Andrea Beltratti (Bocconi University) Bernardo Bortolotti (Fondazione Eni Enrico Mattei and Università di Torino) Marianna Caccavaio (Bocconi University)
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In 2005-2006 China reformed its stock market by eliminating non-tradable shares. The regulator set general guidelines and then assigned responsibility for implementation to each company. We derive relations that should have been followed by the prices of stocks and exploit a company-level data set to compare the actual and the theoretical price reactions. We find evidence for abnormal returns both before the beginning of the reform and during the reform. Cross-sectionally, abnormal returns are associated mainly with turnover and compensation. This shows that in a speculative market, investors do not properly react to unambiguous corporate actions.
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Paper provided by Fondazione Eni Enrico Mattei in its series Working Papers with number
2009.15.
Find related papers by JEL classification: G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies N25 - Economic History - - Financial Markets and Institutions - - - Asia including Middle East
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