Review of Financial Studies Vol. 22 No. 4 2009
Strategic Disclosure and Stock Returns: Theory and Evidence from US Cross-Listing
Abstract
[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]
- Volume
- 22
- Issue
- 4
- Pages
- 1585-1620
- Sources
- bibtex:phds-export.bib