The Relative Performance of ADRs and U.S. stocks in October 2007 and Octobe

다국어 초록 (Multilingual Abstract)

We examine the performance of a sample of 116 ADRs and 536 U.S. stocks in October 2007 and October 2008 using a one-year buy and hold methodology. The stocks and ADRs in this study are listed on the U.S. stock exchanges. We compare their performance when the U.S. stock market was relatively high (October 2007) and sharply declining (October 2008). Our findings indicate that U.S. stocks and ADR returns differ depending on whether the U.S. stock market is relatively high or sharply declining. Generally, ADR returns are more volatile than stocks. When the market is high, ADRs perform better than U.S. stocks; and when the U.S. stock market is sharply declining, the performance is reversed. The performance of ADRs and stocks also vary by industry with the banking, communication, biotechnology, gold, and independent oil and gas industries being negatively associated with stocks compared to ADRs while the utilities, semiconductor, and insurance industries are positively associated with cumulative returns of stocks compared to ADRs.

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