Chan, Kalok; Menkveld, Albert J.; Yang, Zhishu - VU University Amsterdam, Faculty of Economics, Business … - 2006
We examine the effect of information asymmetry on equity prices in the local A- and foreign Bshare market in China. We construct measures of information asymmetry based on market microstructure models, and find that they explain a significant portion of cross-sectional variation in B-share...
