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Premia In Emerging Market Adr Prices:Evidence From Chile

Author

Listed:
  • RODRIGO SAENS

    (Assistant Professor at the Economics and Finance Department of the Universidad de Talca, Chile.)

Abstract

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.

Suggested Citation

  • Rodrigo Saens, 1999. "Premia In Emerging Market Adr Prices:Evidence From Chile," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 2(1), pages 51-70.
  • Handle: RePEc:pch:abante:v:2:y:1999:i:1:p:51-70
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    File URL: http://eacc10.puc.cl/files/ABT/Contenidos/Vol-2-N1/3%20Saens.pdf
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. 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.
    4. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    5. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    6. 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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    Citations

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    Cited by:

    1. Augusto Castillo, 2004. "The announcement effect of bond and equity issues: evidence from Chile," Estudios de Economia, University of Chile, Department of Economics, vol. 31(2 Year 20), pages 177-205, December.

    More about this item

    Keywords

    ADR; Event Study; Capital Structure; Emerging Stock Market; Chile;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • 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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