Cross-Listings, Disclosure Intensity, and Foreign Investors’ Trading Advantage*

This study examines how disclosure-intensive cross-listing regimes affect information asymmetry between foreign and domestic investors in an emerging equity market where foreign investors initially hold informational advantages. Using intraday trade and order data from the Korea Exchange over the period 2014-2016, we examine how variations in disclosure intensity affect the magnitude and persistence of foreign investors' trading advantages. Foreign investors consistently earn higher trading profits than domestic investors, indicating the existence of informational advantages. However, these advantages are less significant for firms cross-listed on the New York Stock Exchange, which are subject to stringent disclosure and enforcement standards. Profit decomposition shows that the decline in foreign investors' relative performance is concentrated in long-term profits, while short-term profits remain modestly enhanced, consistent with faster information incorporation and the shortened lifespan of long-lived private information. Overall, our results indicate that disclosure-intensive cross-listings primarily affect the persistence, rather than the existence, of informational advantages.