Business Publications
The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the U.S.
Document Type
Article
Publication Date
12-2002
Volume
54
Issue
3
Journal
Journal of Finance
First Page
981
URL with Digital Object Identifier
https://doi.org/10.1111/0022-1082.00134
Last Page
1013
Abstract
Non-U.S. firms cross-listing shares on U.S. exchanges as American Depositary Receipts earn cumulative abnormal returns of 19 percent during the year before listing, an additional 1.20 percent during the listing week, but incur a loss of 14 percent during the year following listing. We show how these unusual share price changes are robust to changing market risk exposures and are related to an expansion of the shareholder base and to the amount of capital raised at the time of listing. Our tests provide support for the market segmentation hypothesis and Merton’s (1987) investor recognition hypothesis
Notes
This is the author-accepted version of an article published in the Journal of Finance. The final published article can be found at https://doi.org/10.1111/0022-1082.00134
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