The Economic Consequences of Increased Disclosure: Evidence from International Cross-Listings
Dice Center Working Paper No. 2002-4; AFA 2003 Washington, DC Meetings
66 Pages Posted: 27 Mar 2002
See all articles by Warren Bailey
Warren Bailey
Cornell University; Fudan University - Fanhai International School of Finance and China Institute of Economics and Finance
George Andrew Karolyi
Cornell University - SC Johnson College of Business
Carolina Salva
University of Neuchatel
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Number of pages: 66 Posted: 27 Mar 2002
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Journal of Financial Economics, Forthcoming
Posted: 13 Sep 2005
Date Written: February 2005
We study return volatility and trading volume at times of earnings announcements to see if the increased disclosure faced by non-U.S. firms when listing shares in the U.S. has economically significant consequences. We find a surprising change in market behavior around earnings releases: absolute return and volume reactions to earnings announcements typically increase significantly once a company cross-lists its shares in the U.S. Furthermore, the increase in volatility and volume is greatest for firms from developed countries and firms that do not list on an organized stock exchange, rather than for emerging market firms from poor information disclosure environments or firms that submit to the stringent reporting demands of a high quality exchange listing. Additional tests support the hypothesis that it is the individual firm's disclosure environment, rather than changes in its market liquidity, ownership, or trading venue, that explain our findings.
Keywords: International cross-listing, earnings announcements, trading volume, volatility
JEL Classification: G14, G15, G32
Bailey, Warren B. and Karolyi, George Andrew and Salva, Carolina, The Economic Consequences of Increased Disclosure: Evidence from International Cross-Listings (February 2005). Dice Center Working Paper No. 2002-4; AFA 2003 Washington, DC Meetings, Available at SSRN: https://ssrn.com/abstract=304560 or http://dx.doi.org/10.2139/ssrn.304560
Warren B. Bailey (Contact Author)
Cornell University ( email )
S. C. Johnson Graduate School of Management
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HOME PAGE: http://courses.cit.cornell.edu/wbb1/
Fudan University - Fanhai International School of Finance and China Institute of Economics and Finance ( email )
Cornell University - SC Johnson College of Business ( email )
174A STATLER HALL
HOME PAGE: http://https://www.johnson.cornell.edu/faculty-research/faculty/gak56/
University of Neuchatel ( email )
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