Adrs and U.S. Market Sentiment
29 Pages Posted: 19 Jul 2001
Date Written: undated
Abstract
ADR share prices tend to deviate from their parity values under foreign ownership restrictions and other capital barriers. Time series of ADR premiums or discounts under such capital barriers provide an opportunity to examine the existence of a U.S. specific factor or U.S. investor sentiment. This paper studies a sample of ADRs from emerging countries and finds that ADR premium changes tend to comove with the aggregate U.S. market returns. This result suggests the existence of a U.S. specific factor or U.S. investor sentiment, echoing Bodurtha, Kim and Lee's result in their study of closed-end country fund premiums.
Keywords: ADRs, ownership restriction, investor sentiment
JEL Classification: G14, G15, G20
Suggested Citation: Suggested Citation
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