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Arbitraje con ADRs: un estudio de caso sectorial para empresas de Colombia, México, Brasil y Chile

Author

Listed:
  • Nicolás Acevedo

    ()

  • Daniela Fleisman

    ()

  • Angélica Montoya

    ()

  • Andrés Mauricio Mora

    ()

Abstract

El presente artículo es la continuación del artículo Generalidades de los ADRs: Un estudio de caso sectorial para empresas de Colombia, México, Brasil y Chile" y al igual que este, es un subproducto de la investigación "Arbitraje con ADRs: Un estudio de caso sectorial para empresas de Colombia, México, Brasil y Chile". El artículo se divide en dos partes, en la primera se trata la teoría sobre la ley del precio único y la hipótesis de los mercados eficientes, y en la segunda parte se abarca el tema de arbitraje con activos financieros desde la práctica, haciendo un ejercicio econométrico de arbitraje con ADRs. El objetivo de esta investigación es comprobar la existencia de diferenciales de precio entre las acciones y sus respectivos ADRs, lo que permitiría a los inversionistas obtener una ganancia libre de riesgo.AbstractThis research continues the paper "Generalidades de los ADRs: Un estudio de caso sectorial para empresas de Colombia, Mexico, Brasil y Chile" [ADRs generalities: a sectorial case study for companies in Colombia, Mexico, Brazil and Chile]. It is organized in two sections. The first one covers the unique price theory and the efficient markets hypothesis. In the second one, arbitrage conditions with ADRs are empirically evaluated. The objective is to prove the existence of price differentials between stocks and ADRs, which would allow investors to obtain a risk free return.a risk free return."

Suggested Citation

  • Nicolás Acevedo & Daniela Fleisman & Angélica Montoya & Andrés Mauricio Mora, 2011. "Arbitraje con ADRs: un estudio de caso sectorial para empresas de Colombia, México, Brasil y Chile," REVISTA ECOS DE ECONOMÍA, UNIVERSIDAD EAFIT, December.
  • Handle: RePEc:col:000442:009638
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    Keywords

    American Depositary Receipts (ADRs); ley del precio único; mercados eficientes; arbitraje; American Depositary Receipts (ADRs); law of one price; efficient markets; arbitrage;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F39 - International Economics - - International Finance - - - Other
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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