Risk-sharing, market imperfections, asset prices: Evidence from China's stock market liberalization

Publication Type:
Journal Article
Journal of Banking and Finance, 2017, 84 pp. 166 - 187
Issue Date:
Filename Description Size
1-s2.0-S0378426617301267-main.pdfPublished Version974.94 kB
Adobe PDF
Full metadata record
© 2017 Elsevier B.V. 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.
Please use this identifier to cite or link to this item: