The Value of Information in Cross-Listing

32 Pages Posted: 16 Mar 2007 Last revised: 31 Oct 2011

See all articles by Arturo Bris

Arturo Bris

IMD International; European Corporate Governance Institute (ECGI); Yale University - International Center for Finance

Salvatore Cantale

Tulane University - A.B. Freeman School of Business

Emir Hrnjic

National University of Singapore

George Nishiotis

University of Cyprus-Faculty of Economics and Management-Department of Accounting and Finance

Date Written: September 1, 2009

Abstract

We exploit a unique feature of the organizational structure of the London Stock Exchange that allows for direct tests of the market segmentation and liquidity hypotheses against the information based hypotheses of cross-listing. We identify a sample of international firms that are admitted to trading on London's SEAQ-I platform without their involvement. We estimate the valuation effects of this multi-market trading event and compare them to those enjoyed by firms that pursue a London Stock Exchange cross-listing. A cross-sectional abnormal returns analysis documents strong evidence in support of significant information driven valuation benefits and limited support for the effects of market segmentation and liquidity. An analysis of the firms' home market price volatility corroborates the results.

Keywords: International Finance, Cross-Listing, Information

JEL Classification: G15

Suggested Citation

Bris, Arturo and Cantale, Salvatore and Hrnjic, Emir and Nishiotis, George P., The Value of Information in Cross-Listing (September 1, 2009). Available at SSRN: https://ssrn.com/abstract=972049 or http://dx.doi.org/10.2139/ssrn.972049

Arturo Bris

IMD International ( email )

Ch. de Bellerive 23
P.O. Box 915
CH-1001 Lausanne
Switzerland

European Corporate Governance Institute (ECGI)

c/o ECARES ULB CP 114
B-1050 Brussels
Belgium

HOME PAGE: http://www.ecgi.org

Yale University - International Center for Finance ( email )

Box 208200
New Haven, CT 06520
United States

Salvatore Cantale (Contact Author)

Tulane University - A.B. Freeman School of Business ( email )

7 McAlister Drive
New Orleans, LA 70118
United States
504-865-5032 (Phone)
504-865-6751 (Fax)

Emir Hrnjic

National University of Singapore ( email )

1 Business Link
Singapore, 117592
Singapore
+65 6516 7824 (Phone)

George P. Nishiotis

University of Cyprus-Faculty of Economics and Management-Department of Accounting and Finance ( email )

Cyprus

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