C.X. Cai
Credit scores and the performance of newly-listed stocks: An exploration of the Chinese A-share market
Cai, C.X.; McGuinness, P.B.; Zhang, Q.
Authors
P.B. McGuinness
Q. Zhang
Abstract
This study assesses the power of S&P Global Market Intelligence’s CreditModel (CM) scores in explaining the short- and long-run performance of newly-listed Chinese firms. A unique feature of the data arises from such scores being outside the public domain during the study period. Focus on such a period avoids the signalling and self-selection biases that inevitably plague studies delving into the relevance of publicly-announced credit ratings. We find that CM scores exhibit positive association with post-listing buy-and-hold stock returns. Even stronger associations emerge when considering fundamental accounting performance, especially over longer-run horizons. In respect of the listing of Chinese A-share firms, we conjecture that greater alignment between secondary market prices and fundamentals would likely have arisen had such scores been in the public domain during the study period.
Citation
Cai, C., McGuinness, P., & Zhang, Q. (2018). Credit scores and the performance of newly-listed stocks: An exploration of the Chinese A-share market. Review of Quantitative Finance and Accounting, 51(1), 79-111. https://doi.org/10.1007/s11156-017-0664-7
Journal Article Type | Article |
---|---|
Acceptance Date | Aug 22, 2017 |
Online Publication Date | Sep 8, 2017 |
Publication Date | Jul 1, 2018 |
Deposit Date | Oct 10, 2017 |
Publicly Available Date | Mar 28, 2024 |
Journal | Review of Quantitative Finance and Accounting |
Print ISSN | 0924-865X |
Electronic ISSN | 1573-7179 |
Publisher | Springer |
Peer Reviewed | Peer Reviewed |
Volume | 51 |
Issue | 1 |
Pages | 79-111 |
DOI | https://doi.org/10.1007/s11156-017-0664-7 |
Public URL | https://durham-repository.worktribe.com/output/1346812 |
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Copyright Statement
The final publication is available at Springer via https://doi.org/10.1007/s11156-017-0664-7.
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