Title: Multiple market asset trading during information arrival: US depository receipts and equity share market response to firm disclosures

Authors: Michael H. Senteney; David L. Senteney

Addresses: Ohio University, Athens, OH 45701, USA ' Ohio University, Athens, OH 45701, USA; California State University, San Bernardino, CA 92407, USA

Abstract: The purpose of this study is to employ zero-investment approaches in order to jointly investigate the usefulness of non-US firms' earnings releases and subsequent SEC Form 20-F disclosures in both the US ADR and home country equity share markets. Results suggest that both markets exhibit abnormal returns associated with the earnings and SEC Form 20-F disclosure dates, but the response to the 20-F filing is less pronounced than the earnings release. Furthermore, we find indications that the equity share market response exceeds the US ADR market response for both the earnings release and the 20-F disclosure, suggesting that US ADR listing may provide new information to equity market investors and improve the price discovery process for home country equity shares.

Keywords: US depository receipts; ADRs; SEC Form 20-F disclosures; US Securities and Exchange Commission; earnings; firm disclosures; multi-market trading; cross-listing; price discovery.

DOI: 10.1504/IJAF.2020.114953

International Journal of Accounting and Finance, 2020 Vol.10 No.2/3, pp.143 - 174

Received: 09 Jan 2020
Accepted: 07 Aug 2020
Published online: 12 May 2021 *

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