Beschreibung:
In this paper, we examine Chinese firms that issue both A- and B-shares in mainland China (SHSE and SZSE), which offers us a precious opportunity to study the influence of investor sentiments, holding other factors constant, on the twin stocks. We find B-share returns to commove with foreign market significantly before domestic investors enter the market and non-significantly after their entry. Thus, investor sentiments are found to be priced. Our findings are supported by evidences at both firm level and market level