Previous research has argued that the degree of co-movement of stock returns (the R² of a market regression) at country-level can be explained by the interaction of firmspecific and market-wide information. The R² measure has been used to investigate a number of issues of potentially great...

This paper reports evidence on cross-border accounting information transfers associated with profit warning announcements. Using a sample of firms from 29 European countries, we find that negative earnings surprises disclosed by firms in one country affect investors’ perceptions of comparable...

Recent research uses the degree of stock returns co-movement as a measure of the quality of a country’s information environment. It has been argued that stronger property rights, better corporate governance regimes and more efficient enforcement mechanisms lead to prices incorporating more...