The Impact of Cross‐Listing on the Home Market's Information Environment and Stock Price Efficiency

30 Pages Posted: 15 Jul 2016

See all articles by Olga Dodd

Olga Dodd

Auckland University of Technology

Aaron B. Gilbert

Auckland University of Technology - Faculty of Business & Law

Multiple version iconThere are 2 versions of this paper

Date Written: August 2016

Abstract

We empirically examine changes in information asymmetry and informational efficiency of cross‐listed stocks in their home market around a cross‐listing in the United States. We estimate intraday market microstructure measures of information asymmetry and price efficiency, and find that a U.S. cross‐listing significantly improves the quality of a firm's information environment and stock price efficiency in the home market. This improvement is stronger for cross‐listings that take place after the adoption of Sarbanes‐Oxley Act. Our results demonstrate that stricter disclosure from a U.S. cross‐listing is beneficial, in line with the legal and reputational bonding hypotheses.

Keywords: cross‐listing, information environment, information asymmetry, informational efficiency of stock prices

JEL Classification: G14, G23, G30

Suggested Citation

Dodd, Olga and Gilbert, Aaron B., The Impact of Cross‐Listing on the Home Market's Information Environment and Stock Price Efficiency (August 2016). Financial Review, Vol. 51, Issue 3, pp. 299-328, 2016. Available at SSRN: https://ssrn.com/abstract=2809971 or http://dx.doi.org/10.1111/fire.12110

Olga Dodd (Contact Author)

Auckland University of Technology ( email )

Auckland, 1142
New Zealand
+6499219999 ext 5423 (Phone)

Aaron B. Gilbert

Auckland University of Technology - Faculty of Business & Law ( email )

3 Wakefield Street
Private Bag 92006
Auckland Central 1020
New Zealand

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