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AH premium rate and A-share valuations: DCF analysis of cross-market predictability in dual-listed equities

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  • Zheng, Xiu

Abstract

Against the background of deepening reform of capital market system and accelerating globalization, the dynamics of AH share premium has become the focus of cross-border asset allocation decisions. Based on the theoretical framework of discounted cash flow (DCF) valuation model, this paper selects the monthly trading data of 79 AH-share listed companies in the past 10 years, and constructs a panel regression model and threshold model to reveal the premium formation mechanism. The empirical results show that listed companies' dividend policy, institutional investors' shareholding concentration, enterprise market capitalization size and systematic risk (Beta value) all have a significant impact on the AH share premium, and the profit factor plays a threshold effect in the AH premium rate and stock future returns.After further embedding the AH stock premium factor into the Fama-French five-factor pricing model, it is found that the factor has a significant negative predictive effect on the future return of A-shares, and shows higher sensitivity to energy, raw materials and other strong cyclical industries. Incorporating the AH premium into the asset pricing model not only provides a theoretical explanation for market anomalies, but also opens up a new path for research on the pricing mechanism of cross-listed stocks, which is of great theoretical and practical value for improving the cross-border asset valuation system.

Suggested Citation

  • Zheng, Xiu, 2025. "AH premium rate and A-share valuations: DCF analysis of cross-market predictability in dual-listed equities," Finance Research Letters, Elsevier, vol. 85(PB).
    • Handle: RePEc:eee:finlet:v:85:y:2025:i:pb:s1544612325012462
    DOI: 10.1016/j.frl.2025.107988
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