Journal of Banking & Finance·Available online 1·AUGUST 2017

风险分担，市场缺陷与资产价格：来自中国股市开放的证据

作者：Marc K. Chan (Business and Economics, University of Melbourne), Simon Kwok (School of Economics, The University of Sydney)

摘要：在中国近期的股市开放事件中，我们研究了风险分担和其他因素对股价重估的作用。 与开放导致系统风险降低的理论预测一致，我们发现，在改革公告与实施八个月的时间窗中，风险分担解释了可投资股中价格重估约四分之一的部分。改革产生的企业特定信息对那些具有较高市场流动性、信息透明度和知情交易的股票能够更有效地定价。

关键词：股市开放，中国改革，风险分担，市场缺陷，资产定价

Risk-Sharing, Market Imperfections, Asset Prices: Evidence from China’s Stock Market Liberalization

Marc K. Chan (Business and Economics, University of Melbourne), Simon Kwok (School of Economics, The University of Sydney)

ABSTRACT

We examine the roles of risk-sharing and other factors in stock price revaluation during a recent liberalization episode in China. Consistent with the theoretical prediction that liberalizations reduce systematic risk, we find that risk-sharing explains approximately one-fourth of the price revaluation of investible stocks during the eight-month window between reform announcement and implementation. The firm-specific information generated by the reform is more efficiently priced into stocks that have a higher degree of market liquidity, information transparency, and informed trading.

Keywords: Stock market liberalization, Chinese reform, Risk-sharing, Market imperfections, Asset pricing

原文链接：

http://www.sciencedirect.com/science/article/pii/S0378426617301267

翻译：贾梦悦