论文名称：The value of information in China’s connected market

作者：Chen, KQ  ; Wang, YH ；祝小全

刊名：JOURNAL OF EMPIRICAL FINANCE

发表时间：2024.09

The paper studies the role ofinformationin cross-border trading by using the Stock Connect as a novel laboratory. We present evidence that northbound investors have an additional informational advantage over domestic institutional investors regarding firm fundamentals. A long-short strategy earns an average weekly return of 0.34% after adjusting for the Chinese three-factor model. Furthermore, theinformation advantage of northbound investors is likely to work to a greater effect in asymmetric information environments. Additionally, northbound flows are useful in explaining the subsequent trading activities of domestic investors, which becomes more salient over time and among firms experiencing more attention-induced copycat trading.