Cross-Sectional Variation In The Long-Run Performance Of Capital-Rasing American Depositary Receipts And Their underlying Stocks
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!n this paper, we investigate the cross-sectional variation in the post-issuance long-run performance of American depositary receipts (ADRs) and their under(ving stocks. We focus on the factors that explain the cross-sectional variation in the returns. Our sample includes issues ofADRs by 109 non-US. companies from Asia. Africa. Europe and Latin America during the period 2000-200./. We }Ind that. overall, ADR issues and their underlying stocks underperform market benchmarks. We also }Ind that the degree to which the ADRY underperform depends on whether the underlying foreign company is undergoing privatization, the investor protection quali(v oftheforeign countr.v. the ADR~ offi:.-r si::e, and the listing market.
Abstract
!n this paper, we investigate the cross-sectional variation in the post-issuance long-run performance of American depositary receipts (ADRs) and their under(ving stocks. We focus on the factors that explain the cross-sectional variation in the returns. Our sample includes issues ofADRs by 109 non-US. companies from Asia. Africa. Europe and Latin America during the period 2000-200./. We }Ind that. overall, ADR issues and their underlying stocks underperform market benchmarks. We also }Ind that the degree to which the ADRY underperform depends on whether the underlying foreign company is undergoing privatization, the investor protection quali(v oftheforeign countr.v. the ADR~ offi:.-r si::e, and the listing market.
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