AH股溢价能影响股票未来收益率吗?  

Can AH Premium Affect Stock Future Return?

作　　者：万谍[1] 何奕扬 WAN Die;HE Yiyang(School of Finance,Zhejiang Gongshang University,Hangzhou 310018,China;School of Management,Xiamen University,Xiamen 361005,China)

机构地区：[1]浙江工商大学金融学院,杭州310018 [2]厦门大学管理学院,厦门361005

出　　处：《计量经济学报》2024年第2期507-532,共26页China Journal of Econometrics

基　　金：浙江省哲学社会科学基金(23NDJC353YB);国家社科基金(21BJY265);浙江省自然科学基金(LY21G010001)。

摘　　要：通过交叉上市资产来分析制度差异与定价机制的关系,对于推进资本市场深化改革、优化资源配置功能,具有重要的理论和现实意义.基于近20年147支内地、香港地区同时上市股票的月度数据,本文的实证结果发现:在控制主要影响因素后,AH股溢价能负向显著影响A股未来收益率,但不能显著影响H股的未来收益率;AH股溢价对A股未来收益率的影响主要集中在套利限制较小的个股中,且AH股溢价越高的股票,下月融券卖出余额越多.这些结果表明,因制度与投资者结构的差异,A股有比H股更大的波动且更易形成定价错误,而AH股溢价的定价能力源于有套利者针对A股中的错误定价进行反向交易.本文首次将AH股溢价作为一个定价因子考虑,并提供了其定价能力的证据和机制解释,拓展了对交叉上市股票定价机理的理解.To analyze the relation between institutional difference and pricing mechanism by cross-listed asset is of significant theoretical and practical value for deepening capital market reform and optimizing resource allocation.Based on monthly data from 147 Chinese mainland and Hong Kong region 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 shortselling 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.

关 键 词：AH股溢价 股票收益 套利限制 定价效率 

分 类 号：F832.51[经济管理—金融学]