This study explores the anchoring effect of previous bid premiums on acquirers’ bidding behavior in serial acquisitions. We demonstrate that, after controlling for deal characteristics, learning, and unobserved factors, the current bid premium is positively correlated with the acquirer’s previous bid premium. The strength of this anchoring effect diminishes with longer time intervals between acquisitions and increases with the industry similarity of targets. Notably, it remains unaffected by the acquirer’s state ownership or acquisition frequency. Additionally, the anchoring effect is less pronounced during periods of high economic uncertainty and can reverse following a change in the acquirer’s CEO. Our findings suggest that serial acquisitions are interrelated events, challenging the notion that each bid is an isolated occurrence. This research provides insights into the underperformance of serial acquirers compared to single acquirers and the declining trend in announcement returns across successive deals.

We examine the risk-return trade-off in market anomalies within the A-share market, showing that even decaying anomalies may proxy for latent risk factors. To balance forecast bias and variance, we integrate the 1/N and mean-variance frameworks, minimizing out-of-sample forecast error. Treating anomalies as tradable assets, we construct optimized long-short portfolios with strong performance: an average annualized Sharpe ratio of 1.56 and a certainty-equivalent return of 29.4% for a meanvariance investor. These premiums persist post-publication and are largely driven by liquidity risk exposures. Our results remain robust to market frictions, including shortsale constraints and transaction costs. We conclude that even decaying market anomalies may reflect priced risk premia rather than mere mispricing. This research provides practical guidance for academics and investors in return predictability and asset allocation, especially in the unique context of the Chinese A-share market.

We examine the risk-return trade-off in market anomalies within the A-share market, showing that even decaying anomalies may proxy for latent risk factors. To balance forecast bias and variance, we integrate the 1/N and mean-variance frameworks, minimizing out-of-sample forecast error. Treating anomalies as tradable assets, we construct optimized long-short portfolios with strong performance: an average annualized Sharpe ratio of 1.56 and a certainty-equivalent return of 29.4% for a mean-variance investor. These premiums persist post-publication and are largely driven by liquidity risk exposures. Our results remain robust to market frictions, including short-sale constraints and transaction costs. We conclude that even decaying market anomalies may reflect priced risk premia rather than mere mispricing. This research provides practical guidance for academics and investors in return predictability and asset allocation, especially in the unique context of the Chinese A-share market.

Culture and experience associate A with superior quality. In the marketing of dual-class IPOs, issuers are mindful of this preference. For years after IPO issuance, inferior voting rights shares labeled Class A enjoy higher market valuations and smaller voting premiums than do Class B shares.

This paper explores the widespread perception of insurers as bad payers, often accused of unjustly rejecting legitimate claims. We explore the mechanisms leading to this negative image by examining the strategic “nitpicking” behaviour of insurers. Such behaviour involves an insurer’s effort to find evidence that can help it cut the indemnities of honest claims. Our findings reveal that this nitpicking behaviour only arises in markets with asymmetric information, where policyholders are unable to observe insurers’ nitpicking strategies. Conversely, in markets with symmetric information, insurers lose the incentive to engage in nitpicking. Moreover, our study highlights that nitpicky behaviour leads to a reduction in welfare and Pareto-inefficiency. This is because nitpicking is essentially an overpriced gam- ble that charges lower premiums from policyholders at a no-loss state, but cuts actual indemnities received by policyholders at a loss state.

The study introduces 'earnings purity,' a concept based on the 'gold content' of target earnings, to evaluate its impact on merger and acquisition (M&A) premiums. Our findings reveal that targets with higher earnings purity command increased valuations and premiums. Further analysis of the information effects uncovers a U-shaped relationship between earnings purity and negotiation duration, suggesting that elevated premiums might not always be justified. The heterogeneity test indicates that the effect of a target firm's earnings purity on M&A premiums is more pronounced in cross-border and inter-industry M&As. However, it is less influential in cases with larger target firms and better external conditions. These results highlight the dual aspects of M&As, presenting them as both advantageous and potentially hazardous.

There is mixed evidence of a positive relationship between the stock market risk and return. We reexamine this critical implication of asset pricing theory using fresh data from China's stock market, which is largely segmented from the rest of the global financial market. Using formal variable selection methods and a comprehensive set of predictor variables, we identify conditional market variance, scaled market prices, and inflation as crucial determinants of equity premiums. The estimated simple risk-return relationship exhibits downward omitted variable bias, which underlines the importance of considering multiple factors to explain the variation in equity premiums. We cannot wholly attribute the three-factor conditional equity premium model to data mining, as Guo, Sanni, and Yu (2022) select the same model for the U.S. stock market. These findings challenge existing asset pricing models and provide valuable guidance for future theoretical research.

This paper investigates the effect on A–H premiums of the China Stock Connect, which allows the Mainland to invest in H-shares in Hong Kong (Southbound) and overseas to invest in A-shares in the Mainland (Northbound). It removes barriers to investor trading all crosslisted A- and H-shares but leads to them an enlarged premium. We develop the differential demand hypothesis of Stulz and Wasserfallen (1995) in China and identify the elasticities of Stock Connect relying on the demand asset pricing of Koijen and Yogo (2019). We ffnd that the average elasticity of Northbound (A-shares) is 0.18, and that of Southbound (H-shares) is 0.66, implying that A-H shares have different levels of substitute effect for investors on each side of Stock Connect, leading to the long-term premium. On a univariate basis, they explain 20% of the variation of the A-H premium and remain highly signiffcant when controlling other variables. We also estimate the cross-listed and time-varying elasticities of Stock Connect. They illustrate the strong positive spillover effect of A-H shares and check the robustness of our results.

We study the relationship between common factor betas and the expected overnight versus intraday stock returns. Using data from the Chinese A-share markets, we find that the Fama-French five-factor betas and expected returns exhibit contrasting relationships overnight versus intraday. The market, value, and profitability factors earn positive beta premiums overnight and negative premiums intraday, while the size and investment factors’ beta premiums behave oppositely. The night and day factor beta premium differentials are more muted among stocks with higher investor sophistication and vary across macroeconomic conditions. The contrasting day and night beta premiums extend to some other common factors and Chinese B shares, and vary their signs for some factors in the U.S. market.

This paper compares Chinese firms’ IPO performance both in the short- and the long-run on domestic and overseas markets and investigates what factors determine the IPO destinations of Chinese firms. We find China’s domestic IPO market performs well over both time horizons, while some listings in the overseas market perform well in the long run except for small- and mid-cap listings in the US. Analysis based on a capital asset pricing model reveals IPO premiums and short-term returns are less affected by three common risk factors, while longer term returns are mainly driven by market fundamentals. Investigation of the drivers for Chinese firms’ IPO destinations using the binary choice model shows that firm specifics, institutional setups, and market characteristics influence the choice of IPO destinations. The prospect of a high IPO premium and strong trading in IPO shares are substantial drivers for firms to list their shares onshore. On the other hand, indicators of market size and profitability appear to have the highest predictive power for the likelihood of overseas listings, followed by firm’s ownership structure, IPO offering size and IPO underwriting costs. Institutional setups have the least predictive power for overseas listings. These results are in general robust to domestic delisting and IPO suspension events.