Premia In Emerging Market Adr Prices:Evidence From Chile
The impact of issuing American Depository Receipts on the wealth of Latin American shareholders has been rarely discussed in the specialized literature. The Event Study methodology is used to analyze the reaction to Public Announcement of ADRs. Using several model specifications the results robustly indicate that prices incorporate such announcement in a positive statistically and economically significant way with a cumulative average-abnormal return of 5% in three days and a 9% for a window of twenty one days.
Volume (Year): 2 (1999)
Issue (Month): 1 ()
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- Carlos Budnevich & Michael Basch, 1994. "Volatilidad y Eficiencia en el Mercado Accionario: Evidencia Reciente para el Caso Chileno," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 31(92), pages 59-86.
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- Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Mikkelson, Wayne H. & Partch, M. Megan, 1986. "Valuation effects of security offerings and the issuance process," Journal of Financial Economics, Elsevier, vol. 15(1-2), pages 31-60.
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