The local market perception of firm risks during cross‐listing events

Kathryn Schumann‐Foster, Elias Semaan and Hui Sono

The Financial Review, 2020, vol. 55, issue 2, 221-246

Abstract: We examine the local investors’ perceptions on the relative idiosyncratic risks around cross‐listing events. We find that increases in relative firm‐specific risks around the listing date are temporary and small for Level I American depositary receipts (ADRs) while Level III ADRs have the most variations. For exchange‐listed ADRs from emerging markets, there is a significant decrease in the relative firm‐specific risk in the year prior to listing, which increases during the cross‐listing, while there are only significant increases in relative firm‐specific risks for developed market firms. We interpret these as evidences of negative relationship between firm opaqueness and relative firm‐specific risks.

Date: 2020
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