| February 21, 1992, Chinese first B-share which is the electric instrument B shares(900901.SH) listed on the Shanghai Stock Exchange, marking the internationalization of China’s securities market, it is also an important channel for China to attract foreign capital. But compared to the A-share market, there is an obvious "discount" phenomenon on B shares. In this regard, traditional static asset pricing model is difficult to give a reasonable explanation, while the behavioral finance theory which without the assumption of market efficiency helps to explain the pricing vision of Chinese stock market.Based on two classical asset pricing model including conditional CAPM model and Fama-French three-factor model, this paper uses the principal component analysis method to build the comprehensive investor sentiment index of A and B stock market; then, combing the comprehensive investor sentiment index with the company characteristic variables(size, b/m) into the time-varying beta to form a conditional asset pricing model. After that, this paper applies two-stage regression including time series regressions and cross sectional regressions to analyze, compare and explain differences of the interpretation of unconditional and conditional model to A-share and B-share markets’ pricing anomalies.Based on eliminating ST-share, *ST-share, PT-share, selected 59 pairs shares of AB market cross-listed shares from January 2003 to December 2013 for research. This study has shown that there is a large difference between A-share and B-share market, and investor sentiment is helpful for conditional asset pricing model to explain the pricing anomalies of A-share and B-share market. At the same time, conditional asset pricing model is better than unconditional asset pricing model while the Fama-French three-factor model is better than CAPM model on interpreting pricing anomalies. |
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