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Cited by 384

The DOI matches its Crossref record; 33 of the 33 references it cites were found in a registry or an index.

Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount

CHAN, KALOK, MENKVELD, ALBERT J., YANG, ZHISHU·2008·The Journal of Finance
DOI 10.1111/j.1540-6261.2008.01313.x
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Abstract

We examine the effect of information asymmetry on equity prices in the local A‐ and foreign B‐share market in China. We construct measures of information asymmetry based on market microstructure models, and find that they explain a significant portion of cross‐sectional variation in B‐share discounts, even after controlling for other factors. On a univariate basis, the price impact measure and the adverse selection component of the bid‐ask spread in the A‐ and B‐share markets explains 44% and 46% of the variation in B‐share discounts. On a multivariate basis, both measures are far more statistically significant than any of the control variables.

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Metadata

Authors
CHAN, K., MENKVELD, A. J., & YANG, Z.
Venue
The Journal of Finance
Publisher
Wiley
Published
2008-01-10
Volume
63
Issue
1
Pages
159-196
ISSN
  • 0022-1082
  • 1540-6261
DOI
10.1111/j.1540-6261.2008.01313.x
OpenAlex
W3124083727
Cited by
384
References
33
FWCI
35.58
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount. https://app.cochat.ai/papers/10.1111/j.1540-6261.2008.01313.x
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CHAN, K., MENKVELD, A. J., & YANG, Z. (2008). Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2008.01313.x

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