Co-authored Paper by Associate Professor Zhang Renbin Published Online in International Authoritative Finance Journal Journal of Empirical Finance

Recently, the research paper The AH premium: A tale of “siamese twin” stocks by Associate Professor Zhang Renbin from the School of Economics, Shandong University, was published online in Journal of Empirical Finance, an international authoritative finance journal. His co-author is Zhang Tongbin from the School of Economics, Shanghai University of Finance and Economics.

This paper aims to analyze and explain the AH premium phenomenon in the Chinese stock market. When a large number of Chinese companies are dual-listed in the mainland (A-share) and Hong Kong (H-share) markets, A-shares usually have a premium relative to H-shares. The difference in AH premium is not only large in magnitude but also volatile, similar to the "twin stock" premium puzzle worldwide. The study finds that the subjective stock price expectation model—where market participants predict future capital gains by extrapolating historical data—can provide an effective explanation for this. At the same time, arbitrageurs are prone to losses under the price formation mechanism of extrapolated expectations, which emphasizes the importance of considering the behavioral characteristics of investors with extrapolated expectations in investment model construction.

Zhang Renbin is an Associate Professor at the School of Economics, Shandong University, with a Ph.D. in Economics from Universitat Autònoma de Barcelona. His research directions are macroeconomics and macrofinance. His research achievements have been published in Journal of Monetary Economics, Economic Theory, Journal of Empirical Finance, and Journal of Economic Behavior and Organization.

Paper link:
https://www.sciencedirect.com/science/article/pii/S0927539825000210