Cross listing, disclosure regimes, and trading volume sensitivity to stock returns

Haiyan Zhou () and Stephen Owusu-Ansah ()

Journal of Economics and Finance, 2014, vol. 38, issue 3, 383-406

Abstract: In this paper, we propose that investors of cross-listed firms use trading volume to revise their perception of firms’ value. We further propose that firms that cross list from low-disclosure regimes (usually from emerging economies) have higher trading volume sensitivity to returns than those that cross list from high-disclosure regimes (usually from developed economies), as those from low-disclosure regimes have relatively lax and less stringent disclosure requirements. We use a sample of foreign firms that are cross listed in the U.S. as exchange-listed American Depositary Receipts, adopted the international financial reporting standards (formerly international accounting standards), and filed Form 20-F reconciliation with the U.S. Securities and Exchanges Commission during the period of 1994–2005. Using these firms and a matched-sample of U.S. firms based on exchange, industry and firm size, we document results supporting our hypotheses. Our results have implications for policy makers, regulators and academics. Copyright Springer Science+Business Media, LLC 2014

Keywords: Cross Listing; Accounting Disclosure; Stock Returns; Trading Volume; Trading Volume Sensitivity to Stock Returns.; M41; G12 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s12197-011-9222-7

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