Financial openness and profitability premium: Causal evidence from the Shanghai-Hong Kong Stock Connect

被引：0
作者：
Jiang, Fuwei [1 ]
Jin, Fujing [2 ]
Zhang, Kejia [3 ]
机构：
[1] Cent Univ Finance & Econ, Sch Finance, Beijing, Peoples R China
[2] Beijing Jiaotong Univ, Sch Econ & Management, 3 Shangyuancun, Beijing 100044, Peoples R China
[3] Cent Univ Finance & Econ, China Econ & Management Acad, Beijing, Peoples R China
来源：
ACCOUNTING AND FINANCE | 2023年 / 63卷 / 01期
基金：
中国国家自然科学基金;
关键词：
financial openness; mispricing; profitability premium; Shanghai-Hong Kong Stock Connect; value investment; INVESTMENT FRICTIONS; CROSS-SECTION; SENTIMENT; EARNINGS; CONSTRAINTS; ANOMALIES; RETURNS; LIMITS; PRICE; RISK;
D O I：
10.1111/acfi.13049
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study explores the impact of capital market openness on the profitability premium by using the Shanghai-Hong Kong Stock Connect (SHKSC) programme as an exogenous shock. The empirical results show that (1) we can basically rule out the mispricing mechanism driving the significant profitability premium in China; (2) following SHKSC, the expected stock returns increase more across less profitable firms, and the less profitable firms have more increases in illiquidity, capital structure and information disclosure quality; and (3) the results are still robust after using propensity score matching analysis, deleting the highly volatile periods and conducting a firm-level test with the triple-differencing design.
引用
收藏
页码：451 / 483
页数：33
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