International cross-listings by Australian firms: A stochastic dominance analysis of equity returns

This paper examines the share return and risk exposure consequences of Australian companies deciding to cross-list on major international stock exchanges. Due to limited sample availability of cross-listing transactions by Australian companies and concerns regarding non-normality, we apply bootstrapping and stochastic dominance techniques to evaluate share return and return variance changes following cross-listings. The findings provide evidence that firm share returns decline following the undertaking of cross-listings, with an associated fall in the post-listing variance in share returns. Measures of the importance and ownership concentration of stockmarkets in destination countries are found to be correlated with post-listing share return outcomes, however, no evidence of superior return or risk reduction benefits from firms cross-listing in countries providing stronger investor protection or higher accounting reporting and disclosure requirements is identified.