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abstract: 中国证券市场一直存在着双重上市公司A、H股价差异现象，这一“同股同权不同价”的现象，长期以来都是国内外学者热议的课题之一。 本文在系统性整理前人研究成果基础上，首先对造成A、H股价差效应的内在逻辑进行了系统梳理，提炼出影响双重上市公司A、H股价格差异的9个潜在因素：信息不对称、需求差异、流动性差异、投机性差异、风险差异、公司治理结构、利率差异、市场强弱差异、汇率预期。其次，本文为各潜在影响因素构建了新的代理变量，建立面板数据模型，从全市场和行业两大视角做了实证分析，验证了影响双重上市公司A、H股价格差异的可能因素，且实证结果均通过了平稳性检验。实证结果显示：全市场视角下，仅公司治理结构和市场强弱差异对A、H价格差异的影响不显著。行业视角下，对于金融行业的双重上市公司而言，影响其A、H股价格差异的因素包括：需求差异、流动性差异、风险差异、市场强弱差异、利率差异；信息不对称、投机性差异、公司治理结构、汇率预期不具有显著影响。而对于非金融行业的双重上市公司而言，影响其A、H股价格差异的因素包括：信息不对称、需求差异、流动性差异、风险差异、投机性差异、市场强弱差异、利率差异、汇率预期；公司治理结构则不是显著的影响因素。 本文在实证分析所得结论的基础上，考虑到当前A、H股市场的现状，提出了加强资本市场双向开放、大力发展以基金为代表的机构投资者、坚定推行股票发行注册制改革、推动金融创新、丰富投资工具等建议。这一研究结果对于推动我国资本市场进一步完善，具有重要的理论与现实意义。 / Dissertation/Thesis / Doctoral Dissertation Business Administration 2019

The higher the level of information asymmetry between a firm and its investors, the higher is the firm’s reluctance to raise money externally, potentially leading to investment distortions. An improved disclosure system reduces information asymmetry and therefore, lessens the adverse selection effects of external financing, thereby moderating investment inefficiencies. In this paper, we examine the impact of potentially improved transparency stemming from stricter disclosure requirements (Clause 49) on financing and investment decisions of Indian firms. The results show that reliance of Indian firms on internal financing in the pre-reform period gives way to greater use of external financing in the post-reform period, and alleviation in financial constraints. While expanded funding sources do not seem to improve investment unambiguously, firms that suffered under-investment prior to the reform show a significant improvement in investment post-reform. Firms also increase their financial slack making it possible for them to engage in acquisitions within India as well as abroad.

According to theory, trading volume decreases in information asymmetries, i.e. when there are differences in information. This is due to the fact that uninformed investors delay their trades when they are facing adverse selection. When the asymmetry is resolved there should be a corresponding increase in trading volume. Around earnings announcements (scheduled an-nouncements) this asymmetry is greater than normal, hence one can expect a decrease in trading volume. Around unexpected announcements such as acquisition announcement (unscheduled announcements) a total increase is instead expected because of an increase in trading by informed investors. All these effects are likely to be greater for smaller stocks. The purpose of this thesis is to investigate the trading volume before- and after scheduled announcements and the trading volume before unscheduled announcements in order to investigate how informed- and uninformed investors behave in information asymmetries on Stockholmsbörsen. The method is quantitative with secondary data from the Stockholm Stock exchange from 1998-2004. The method is the same as Chae (2005) uses with paired-samples t-tests. It tests whether the change in trading volume is different from a benchmark consisting of an average of the trading volume 30 days before the announcement. We found a statistically significant decrease in trading volume in 6 of 10 days before a scheduled announcement and an increase also on 7 of 10 days after the announcement. For unscheduled announcements we found an increase before it was released but were not able to prove it statistically. We conclude that uninformed investors behave strategically before scheduled announcements in order to avoid adverse selection. We could not conclude that the effects are greater for smaller stocks.

This study examines the different characteristics of adopting private debt, corporate bonds, and bank debt in the Taiwanese listed companies that obtained new debt financing from 2002 to 2004. The Logistic Regression Model is performed to find out the main determinants to affect the choice of debt instruments, and Two-Stage Least Squares is used to examine the effects of different debt instrument on equity risk. The results are as followed: 1. The higher the flotation cost the higher the possibility of the firm to choose issuing public bonds. On the other hand, the lower the flotation cost the higher the possibility of the firm to choose issuing private debt. 2. Firms with the highest information asymmetry tend to borrow from banks, and those with the lowest information asymmetry are likely to issue public bonds. 3. Firms with the highest credit quality exhibit a strong preference for public bonds, firms with middle credit quality prefer to borrow from banks, and the lowest credit quality prefer to borrow from private debt sources. 4. Firms with the lowest managerial ownership tend to borrow from private debt. 5. As to the equity risk from the debt sources, it increases with the size of the corporate bonds or private debt, and decreases with the size of the bank debt.

Background: According to theory, trading volume decreases in information asymmetries, i.e. when there are differences in information. This is due to the fact that uninformed investors delay their trades when they are facing adverse selec-tion. When the asymmetry is resolved there should be a corresponding in-crease in trading volume. Around earnings announcements (scheduled an-nouncements) this asymmetry is greater than normal, hence one can expect a decrease in trading volume. Around unexpected announcements such as acquisition announcement (unscheduled announcements) a total increase is instead expected because of an increase in trading by informed investors. All these effects are likely to be greater for smaller stocks. Purpose: The purpose of this thesis is to investigate the trading volume before- and after scheduled announcements and the trading volume before unscheduled announcements in order to investigate how informed- and uninformed in-vestors behave in information asymmetries on Stockholmsbörsen. Method: The method is quantitative with secondary data from the Stockholm Stock exchange from 1998-2004. The method is the same as Chae (2005) uses with paired-samples t-tests. It tests whether the change in trading volume is different from a benchmark consisting of an average of the trading volume 30 days before the announcement. Conclusion: We found a statistically significant decrease in trading volume in 6 of 10 days before a scheduled announcement and an increase also on 7 of 10 days after the announcement. For unscheduled announcements we found an in-crease before it was released but were not able to prove it statistically. We conclude that uninformed investors behave strategically before scheduled announcements in order to avoid adverse selection. We could not conclude that the effects are greater for smaller stocks.

Previous studies (e.g. Benston and Hagerman, 1974, Bagehot, 1971 and Stoll, 1978) suggest that the bid-ask spread consists of three components: asymmetric information cost, inventory holding cost, and order processing cost. Other literature (e.g. Brock and Kleidon, 1992, Hef-lin et al, 2007, and McInish and Van Ness, 2002) reports that the bid-ask spread varies during a trading day following a U-shaped pattern. One explanation for this observation is that it is the result of changes in information asymmetry costs over the trading hours, assuming the other costs are fixed. However, no empirical study directly measures how information asym-metry changes over the trading day. We explore how this measure relates to the spread as well as the quote depth.<p> Our research divides a trading day into 13 half-hour trading intervals and measures in-formation asymmetry during each interval following the model developed by Madhavan and Smidt (1991) and Noronha et al (1996). Their model can directly estimate the level of infor-mation asymmetry in each interval. This enables us to observe the intraday pattern of infor-mation asymmetry directly and compare it to the patterns of the spread and the quote depth. Furthermore, we test the relationship between the spread and the information asymmetry and the relationship between the depth and the information asymmetry in a dynamic context to see how market makers manage information risk over trading hours.<p> We find that the risk of information asymmetry varies significantly during the trading day. There is a large drop over the first interval, and another large drop over the last interval, with smaller fluctuations over the remaining intervals. Moreover, we show that the spread is consistent with an L-shaped pattern as opposed to the U-shaped pattern proposed by previous studies while the depth is increasing throughout the 13 trading intervals. Furthermore, we ob-serve that the variations of the spread and the depth are respectively positively and negatively related to the intraday variations in the degree of information asymmetry across the trading intervals. In particular, a large decline in information asymmetry at the beginning of the day is associated with a large reduction in the spread, whereas a large decline in information asymmetry at the end of the day is associated with a large increase in the quote depth. This emphasises the importance of studying both measures of liquidity simultaneously.

Many previous studies suggest that agency costs and information asymmetry are signifi-cant factors that affect the relationship between the investment expenditures of firms and the availability of cash from internal operations. Some other studies show that dividing firms in terms of the degree of ownership concentration further explains the relationship. However, the findings of previous studies are not consistent suggesting that other firm characteristics may be affecting the results. We propose that additional attention to the nature of ownership control of firms may explain the inconsistency. In this study, we examine the investment behaviour of family-controlled firms, institu-tion-controlled firms and widely-held firms. We distinguish between these three kinds of firms as they represent different levels of market imperfection. Therefore, we expect diverse investment behaviours among the three groups. Compared with family-controlled and institution-controlled firms, widely held firms have dispersed ownership structures. The greatest weakness of a widely-held ownership structure is the lack of shareholder monitoring due to the unmatched benefit and cost of control for small shareholders. The existence of at least one large shareholder will reduce the agency costs and asymmetric information. On one hand, enhanced monitoring will decrease the waste of free cash flows by managers. On the other hand, large shareholders are willing to spend time and effort to collect more information on management performance or to estimate the firms investment projects and thus reduce the information asymmetry. Both family-controlled firms and institution-controlled firms have large shareholders. However, whether or not the shareholders are playing an active monitoring role is still an important issue. From the point of aligning the interests of managers and shareholders, the family-controlled group is superior to the institution-controlled group as family-controlled firms generally assign influential positions to family members whose focus is in line with that of the family group. Even though a non family member may be appointed as the manager, the level of monitoring is significant given the high ownership concentration by the family. On the other hand, significant family ownership may lead to agency costs of its own. The main disadvantage of owner-managers is that they may lack the expertise to manage their firms although their position in the family may make it natural for them to be the manager. Another advantage of the family-controlled firm is that the family may divert company resources for its own benefit despite the presence of a manager who may or may not be a family member. Essentially, the family and the manager can all collude to spend on perks and personal benefits at the expense of minority shareholders. Therefore, as we move from widely-held to institution-controlled the level of agency costs may decrease but as we move further into higher control, as may be suggested by family ownership, the level of agency costs may increase again. Although previous studies have noticed the influence of ownership structure, no analysis has been carried out to explore the investment behaviour of firms controlled by the three differ-ent kinds of shareholders. Our first motivation is to fill this gap. Splitting our sample into three representative groups enables us to study the financing constraints and investment behaviour of firms that are family-controlled, institution-controlled, and widely held. The focus of this study is on Canadian firms. The Canadian evidence is worth particular attention because the Canadian business environment is similar to the US business environment in terms of legal, regulatory, and market institutions but it is similar to European or Asian firms in terms of ownership structure. Therefore, a study of Canadian firms can provide a useful and rational assessment of the investment behaviour of firms that follow the ownership structures of Europe and Asia but operate in a business environment and institutional setting similar to those of the US. Further, a large number of Canadian firms have controlling shareholders and a large proportion, approximately 60%, of Canadian firms can be categorized as having concentrated ownership structure. Among the firms with concentrated ownership, over 1/3 of them can be dis-tinguished as family-controlled. This dataset provides an ideal setting to study the investment behaviours of firms according to the nature of their controllers. Our results illustrate that the intensity of investments of widely-held firms is higher than the intensity of investments of concentrated ownership firms and that the intensity of investments of widely-held firms is positively and significantly affected by the availability of funds from internal sources. In contrast, for concentrated ownership firms the intensity is positively and significantly affected by the availability of growth opportunities. These observations suggest that in comparison with the concentrated ownership firms, the widely-held firms face higher levels of financing constraints and exhibit less value maximizing behaviour. However, once we separate the family-controlled firms from the institution-controlled firms, we find that the investment expenditures of the family-controlled firms and the institution-controlled firms are not significantly different in terms of their dependence on internal cash flows or on the market-to-book ratios. We also find that widely-held firms tend to invest in projects that payoff quickly. This preference may be the result of these firms desires to ease their external funding constraints by generating funds internally.

Previous studies (e.g. Benston and Hagerman, 1974, Bagehot, 1971 and Stoll, 1978) suggest that the bid-ask spread consists of three components: asymmetric information cost, inventory holding cost, and order processing cost. Other literature (e.g. Brock and Kleidon, 1992, Hef-lin et al, 2007, and McInish and Van Ness, 2002) reports that the bid-ask spread varies during a trading day following a U-shaped pattern. One explanation for this observation is that it is the result of changes in information asymmetry costs over the trading hours, assuming the other costs are fixed. However, no empirical study directly measures how information asym-metry changes over the trading day. We explore how this measure relates to the spread as well as the quote depth.<p> Our research divides a trading day into 13 half-hour trading intervals and measures in-formation asymmetry during each interval following the model developed by Madhavan and Smidt (1991) and Noronha et al (1996). Their model can directly estimate the level of infor-mation asymmetry in each interval. This enables us to observe the intraday pattern of infor-mation asymmetry directly and compare it to the patterns of the spread and the quote depth. Furthermore, we test the relationship between the spread and the information asymmetry and the relationship between the depth and the information asymmetry in a dynamic context to see how market makers manage information risk over trading hours.<p> We find that the risk of information asymmetry varies significantly during the trading day. There is a large drop over the first interval, and another large drop over the last interval, with smaller fluctuations over the remaining intervals. Moreover, we show that the spread is consistent with an L-shaped pattern as opposed to the U-shaped pattern proposed by previous studies while the depth is increasing throughout the 13 trading intervals. Furthermore, we ob-serve that the variations of the spread and the depth are respectively positively and negatively related to the intraday variations in the degree of information asymmetry across the trading intervals. In particular, a large decline in information asymmetry at the beginning of the day is associated with a large reduction in the spread, whereas a large decline in information asymmetry at the end of the day is associated with a large increase in the quote depth. This emphasises the importance of studying both measures of liquidity simultaneously.

Many previous studies suggest that agency costs and information asymmetry are signifi-cant factors that affect the relationship between the investment expenditures of firms and the availability of cash from internal operations. Some other studies show that dividing firms in terms of the degree of ownership concentration further explains the relationship. However, the findings of previous studies are not consistent suggesting that other firm characteristics may be affecting the results. We propose that additional attention to the nature of ownership control of firms may explain the inconsistency. In this study, we examine the investment behaviour of family-controlled firms, institu-tion-controlled firms and widely-held firms. We distinguish between these three kinds of firms as they represent different levels of market imperfection. Therefore, we expect diverse investment behaviours among the three groups. Compared with family-controlled and institution-controlled firms, widely held firms have dispersed ownership structures. The greatest weakness of a widely-held ownership structure is the lack of shareholder monitoring due to the unmatched benefit and cost of control for small shareholders. The existence of at least one large shareholder will reduce the agency costs and asymmetric information. On one hand, enhanced monitoring will decrease the waste of free cash flows by managers. On the other hand, large shareholders are willing to spend time and effort to collect more information on management performance or to estimate the firms investment projects and thus reduce the information asymmetry. Both family-controlled firms and institution-controlled firms have large shareholders. However, whether or not the shareholders are playing an active monitoring role is still an important issue. From the point of aligning the interests of managers and shareholders, the family-controlled group is superior to the institution-controlled group as family-controlled firms generally assign influential positions to family members whose focus is in line with that of the family group. Even though a non family member may be appointed as the manager, the level of monitoring is significant given the high ownership concentration by the family. On the other hand, significant family ownership may lead to agency costs of its own. The main disadvantage of owner-managers is that they may lack the expertise to manage their firms although their position in the family may make it natural for them to be the manager. Another advantage of the family-controlled firm is that the family may divert company resources for its own benefit despite the presence of a manager who may or may not be a family member. Essentially, the family and the manager can all collude to spend on perks and personal benefits at the expense of minority shareholders. Therefore, as we move from widely-held to institution-controlled the level of agency costs may decrease but as we move further into higher control, as may be suggested by family ownership, the level of agency costs may increase again. Although previous studies have noticed the influence of ownership structure, no analysis has been carried out to explore the investment behaviour of firms controlled by the three differ-ent kinds of shareholders. Our first motivation is to fill this gap. Splitting our sample into three representative groups enables us to study the financing constraints and investment behaviour of firms that are family-controlled, institution-controlled, and widely held. The focus of this study is on Canadian firms. The Canadian evidence is worth particular attention because the Canadian business environment is similar to the US business environment in terms of legal, regulatory, and market institutions but it is similar to European or Asian firms in terms of ownership structure. Therefore, a study of Canadian firms can provide a useful and rational assessment of the investment behaviour of firms that follow the ownership structures of Europe and Asia but operate in a business environment and institutional setting similar to those of the US. Further, a large number of Canadian firms have controlling shareholders and a large proportion, approximately 60%, of Canadian firms can be categorized as having concentrated ownership structure. Among the firms with concentrated ownership, over 1/3 of them can be dis-tinguished as family-controlled. This dataset provides an ideal setting to study the investment behaviours of firms according to the nature of their controllers. Our results illustrate that the intensity of investments of widely-held firms is higher than the intensity of investments of concentrated ownership firms and that the intensity of investments of widely-held firms is positively and significantly affected by the availability of funds from internal sources. In contrast, for concentrated ownership firms the intensity is positively and significantly affected by the availability of growth opportunities. These observations suggest that in comparison with the concentrated ownership firms, the widely-held firms face higher levels of financing constraints and exhibit less value maximizing behaviour. However, once we separate the family-controlled firms from the institution-controlled firms, we find that the investment expenditures of the family-controlled firms and the institution-controlled firms are not significantly different in terms of their dependence on internal cash flows or on the market-to-book ratios. We also find that widely-held firms tend to invest in projects that payoff quickly. This preference may be the result of these firms desires to ease their external funding constraints by generating funds internally.