NDLI: Investor Sentiment, Idiosyncratic Risk, and Stock Price Premium: Evidence From Chinese Cross-Listed Companies

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Investor Sentiment, Idiosyncratic Risk, and Stock Price Premium: Evidence From Chinese Cross-Listed Companies

Content Provider	SAGE Publishing
Author	Li, Yuan Zhang, Yu
Copyright Year	2021
Abstract	We investigate whether idiosyncratic risk and investor sentiment play important roles in the price disparity between China A-shares and H-shares. To build the investor sentiment indices and decompose them into different fragments for both markets, we use both principal component analysis (PCA) and partial least squares (PLS) approaches. We further look at how idiosyncratic risk affects stock mispricing and how it deals with investor sentiment. We find that the price premium of A-shares over H-shares is strongly linked to the sentiment differential. We also discover that idiosyncratic risk has a major effect on the price premium of cross-listed companies. Moreover, a larger sentiment differential reinforces the impact of idiosyncratic risk on the price disparity. The above results remain robust after controlling for other economic factors.
Related Links	https://journals.sagepub.com/doi/pdf/10.1177/21582440211024621?download=true
ISSN	21582440
Issue Number	2
Volume Number	11
Journal	SAGE Open (SGO)
e-ISSN	21582440
DOI	10.1177/21582440211024621
Language	English
Publisher	Sage Publications CA
Publisher Date	2021-06-15
Publisher Place	Los Angeles
Access Restriction	Open
Rights Holder	© The Author(s) 2021
Subject Keyword	cross-listed price premium idiosyncratic risk investor sentiment
Content Type	Text
Resource Type	Article
Subject	Arts and Humanities Social Sciences

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