Strategic Disclosure and Stock Returns: Theory and Evidence from US Cross-Listing

• 成果类型: Article
• 署名作者: Goto, Shingo; Watanabe, Masahiro; Xu, Yan
• 署名单位: Rice University; University of South Carolina System; University of South Carolina Columbia; University of Rhode Island
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn013
• 发表日期: 2009
• 页码: 1585
• 关键词: TRADING VOLUME; UNITED-STATES; economic consequences; MARKET-SEGMENTATION; EQUITY MARKETS; panel-data; FIRMS; INFORMATION; earnings; cost

摘要

When a firm exercises discretion to disclose or withhold information (strategic disclosure), risk-averse investors command higher expected returns when expected cash flows decrease, producing a negative correlation between these expectations. Moreover, stock returns exhibit stronger reversal than they do when full disclosure is enforced. We propose a model that makes these predictions and provide consistent evidence using a panel of foreign firms that list American Depositary Receipts (ADRs). We find significant shifts in the time-series properties of stock returns for firms that undergo large changes in disclosure environments, such as those cross-listing on the NYSE/AMEX/NASDAQ and those from less-developed/emerging markets and code-law countries.