To analyze the relation between institutional difference and pricing mech-anism by cross-listed asset is of significant theoretical and practical value for deep-ening capital market reform and optimizing resource allocation.Based on monthly data from 147 Chinese mainland and Hong Kong dual-listed stocks over the past 20 years,our empirical results reveal that,after controlling for major influencing factors,the AH premium has a significantly negative impact on future returns of A-shares but does not significantly impact the future returns of H-shares.The impact of the AH premium on the future returns of A-shares is mainly concentrated in stocks with fewer arbitrage restrictions,and stocks with higher AH premiums have higher short-selling balances in the following month.These results indicate that due to differences in institutions and investor structures,A-shares experience greater volatility and are more prone to pricing errors compared to H-shares,and the pricing ability of the AH premium stems from arbitrageurs engaging in reverse trading against the mispricing in A-shares.This study,for the first time,considers the AH premium as a pricing factor and provides evidence and mechanisms for its pricing ability,expanding the understanding of the pricing mechanism of cross-listed stocks.
AH premiumstock returnlimits of arbitragepricing efficiency
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万方数据
