英文标题：
《Impact of Cross-Listing Chinese Stock Returns. A and N Shares Rate of
  Return Comparison》
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作者：
Kamilla Sabitova
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最新提交年份：
2017
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英文摘要：
  The paper examines the Chinese market reaction to the ADR issue by comparing returns and their stochastic variances of the Chinese firms cross-listed in the U.S. stock market. First, It was implemented capital asset pricing model (CAPM) to determine expected returns A and N shares. The CAPM provided with a methodology to quantify risk and translate that risk into estimates of expected return on equity. Overall findings document that N shares of Chinese entities listed on U.S. market were greatly affected by economic turmoil during the period of World Financial Crises 2007-2008 than the A shares listed on the local market. After in order to test the hypothesis of beneficial cross-listing, it was implemented an event study method and the returns was modeled following GARCH process, which assumes homoscedasticity in residual returns. The results indicate a significant negative abnormal market return on an ADR listing date. The return volatilities after the listing date are compared to those before the listing. Four out of ten companies experienced increased volatility of local return after the cross-listing. Keywords: cross-listing, ADR, rate of return, volatility, CAPM, GARCH model, N shares, A shares
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中文摘要：
本文通过比较在美国股市交叉上市的中国公司的收益率及其随机方差，考察了中国市场对ADR问题的反应。首先，运用资本资产定价模型（CAPM）确定A股和N股的预期收益。CAPM提供了一种量化风险的方法，并将该风险转化为预期股本回报的估计。总体调查结果表明，在2007-2008年世界金融危机期间，在美国市场上市的中国实体的N股受经济动荡的影响比在当地市场上市的A股大。之后，为了检验有益交叉上市的假设，采用事件研究方法，按照GARCH过程对收益进行建模，该过程假设剩余收益具有同质性。结果表明，在ADR上市日，市场异常回报率显著为负。将上市日后的回报波动率与上市前的回报波动率进行比较。交叉上市后，10家公司中有4家的本地回报率波动加剧。关键词：交叉上市、ADR、收益率、波动性、CAPM、GARCH模型、N股、A股
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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