Equity Market Response to Form 20-F Disclosures for ADR Firms
Bibliographic record
Abstract
Non-U.S. companies may list securities in U.S. stock exchanges, provided that they file a set of audited financial statements as well as comply with extensive SEC disclosure requirements. We speculate that non-U.S. firms who choose to be listed in the major U.S. exchanges will comply with the supplemental disclosure requirements in order to have the supplemental disclosures impounded in the home country equity share price via the ADR share price in the manner described by Fishman and Hagerty (1989). We investigate the information content of non-U.S. firm’s earnings released vis-à-vis the SEC Form 20-F filings in both ADR and home country equity share markets. We employed models of the ADR and equity security share earnings release date abnormal returns controlling for the incremental firm-specific SEC Form 20-F disclosures required of exchange listed ADRs. Our results suggest that both ADR and home country equity share markets exhibit abnormal returns associated with the earnings release date. Particularly noteworthy, however, is the association between magnitudes of U.S. GAAP earnings and magnitudes of SEC Form 20-F filing date. Abnormal returns are significantly larger than the association between magnitudes of reported earnings and earnings report date abnormal returns in both the ADR and home country equity share markets. Our results seemingly suggest that the U.S. ADR share market’s response dominates the cross-market information flow, driving the home country equity share market response in a manner consistent with the notion that U.S. GAAP conveys price relevant information beyond reported earnings for non-U.S. firms.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.003 | 0.025 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.002 | 0.001 |
| Open science | 0.001 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.006 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".