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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.

Credit scores and the performance of newly-listed stocks: An exploration of the Chinese A-share market Thumbnail


Authors

C.X. Cai

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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