区际风险分担与汇率风险因素:对AH股价差的一个新解释

发布时间：2018-05-06 17:12

本文选题：AH股价差 + 区际风险分担　；参考：《经济学动态》2012年06期

【摘要】：本文基于随机贴现因子的框架,从新的视角对AH股价差现象进行了研究。研究结果表明,除了个股因素外,造成AH股价差的因素还有两地区间区际风险分担程度、无风险利率的差异以及汇率风险溢酬和汇率对股票价格的溢出效应等共同因素,而且这些共同因素的影响作用比已有研究关注的个股因素更为重要。
[Abstract]:Based on the framework of stochastic discount factor, this paper studies the AH stock price difference from a new perspective. The results show that in addition to the individual stock factor, there are also some common factors, such as the degree of risk sharing between the two regions, the difference of risk-free interest rate, the overpayment of exchange rate risk and the spillover effect of exchange rate on stock price. Moreover, the influence of these common factors is more important than the stock factor which has been studied.
【作者单位】：上海国家会计学院;上海立信会计学院会计与财务学院;
【分类号】：F832.51;F224

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