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

Cai, Charlie X ORCID: 0000-0003-1398-3715, McGuinness, Paul B and Zhang, Qi (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). pp. 79-111.

Text UPDATED DRAFT 28 May 2017.docx - Author Accepted Manuscript Download (213kB)

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.

Item Type:	Article
Uncontrolled Keywords:	Credit score, IPO pricing, Post IPO performance
Depositing User:	Symplectic Admin
Date Deposited:	14 Nov 2017 07:43
Last Modified:	19 Jan 2023 06:50
DOI:	10.1007/s11156-017-0664-7
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3012100