Dissecting the Long‐Term Performance of the Chinese Stock Market
研究发现2000至2018年间，国内上市A股公司股票回报低于境外上市中国公司、发达及新兴市场公司，且大公司表现更差，小公司无此现象。投资者情绪和制度缺陷可解释这一表现。
ABSTRACT Domestically listed Chinese (A‐share) firms have lower stock returns than externally listed Chinese, developed, and emerging country firms during 2000 to 2018. They also have lower net cash flows than matched unlisted Chinese firms. The underperformance of both stock and accounting returns is more pronounced for large A‐share firms, while small firms show no underperformance along either dimension. Investor sentiment explains low stock returns in the cross‐country and within‐A‐share samples. Institutional deficiencies in listing and delisting processes and weak corporate governance in terms of shareholder value creation are consistent with the underperformance in stock returns and net cash flows.