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The economic consequences of increased disclosure: Evidence from international cross-listings

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  • Bailey, Warren
  • Andrew Karolyi, G.
  • Salva, Carolina

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 stock cross-lists 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. We explore several alternative explanations for this surprising finding.
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  • Bailey, Warren & Andrew Karolyi, G. & Salva, Carolina, 2006. "The economic consequences of increased disclosure: Evidence from international cross-listings," Journal of Financial Economics, Elsevier, vol. 81(1), pages 175-213, July.
    • Handle: RePEc:eee:jfinec:v:81:y:2006:i:1:p:175-213
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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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