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RISS 인기검색어
- 검색키워드
- 저자 : Alma D Hales (검색결과 2 건)
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THE PERFORMANCE OF AMERICAN DEPOSITARY RECEIPTS: AN INDUSTRY ANALYSIS
Alma D Hales,Dave O Jackson People&Global Business Association 2008 Global Business and Finance Review Vol.13 No.2
This paper analyzes the industry performance of ADRs over eleven years (1995-2005) and the results show that ADR returns vary by industry grouping A comparison of ADR returns to a matched sample of domestic equity portfolios reveals that although both portfolios have similar average monthly returns. the associated risk varies. Reward-to-risk ratios suggest that an investor should hold hath domestic equity and ADR-industry portfolios to maximize returns. A shorter time frame (2000-2005) is considered in order to include technology-related industries which become more prominent in the 2000s. The results suggest that an investor should hold a portfolio that includes the following domestic industries. senuconductors. electronics. insurance. media, banking. food, electric, beverages. and oil/gas, and ADRs from the software. telecommunications. Internet. automotive. pharmaceuticals. airlines. and mining industries
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The Role of Liquidity in ADR Mispricing: Evidence from Latin America
Alma D, Hales People&Global Business Association 2015 Global Business and Finance Review Vol.20 No.1
This paper examines the role of liquidity in explaining mispricing for American Depository Receipt (ADR) issues from four Latin American countries: Argentina, Brazil, Chile, and Mexico. The results developed using panel regression with fixed effects indicate that the severe trading infrequency of some Latin American stocks can significantly influence estimates of liquidity’s impact on price deviations. When accounting for trading infrequency and controlling for holding costs and market uncertainty, the results reveal that liquidity of both the ADR and the underlying stock impact ADR mispricing. Furthermore, the evidence suggests the relationship between liquidity and price deviations is not driven by volatile conditions associated with the global financial crisis of 2008. Finally, this paper finds that the impact of liquidity on price deviations is asymmetric with decreases in liquidity exerting a stronger impact on prices than equivalent increases.
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