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Book part
Publication date: 11 December 2006

Mark Schaub and Bruce L. McManis

We utilize cross-sectional regression analysis to identify key variables affecting the initial three-year holding period returns of foreign equities traded as American…

Abstract

We utilize cross-sectional regression analysis to identify key variables affecting the initial three-year holding period returns of foreign equities traded as American Depository Receipts (ADRs) on the New York Stock Exchange (NYSE). Our results suggest that U.S. market index movements and foreign exchange rates are the main determinants of the initial three-year holding period returns for 285 ADRs listed from January 1990 through December 2002. The determinants vary once the sample is broken into subsets comparing ADRs issued before 1998 to those issued afterwards, ADRs issued as IPOs versus SEOs, and Asia Pacific ADRs versus European and Latin American ADRs. We also find that U.S. interest rate movements and type of ADR issue (IPO versus SEO) provide little explanatory power for ADR returns overall.

Details

Research in Finance
Type: Book
ISBN: 978-1-84950-441-6

Article
Publication date: 1 January 2006

DeQing Diane Li and Kenneth Yung

Though stock portfolio return autocorrelation is well documented in the literature, its cause is still not clearly understood. Presently, evidence of private information…

Abstract

Purpose

Though stock portfolio return autocorrelation is well documented in the literature, its cause is still not clearly understood. Presently, evidence of private information induced stock return autocorrelation is still very limited. The difficulty in obtaining foreign country information by small investors makes the private information of institutional investors in the ADR (American Depository Receipt) market more significant and influential. As such, the ADR market provides a favorable environment for testing the effect of private information on return autocorrelation. The purpose of this paper is to address this issue.

Design/methodology/approach

In this paper, ADRs are sorted annually into three groups based on market equity capitalization. Within each capitalization group, ADRs are further sorted into three groups based on the fraction of shares held by institutional investors. Each ADR is assigned to one of the nine groups and group membership is rebalanced each year. The return autocorrelation of individual ADR securities and ADR portfolios for each group are then calculated.

Findings

The results demonstrate that ADR individual stock and portfolio daily return autocorrelations are positively related to institutional ownership. It is also found that other explanations, such as non‐synchronous trading, bid‐ask spread and volatility of ADR, cannot explain the positive relation between daily return autocorrelations and institutional ownership of ADR.

Originality/value

Since ADR market is more suitable than other markets for testing the role of private information, stronger and clearer results are got accordingly. This paper suggests that trading strategy based on private information of institutional investors can lead to stock return autocorrelation in ADR daily returns.

Details

Review of Accounting and Finance, vol. 5 no. 1
Type: Research Article
ISSN: 1475-7702

Keywords

Article
Publication date: 1 May 2006

Mark Schaub and S.P. Uma Rao

This study examines the initial two‐week excess performance relative to the S&P 500 Index of American Depository Receipts (ADRs) listed on the New York Stock Exchange from…

680

Abstract

Purpose

This study examines the initial two‐week excess performance relative to the S&P 500 Index of American Depository Receipts (ADRs) listed on the New York Stock Exchange from January 1987 to September 2001 to determine whether short‐term wealth effects exist.

Design/methodology/approach

Standard intial public offering methodology is used to test for significant excess performance.

Findings

Results for the entire sample of 281 ADRs suggest the initial excess performance was not significant. However, after segmenting the sample, emerging market ADRs significantly outperformed the S&P 500 by over three per cent while developed market ADRs underperformed by 0.92 per cent. Also, Latin American ADRs outperformed the market index by nearly five per cent during the first two weeks after issue while European ADRs underperformed the market by nearly one per cent. Asia Pacific ADRs underperformed the S&P 500, but not significantly in the early trading.

Research limitations/implications

The findings suggest emerging market ADRs, particularly those from the Latin American region, perform well in the early trading while developed market ADRs do not. Future research may identify variables that affect or explain ADR excess returns.

Originality/value

The paper provides insights into the types of ADRs that accumulate wealth in the short term investment horizon.

Details

Managerial Finance, vol. 32 no. 5
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 7 April 2015

Mark Schaub

The purpose of this paper is to determine what types of short-term wealth effects accrued to European and Latin American American Depository Receipt (ADR) investors and…

Abstract

Purpose

The purpose of this paper is to determine what types of short-term wealth effects accrued to European and Latin American American Depository Receipt (ADR) investors and whether these were affected by the type of issue (initial public offerings (IPO) vs seasoned equity offerings (SEO)) or the date of issue (1990s vs 2000s).

Design/methodology/approach

Standard ADR and IPO excess return methodology is utilized to compute and test excess returns against a US investment benchmark. This methodology is used in many ADR and IPO studies.

Findings

European SEOs listed in the 2000s did better than those listed in the 1990s. The results for European IPOs were the opposite. Latin American SEOs did better relative to the US market index for issues listed in the 1990s as compared to those listed in the 2000s. Once again the results for Latin American IPOs were the opposite.

Originality/value

This study differs from previous studies by emphasizing differences in short-term return behaviour for Latin American and European ADRs listed during a decade of US market stability (the 1990s) vs those listed in the 2000s when the US stock market encountered times of extreme return volatility. These timing differences affect not only the returns of all the ADRs but also show how ADR IPOs and SEOs tend to have opposite return behaviour based on timing. These return differences are important because the major benefits of portfolio diversification are achieved when asset returns are less correlated with each other.

Details

International Journal of Managerial Finance, vol. 11 no. 2
Type: Research Article
ISSN: 1743-9132

Keywords

Article
Publication date: 1 August 2005

Simon Gibbon and Najat Khalifa

Adverse drug reactions (ADRs) are increasingly recognised as an important cause of morbidity and mortality. Psychiatric patients, and especially those in forensic units…

Abstract

Adverse drug reactions (ADRs) are increasingly recognised as an important cause of morbidity and mortality. Psychiatric patients, and especially those in forensic units, may be at increased risk of ADRs. Detection and documentation of previous ADRs are essential in reducing the risk of future ADRs. A baseline audit was undertaken, and subsequently the recording of ADRs on the drug cards of patients in a forensic psychiatry unit was re‐audited. Poor levels of documentation of ADRs were found. Following the baseline audit, a number of simple measures were undertaken which improved performance at re‐audit.

Details

The British Journal of Forensic Practice, vol. 7 no. 3
Type: Research Article
ISSN: 1463-6646

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Article
Publication date: 22 February 2013

Mark Schaub

The purpose of this study is to determine whether Latin American ADRs provided US investors with international diversification benefits as determined by comparing excess…

400

Abstract

Purpose

The purpose of this study is to determine whether Latin American ADRs provided US investors with international diversification benefits as determined by comparing excess returns from issues listed in the 1990s to those listed in the 2000s. A further sample breakdown compares IPO returns to SEO returns.

Design/methodology/approach

Standard ADR return methodology used in many previous studies is utilized to compute and test excess returns. This methodology is the same as the standard methodology used in IPO studies.

Findings

The total Latin American ADR sample returned roughly the same as the S & P 500 index for the three year holding period; however, those issued before 2000 underperformed the index by nearly 19 percent while those listed after January 1, 2000 outperformed the index by nearly 58 percent. The excess returns of IPOs were nearly 50 percent less than SEOs when compared to the index. Also, both IPOs and SEOs listed after the new millennium began drastically outperformed those listed in the 1990s (when compared to the S & P 500 index).

Originality/value

This study differs from previous studies by emphasizing differences in return behaviour for Latin American ADRs listed during a decade of steady sustained growth (the 1990s) versus those listed in the 2000s when the US stock market encountered times of extreme return volatility. The implications of the return differences help determine whether these ADRs provided investors with true diversification benefits. Also, the dataset includes fresh results for ADRs listed during and trading through the mortgage crisis of 2008.

Details

International Journal of Managerial Finance, vol. 9 no. 1
Type: Research Article
ISSN: 1743-9132

Keywords

Book part
Publication date: 27 September 2011

Narjess Boubakri, Olfa Hamza and Maher Kooli

Purpose – Study the firm-level and country-level determinants of US institutional investors' holdings in American Depositary Receipts (ADRs) from emerging markets.…

Abstract

Purpose – Study the firm-level and country-level determinants of US institutional investors' holdings in American Depositary Receipts (ADRs) from emerging markets.

Methodology/approach – We use a sample of 112 firms from emerging markets that listed as ADRs between 1990 and 2005. Rather than adopting the issuer's perspective, we take in this study the point of view of the investor and we focus on the US institutional investors' participation in ADR firms.

Findings – We find that institutional investors hold higher stakes in foreign firms that are listed on more restrictive exchanges, in large, privatized, more liquid, and more transparent firms. Mutual investors and other institutional investors also prefer firms from countries with weaker institutional environments and from civil law legal tradition. Controlling for country-level determinants increases significantly the explanatory power of the model.

Social implications – Our results have important implications for firms from emerging markets seeking to attract foreign institutional investors.

Originality/value of the chapter – We focus on the motivations of investors when they choose to invest in the ADR, rather than on the ADR issuer motivation. In addition, we consider all types of institutional investors that acquire a participation in an ADR firm.

Details

Institutional Investors in Global Capital Markets
Type: Book
ISBN: 978-1-78052-243-2

Keywords

Book part
Publication date: 10 November 2020

Mark Schaub and Garland Simmons

American depository receipts (ADRs) listed on the New York Stock Exchange during the 1990s and 2000s are compared to determine how well they performed versus the US index…

Abstract

American depository receipts (ADRs) listed on the New York Stock Exchange during the 1990s and 2000s are compared to determine how well they performed versus the US index and respective regional indexes utilizing three-year holding period excess returns. Results suggest that ADRs listed in the 2000s perform better than those in the 1990s. Also, seasoned equity offerings performed better than initial public offerings. Regression analysis indicated the best predictors of ADR performance are the returns of the respective regional index where the ADR-listing firm is headquartered, the date of issue (2000s vs 1990s), and whether the ADR was from an emerging economy.

Details

Financial Issues in Emerging Economies: Special Issue Including Selected Papers from II International Conference on Economics and Finance, 2019, Bengaluru, India
Type: Book
ISBN: 978-1-83867-960-6

Keywords

Open Access
Article
Publication date: 10 May 2022

Stefan Cronholm and Hannes Göbel

Action design research (ADR) has become widely accepted as a prominent research method within information systems when managing design-oriented research projects. One…

Abstract

Purpose

Action design research (ADR) has become widely accepted as a prominent research method within information systems when managing design-oriented research projects. One purpose of the ADR method is to provide methodological guidance for the building of IT artefacts. However, several scholars have reported a lack of guidance of method support at the micro level. This article aims to complement the macro level of the ADR method by integrating prescriptive method support at the micro level.

Design/methodology/approach

A qualitative approach including direct content analysis. An empirical ADR project was analysed in order to identify method support that could be integrated into the ADR method.

Findings

Method support at the micro level was identified for all the stages of the ADR method. The method support consists of procedural support, guiding concepts, and various techniques for the documentation of project tasks stated in the ADR method.

Research limitations/implications

The contribution to theory consists of aspects concerning the integration of macro and micro levels: relationships between normative and prescriptive support, continuous focus shifts, and method completeness.

Practical implications

The contribution to practice consists of explicit suggestions for method support that could be integrated into the ADR method.

Originality/value

This study extends previously provided knowledge by offering empirical evidence concerning theoretical constructions consisting of explicit relationships between ADR tasks and integrated method support, and elaboration on the integration of macro and micro levels.

Details

International Journal of Managing Projects in Business, vol. 15 no. 8
Type: Research Article
ISSN: 1753-8378

Keywords

Article
Publication date: 11 March 2022

Fanglin Shen, Quantong Guo, Hongyan Liang and Zilong Liu

The purpose of this paper is to investigate the relationship between investors' divergence of opinions and the asset prices of foreign stocks and also examine the effect…

Abstract

Purpose

The purpose of this paper is to investigate the relationship between investors' divergence of opinions and the asset prices of foreign stocks and also examine the effect of home market country-level factors on the influence of divergency of opinions on stock price.

Design/methodology/approach

The authors employ panel data estimation with fixed effects to examine the host market response in divergent opinions to the earnings announcements. The paper uses the American Depositary Receipts (ADRs) of 42 countries from 1985 to 2011.

Findings

The authors find a negative relationship between differences of opinions and excess quarterly earnings announcement returns, and investors do process information asymmetrically based on good and bad earnings shocks. In addition, the authors find the negative relationship between divergent opinions and excess earnings announcement returns in ADRs is more pronounced in countries with short-sales restrictions, while other home-market country-level factors – the enforcement of insider trading law, legal origin, investor protection and rating on accounting standard – do not influence the relationship between investors' divergency of opinion and stock returns.

Originality/value

This paper is among the first to bring asymmetric effects on convergence in Miller framework and enhance the understanding of price convergence documented in Miller (1977). In addition, this study incorporates home-market country-level factors in explaining the relationship between investors' divergency of opinions and stock returns.

Details

International Journal of Managerial Finance, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1743-9132

Keywords

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