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 - Samuel Curtis Johnson Graduate School of Management

Carolina Salva

University of Neuchatel

Multiple version iconThere are 2 versions of this paper

Date Written: February 2005

Abstract

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

Suggested Citation

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
387 Sage Hall
Ithaca, NY 14853-6201
United States
607-255-4627 (Phone)
607-254-4590 (Fax)

HOME PAGE: http://courses.cit.cornell.edu/wbb1/

Fudan University - Fanhai International School of Finance and China Institute of Economics and Finance ( email )

China

George Andrew Karolyi

Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )

Ithaca, NY 14853
United States

Carolina Salva

University of Neuchatel ( email )

AL Breguet 2
CH-2000 Neuchatel
Switzerland

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