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The AH premium: A tale of “siamese twin” stocks

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  • Zhang, Renbin
  • Zhang, Tongbin

Abstract

A large proportion of Chinese companies are dual-listed in both the mainland (A-share) and Hong Kong (H-share) markets. A-shares usually sell at a premium, known as the AH premium, which is large and volatile. The AH premium resembles a globally well-known premium puzzle in “Siamese twin” stocks. We find that a model of subjective stock price expectations, where agents forecast the future capital gains by extrapolating from the past provides a good explanation. This finding emphasizes the importance of modeling investors with extrapolative stock price expectations.

Suggested Citation

  • Zhang, Renbin & Zhang, Tongbin, 2025. "The AH premium: A tale of “siamese twin” stocks," Journal of Empirical Finance, Elsevier, vol. 81(C).
    • Handle: RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000210
    DOI: 10.1016/j.jempfin.2025.101599
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    More about this item

    Keywords

    AH premium; “Siamese twin” stocks; Extrapolative price expectations;
    All these keywords.

    JEL classification:

    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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