Property Rights Protection, Information Acquisition, and Asset Prices: Theory and Evidence

48 Pages Posted: 15 Mar 2012 Last revised: 27 Aug 2013

See all articles by Elias Albagli

Elias Albagli

University of Southern California - Marshall School of Business; Central Bank of Chile

Pengjie Gao

University of Notre Dame - Mendoza College of Business

Yongxiang Wang

University of Southern California - Marshall School of Business

Date Written: July 18, 2013

Abstract

We study return comovement and relative pricing of two classes of shares with identical voting rights and cash-flow rights but for different investor clienteles: A-shares for domestic investors and B-shares for foreign investors. We first document a surprisingly low return comovement between A- and B-shares of the same firm, which is even lower than the average B-shares comovement with B-shares issued by different firms. Local investor property rights protection of the city where the firm is incorporated, and several firm opaqueness measures, explain the cross-sectional variations of the low comovement. In addition, local investor property rights protection and firm opaqueness also explain the relative pricing of A-B shares.

Keywords: Comovement, property rights protection, information acquisition

JEL Classification: G14, G12, G30

Suggested Citation

Albagli, Elias and Gao, Pengjie and Wang, Yongxiang, Property Rights Protection, Information Acquisition, and Asset Prices: Theory and Evidence (July 18, 2013). Available at SSRN: https://ssrn.com/abstract=2022280 or http://dx.doi.org/10.2139/ssrn.2022280

Elias Albagli

University of Southern California - Marshall School of Business ( email )

701 Exposition Blvd
Los Angeles, CA 90089
United States
56987096932 (Phone)

HOME PAGE: http://www.marshall.usc.edu/faculty/directory/albagli

Central Bank of Chile ( email )

Publicaciones
Huerfanos 1185
Santiago
Chile

Pengjie Gao

University of Notre Dame - Mendoza College of Business ( email )

246 Mendoza College of Business
Notre Dame, IN 46556-5646
United States
(574) 631-8048 (Phone)

HOME PAGE: http://​sites.google.com/site/gpengjie/

Yongxiang Wang (Contact Author)

University of Southern California - Marshall School of Business ( email )

701 Exposition Blvd
Los Angeles, CA 90089
United States

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