We examine market behavior around earnings announcements to understand the consequences of the increased disclosure that non-U.S. firms face when listing shares in the U.S. We find that absolute return and volume reactions to earnings announcements typically increase significantly once a company cross-lists in the U.S. Furthermore, these increases are greatest for firms from developed countries and for firms that pursue over-the-counter listings or private placements, which do not have stringent disclosure requirements. Additional tests support the hypothesis that it is changes in the individual firm's disclosure environment, rather than changes in its market liquidity, ownership, or trading venue, that explain our findings. Abstract We study return volatility and trading volume at times of earnings announcements to see if the increased disclosure faced by non-U.S. firms when listing shares in the U.S. has economically significant consequences. We find a surprising change in market behavior around earnings releases: return and volume reactions to earnings announcements typically increase significantly once a stock cross-lists in the U.S. Furthermore, the change in information environment is greatest for firms from developed countries and firms that do not list on an organized stock exchange. The increased market reaction to earnings shocks after cross listing is particularly prominent for firms from developed countries with relatively weak disclosure requirements. JEL Classification: G14, G15, G32
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