واکنش بازار به لیست متقابل : آیا بازار مقصد مهم است ؟

This paper examines (i) whether market reactions to cross-listings differ across destination markets and (ii) to what extent the following explanations for value creation around cross-listings can account for differences in market reactions across cross-listings on various destination markets: overcoming market segmentation, increased market liquidity, improved information disclosure, and better investor protection (“bonding”). We analyze 526 cross-listings from 44 different countries on eight major stock exchanges and document significant announcement returns of 1.3% on average for cross-listings on US exchanges, 1.1% on London Stock Exchange, 0.6% on exchanges in continental Europe, and 0.5% (not significant) on Tokyo Stock Exchange. We find evidence consistent with improved disclosure and bonding creating value for cross-listings on US exchanges, while overcoming segmentation and bonding are associated with higher announcement returns on the London Stock Exchange. The evidence is mixed for continental European exchanges and for Tokyo. Our results highlight the role of the destination market in value creation around cross-listings.

Cross-listings on US exchanges are associated with significantly positive stock market reactions (Foerster and Karolyi, 1999, Miller, 1999 and Doukas and Switzer, 2000). Recent research examines (and generally finds support of) four possible explanations for the valuation gains to overseas listings: overcoming market segmentation, increased market liquidity, improved information disclosure, and better investor protection (“bonding”).1 However, the recent literature largely ignores cross-listings on non-US exchanges. Neglecting these cross-listings is likely to lead to an incomplete understanding of the impact of cross-listings on firm value and of the sources of valuation changes around cross-listings. In this paper, we investigate whether the valuation gains to overseas listing on US and non-US Stock Exchanges depend on the characteristics of the destination market. We investigate the stock price reaction to 526 cross-listings from 44 different countries on eight major stock exchanges in the US, the UK, continental Europe, and Japan in the period 1982–2002. The key contribution of our paper is that we are able to test the power of each of the four explanations for the valuation benefits of cross-listings for the different destination markets. Our paper is related to the study of Sarkissian and Schill (2009). They investigate the long-term valuation effects of a large sample of cross-listings on different markets. They examine whether the valuation effects of cross-listings are permanent and find little evidence that they are. We add to their study in several ways. First, we examine the short-term stock price reaction at the time of announcement of the cross-listing instead of the abnormal firm performance during a 20-year period around the cross-listing. Although identifying reliable announcements dates is an important concern in our approach, looking at these much longer windows leads to observed valuation gains that may not be directly attributable to the cross-listing, since the long-term performance of companies depends on many different factors. Second, Sarkissian and Schill (2009) include country characteristics in regressions of long-run abnormal firm performance, but they do not compare the average valuation effects of cross-listings on individual destination markets as we do in our paper. Third, we allow the coefficients on country and firm characteristics to be different for different destination markets. This approach enables us to uncover which characteristics can explain differences in abnormal returns for which destination markets. Fourth, we include a substantially larger number of firm characteristics in our analysis. We find a statistically significant abnormal return around the announcement date of 0.98% on average for the overall sample. In line with expectations, cross-listings on US exchanges are associated with the highest valuation gains. US exchanges are generally considered to have the largest shareholder base, the deepest and most liquid markets, the most stringent disclosure requirements, and the strongest investor protection of financial markets worldwide. In particular, the abnormal return of cross-listings on Nasdaq or NYSE is 1.29% on average. Cross-listings in London, continental Europe, and Tokyo yield an average abnormal return of 1.09%, 0.58%, and 0.45%, respectively. The abnormal return for cross-listings in Tokyo is not statistically significant. Firms from emerging markets reap significantly larger benefits from cross-listing than firms from developed markets. Firms from emerging markets show an announcement return of 2.32%, while firms from developed economies show a return of 0.68% (difference significant at the 1% level). However, this simple classification does not allow for a distinction between various sources of value creation in cross-listings. Emerging markets are characterized by the combination of investment barriers, low market liquidity, low accounting standards, and weak investor protection. Therefore, we use a host of different market and firm characteristics to measure the importance of alternative explanations for value creation in cross-listings. Our evidence is broadly consistent with disclosure and investor protection playing a role in the value creation of cross-listings on US markets. Market segmentation and investor protection are significantly related to abnormal returns for firms cross-listing in London. Measures of the four explanations of value creation suggested by the literature have little power in explaining cross-listing returns for Europe and Tokyo. These results raise the question which underlying forces drive differences in value creation on these exchanges. We invite future theoretical and empirical work to address this issue.

This paper presents evidence that the destination market mat- ters in the valuation effects of cross-listings. First, we show that cross-listings on more developed markets create more value for shareholders. The average cumulative abnormal return around the announcement date of the cross-listing is higher for US ex- changes than for London. Abnormal returns for continental Euro- pean markets and Tokyo are lower still. Second, the extent to which country-specific and firm-specific proxies for alternative po- tential sources of value creation are able to explain cross-sectional variation in abnormal returns differs across destination markets. For NYSE and Nasdaq, variables related to investor protection have significant explanatory power. For London, our evidence is consis- tent with an important role for market segmentation and investor protection. Our analysis generates limited insight into the explanations of cross-sectional differences in market reactions to cross-listings in Europe and Japan. Further theoretical and empirical research is needed to shed light on the costs and benefits of cross-listings on non-Anglo Saxon equity markets