Cross listing,disclosure regimes,and trading volume sensitivity to stock returns |
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Authors: | Haiyan Zhou Stephen Owusu-Ansah |
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Institution: | 1. Department of Accounting and Business Law, College of Business Administration, The University of Texas–Pan American, 1201 West University Drive, Edinburg, TX, 78539-2999, USA 2. Department of Accountancy, UHB 4077, College of Business and Management, University of Illinois Springfield, One University Plaza, MS UHB 4093, Springfield, IL, 62703-5407, USA
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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. |
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