演讲题目：The Puzzle in the Pricing of Cross-listed Chinese A and H Shares

演讲者: 吴毓武 教授 香港中文大学

演讲时间：2018年6月8日（周五）上午10：00一11：30

演讲地点: 嘉庚二201

主持人：刘馨茗 助理教授

参加者：对会计、财务研究有兴趣的师生

讲座简介:For Chinese companies that cross-list in Chinese A share and Hong Kong (H share) markets, the H share price has been consistently lower than the A share price by an average of 85% in recent years. This is puzzling because most of institutional differences between the two markets have been eliminated since 2007. Using all A and H share Chinese firms in the period 2007-2013 and a simultaneous equations approach, we identify three new explanations for the recent price differences. First, utilizing a unique earnings quality measure that is directly related to fair value accounting and other non-persistent components under IFRS, we find that the lower the earnings quality, the lower the H share price relative to the A share price, and hence the greater the price difference around earnings announcements. Second, the higher the myopic investor ownership in A share firms, the larger the A share price relative to the H share price. Third, the short selling mechanism introduced to the A share market since 2010 reduces the price difference. Our study reveals an unintended adverse consequence of financial reporting quality under IFRS in an emerging market for the price difference of cross-listed Chinese A and H shares.