中国股市A-B股溢价问题地研究.pdfVIP

5．EmpiricalAnalysis．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．………．．．．．．．．…．．．．．．．．．．．．．．．．．42 5．1Dataand Methodology………………………………………………………………………42 Event……………．43 5．2 andA-BSharePricePremiaafterthe SpeculativeTrading and 5．2．1IntroductionoftheModelMei．Scheinkman by Xiong………………43 5．2．2 theModel…………………………………………………………………．45 Revisiting 5．2．3 and theModel……………………………………………50 ModifyingExpanding andA-BSharePricePremia…………………………………………………55 5．3．Liquidity 5．3．1Cross-sectional theEffectof RegressionControlling Liquidity…………56 SharePricePremia……………………………．．59 5．3．2BShare andA-B Liquidity A．B DifferencebetweenShare 5．3．3Cross．sectional Liquidity………………．．61 frOmthe Evidence……………………………………………．63 5．4Conclusions Empirical Premia．．．．．．．．．．．．。．．．．．．．．．．．……．65 ofSustainedPrice 6．OtherDrivers 6．1OtherPossibleFactors A-BPricePremiaaftertheEvent…………．．65 Affecting 6．1．1Information Hypothesis……………………………………………．．65 Asymmetry DifferentialDemand 6．1．2 ElasticityHypothesis……………………………………．66 6．1．3DifferentialRisk Hypothesis………………………………………………………．66 Premia PointofView：PossibleSolutionsofA-BSharePrice 6．2Institutional Problem………………………………………………………………………………………………．．68 7．Conclusion．．．．．．．……．．．．．．．．…．．．．．．．．．．．．．．．．．．…．．．．．．．．．．．．．．．．．．．．．．．．．……．．．70 Bibliography