Essays about: "Haihui Li"

Found 1 essay containing the words Haihui Li.

  1. 1. Does Noise Trader Risk Repel Arbitrageurs? Evidence from Chinese A-H Share Premia

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Qing Zhu; Haihui Li; [2020]
    Keywords : noise trader risk; A-H premia; volatility; investor sentiment; limits to arbitrage;

    Abstract : What causes the Chinese A-H share premia puzzle? A-shares enjoy a premium over corresponding H-shares on average by 125%, despite the same rights and dividends. The existing hypotheses such as differential risk, differential demand, liquidity, and asymmetric information cannot successfully account for the great magnitude of inflated A-share prices and are also inconsistent with our sample from 2014-2019. READ MORE