Asset Float and Stock Prices: Evidence from the Chinese Stock Market

Booms and Busts in China’s Stock Market: Estimates Based on Fundamentals

“…Evidence on the latter is reported in Jiang et al (2008) andin Beltratti et al (2009). The estimates show that the liberalizing reforms are positively affecting the long-run stock price misalignment.…”

“…They argue that liquidity, market capitalization and information asymmetry can play a role in explaining the weak form efficiency. Beltratti et al (2009) analyse the stock price effects of the changes in ownership structure derived of the conversion of non-tradable shares into tradable ones in 2005-2006 and find that price of stocks characterised by lower liquidity, inactive investors and less transparency before the reform tend to benefit most from it. Thus, they conclude that the recent financial reforms significantly improved Chinese stock market fundamentals.…”

Agency problems and liquidity premium: Evidence from China's stock ownership reform

“…When the lockup period is extended to five years, the theoretical discount increases to 40.1%. 8 The expression of P A is reasonable because Beltratti and Caccavaio (2007) find that on the day of the second readmission, stock price dropped an average of 16.7%, which is almost totally due to the payment of compensation.…”

Evolution of China's financial system and its impact on economic development

“…More particularly, this reform was applied to the period from April 2005 to September 2006, requiring that holders of NTS have to compensate in a variety of forms (cash, bonus shares, warrants) and holders of TS to have the right to sell their shares (cf. Beltratti and Caccavaio, 2006;Beltratti and Bortolotti, 2006). The reform process consists of two stages: in the first stage, every company involved announces sale, but before the transaction can be made, the forms of compensation are to be established.…”

“…Beltratti and Caccavaio, 2006;Allen et al, 2007). An appropriate way to approach classification, and one serving particularly for the observations to be made later on the incidence of this market within the financial system, is with the distinction between Tradable Shares (TS) and Non-Tradable Shares (NTS).…”