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Mexican ADRs in the 90s: as good as expected?

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  • Francois Boye

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    (Independent consultant)

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    Abstract

    In the 90s, Mexican firms issued more than ever American Depository Receipts (ADRs), i.e, certificates of Mexican stocks, traded in U.S. markets and managed by U.S. depositories. This paper is about testing the top Mexican firms’ ADR for ability to: a) replicate the ups and downs of U.S. markets; b) outperform their U.S. peers; c) be an opportunity for diversification away from their U.S. peers. This paper’s finding is that only Telmex’s ADR passes the tests a), b) and c).

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    Bibliographic Info

    Article provided by Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines in its journal Revista de Analisis Economico.

    Volume (Year): 22 (2007)
    Issue (Month): 1 (June)
    Pages: 93-120

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    Handle: RePEc:ila:anaeco:v:22:y:2007:i:1:p:93-120

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    Related research

    Keywords: ADRs; Emerging Markets; Portfolio Selection; Opportunity for Diversification; Test of Spanning.;

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    1. Harvey, Campbell R, 1995. "The Risk Exposure of Emerging Equity Markets," World Bank Economic Review, World Bank Group, vol. 9(1), pages 19-50, January.
    2. Huberman, Gur & Kandel, Shmuel, 1987. " Mean-Variance Spanning," Journal of Finance, American Finance Association, vol. 42(4), pages 873-88, September.
    3. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    4. Fama, Eugene F & French, Kenneth R, 1995. " Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 131-55, March.
    5. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
    6. Friend, Irwin & Westerfield, Randolph, 1980. " Co-Skewness and Capital Asset Pricing," Journal of Finance, American Finance Association, vol. 35(4), pages 897-913, September.
    7. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
    8. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    9. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
    10. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, 06.
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