Dissecting the Long-term Performance of the Chinese Stock Market

Forthcoming, Journal of Finance

93 Pages Posted: 5 Dec 2016 Last revised: 16 May 2023

See all articles by Franklin Allen

Franklin Allen

Imperial College London

Jun "QJ" Qian

Fanhai International School of Finance, Fudan University

Chenyu Shan

Shanghai University of Finance and Economics

Julie Zhu

Fanhai International School of Finance(FISF), Fudan University

Date Written: May 3, 2023

Abstract

Domestically listed Chinese (A share) firms have lower stock returns than externally listed Chinese, developed and emerging country firms during 2000-2018. They also have lower net cash flows than matched unlisted Chinese firms. The underperformance in both stock and accounting returns is more pronounced for large A share firms, while small firms show no underperformance in either dimension. Investor sentiment explains low stock returns in the cross-country and within A share samples. Institutional deficiencies in IPO and delisting processes and weak corporate governance in terms of shareholder value creation are consistent with the underperformance in stock returns and net cash flows.

Keywords: Stock market, return, IPO, investment, net cash flow, behavioral bias

JEL Classification: G12, G15, G3

Suggested Citation

Allen, Franklin and Qian, Jun and Shan, Chenyu and Zhu, Julie, Dissecting the Long-term Performance of the Chinese Stock Market (May 3, 2023). Forthcoming, Journal of Finance, Available at SSRN: https://ssrn.com/abstract=2880021 or http://dx.doi.org/10.2139/ssrn.2880021

Franklin Allen

Imperial College London ( email )

South Kensington Campus
Exhibition Road
London, Greater London SW7 2AZ
United Kingdom

Jun Qian

Fanhai International School of Finance, Fudan University ( email )

Shanghai
China
86-21-63895501 (Phone)
86-21-62934572 (Fax)

HOME PAGE: http://www.fisf.fudan.edu.cn/show-65-69.html

Chenyu Shan (Contact Author)

Shanghai University of Finance and Economics ( email )

100 Wudong Road
Shanghai
China

Julie Zhu

Fanhai International School of Finance(FISF), Fudan University ( email )

220 Handan Road
Shanghai, 200433
China

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
1,902
Abstract Views
6,502
Rank
14,783
PlumX Metrics