Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount
利用中国A股和B股市场的数据，构建信息不对称指标，发现其能显著解释B股折价的横截面变化，且解释力超过其他控制变量。
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.