more for H/red-chip shares than for B shares; and the earnings-to-price effect to decline for H/red-chip shares but not for B shares. These results have practical implications for investors of China’s investable stocks and for the Chinese companies that issue investable shares. Copyright Springer Japan 2014

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  • Xiao-Ming Li, 2014. "Asset Pricing and Share Reforms: An Anatomy of China’s Investable Stocks," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(1), pages 15-34, March.
    • Handle: RePEc:kap:apfinm:v:21:y:2014:i:1:p:15-34
    DOI: 10.1007/s10690-013-9174-3
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    2. Pierre R. Bertrand & Marie-Eliette Dury & Bing Xiao, 2020. "A study of Chinese market efficiency, Shanghai versus Shenzhen: Evidence based on multifractional models," Post-Print hal-03031766, HAL.

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