Does information vault Niagara Falls? Cross-listed trading in New York and Toronto

We document differential private information in cross-border asset pricing using the probability of informed trading (PIN) for Canadian shares traded on both sides of Niagara Falls. Relative to the New York Stock Exchange (NYSE), the Toronto Stock Exchange (TSX) has more informed trades and a larger information share. This cross-border information imbalance is associated with small but positive price premiums in New York as predicted by a model. The dynamics of these premiums depends on trade informativeness. Lastly, the PIN for TSX trading typically rises upon cross-listing on the NYSE, which is consistent with the negative event-study response.

► Our asset pricing model reasons that private information is priced in synchronously traded, Canadian cross-listed pairs. ► Relative to NYSE, Toronto Stock Exchange (TSX) has more informed trades and a larger information share. ► This cross-border differential information is associated with small but positive price premiums on NYSE. ► The dynamics of these premiums depends on trade informativeness. ► PIN for TSX trading typically rises upon cross-listing on NYSE, consistent with the negative event-study response.