The impact of SEC reporting changes on information acquisition and market dynamics: Evidence from foreign cross‐listed firms
研究了2007年美国SEC取消IFRS交叉上市企业20-F表对账要求后，投资者减少获取延迟的20-F表，转而关注更及时的本国盈利公告，并导致ADR市场反应增强和跨市场联动性上升。
Abstract This paper examines how a change in disclosure regulation influences investors' information acquisition and trading across multiple markets. We leverage the 2007 elimination of the Form 20‐F reconciliation requirement for cross‐listed firms that prepare financial statements under IFRS. Using a difference‐in‐differences research design, we show that investors acquire fewer Form 20‐Fs of IFRS‐reporting cross‐listed firms when these forms are not filed in a timely manner relative to the home‐country earnings announcement. We also find an increased acquisition of earnings‐specific 6‐Ks, indicating a shift in investor attention from delayed and unreconciled 20‐Fs to more timely earnings releases in the home country. Furthermore, we find that American Depositary Receipt (ADR) market reactions to local earnings announcements increase after the deregulation, especially for firms with strong home‐country institutions. In addition, we find that the deregulation increases return co‐movement between the US ADR market and the home‐country stock market for IFRS filers' shares. Our results bring novel insights regarding the cross‐market impact of the disclosure regulation change.