Information Efficiency of U.S. Restaurant Stocks That Are Cross-Listed in Germany

Journal of Hospitality and Tourism Research, Forthcoming

Posted: 26 Apr 2014

See all articles by Yoon Koh

Yoon Koh

University of Houston - Conrad N. Hilton College of Hotel and Restaurant Management

Seoki Lee

Independent

Sudipta Basu

Temple University - Department of Accounting

Date Written: June 24, 2013

Abstract

We study relationships between stock returns on U.S. and German exchanges for U.S. restaurant companies. Specifically, we examine whether information asymmetry affect how much stock returns in Germany lag stock returns of the same company on U.S. markets. German and U.S. investors differ in information access because of differing stock exchange listing requirements. Our main goals are to examine if (a) stock returns of U.S. underlying shares lead stock returns of cross-listed shares on the Open Market because of information asymmetry and (b) the lead-lag relationship is more evident among shares involuntarily cross-listed on the Open Market than securities voluntarily cross-listed on the EU Regulated Market because of differences in regulation in information disclosure. We estimated cross-autocorrelations using vector autoregressions and tested the hypotheses with the Wald test. The results, in general, support both hypotheses.

Keywords: lead–lag; cross-autocorrelation; involuntary cross-listing; vector autoregression (VAR); Frankfurt Stock Exchange; information asymmetry

Suggested Citation

Koh, Yoon and Lee, Seoki and Basu, Sudipta, Information Efficiency of U.S. Restaurant Stocks That Are Cross-Listed in Germany (June 24, 2013). Journal of Hospitality and Tourism Research, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2429089

Yoon Koh (Contact Author)

University of Houston - Conrad N. Hilton College of Hotel and Restaurant Management ( email )


United States
(713) 743-2655 (Phone)
(713) 743-3696 (Fax)

Seoki Lee

Independent ( email )

Sudipta Basu

Temple University - Department of Accounting ( email )

Philadelphia, PA 19122
United States
215.204.0489 (Phone)
215.204.5587 (Fax)

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