American depository receipts and calendar anomalies
This is the first study to examine the presence of calendar anomalies in American Depository Receipts (ADR) returns. Existing literature has documented several calendar anomalies in US and foreign markets. ADRs, however, represent a unique class of securities because they represent the ownership of stock of a foreign firm, but they are traded on US markets. We use the Standard & Poor's (S&P) ADR index returns for the period 1998-2004 to look for the presence of four important anomalies: the January effect, the day-of-the-week effect, the Turn-Of-The-Month (TOTM) effect and the holiday effect. For comparison, we do the same analysis on S&P 500 index returns. While we do not find evidence of any anomalies for S&P 500 index returns, we do find evidence to support the TOTM anomaly in the S&P ADR index returns. These results suggest that the market for ADRs may not be as efficient as the broader US stock market.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 19 (2009)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:19:y:2009:i:1:p:17-25. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst)
If references are entirely missing, you can add them using this form.