Puzzles in the Chinese Stock Market
发现中国股市中外国投资者支付的股价仅为国内投资者的四分之一左右，并用预期收益率差异（约4个百分点）解释这一现象，认为中国国内投资者因投资选择有限而要求较低预期收益。
Many companies on China's stock markets have traditionally had separate, restricted classes of shares for domestic residents and foreigners. These shares are identical other than for who can own them, but foreigners have generally paid only about one-quarter the price paid by domestic residents. We argue that the generally higher level (and volatility) of domestic share prices is consistent with the simplest asset pricing model, assuming plausible differences-about four percentage points-in expected rates of return by foreign and domestic investors. We attribute low Chinese expected returns to the limited alternative investments available in China. We then estimate how various company characteristics (including capital asset pricing model (CAPM) betas, company size, market liquidity, and other characteristics) affect the relative price paid by foreigners in a panel of companies. We find, for example, that foreigners pay a lower relative price for companies with a higher proportion owned by the state-reflecting, surprisingly, a higher absolute price paid by both foreigners and domestic residents. © 2002 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology