International Diversification with American Depository Receipts (ADRs)
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Kabir, M. Humayun & Hassan, M. Kabir & Maroney, Neal, 2011. "International diversification with American Depository Receipts (ADRs)," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 98-114, January.
References listed on IDEAS
- De Santis, Giorgio & Gerard, Bruno, 1997. "International Asset Pricing and Portfolio Diversification with Time-Varying Risk," Journal of Finance, American Finance Association, vol. 52(5), pages 1881-1912, December.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Neal Maroney & Aris Protopapadakis, 2002. "The Book-to-Market and Size Effects in a General Asset Pricing Model: Evidence from Seven National Markets," Review of Finance, European Finance Association, vol. 6(2), pages 189-221.
- Harvey, Campbell R, 1995.
"Predictable Risk and Returns in Emerging Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
- Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
- Doidge, Craig & Karolyi, G. Andrew & Stulz, Rene M., 2004.
"Why are foreign firms listed in the U.S. worth more?,"
Journal of Financial Economics, Elsevier, vol. 71(2), pages 205-238, February.
- Craig Doidge & G. Andrew Karolyi & Rene M. Stulz, 2001. "Why are Foreign Firms Listed in the U.S. Worth More?," NBER Working Papers 8538, National Bureau of Economic Research, Inc.
- Huberman, Gur & Kandel, Shmuel, 1987. "Mean-Variance Spanning," Journal of Finance, American Finance Association, vol. 42(4), pages 873-888, September.
- Ramazan Genay & Faruk Seļuk & Brandon Whitcher, 2003. "Systematic risk and timescales," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 108-116.
- Kim, Sangbae & In, Francis, 2005. "The relationship between stock returns and inflation: new evidence from wavelet analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 435-444, June.
- William Goetzmann & Jonathan Ingersoll & Matthew I. Spiegel & Ivo Welch, 2002.
"Sharpening Sharpe Ratios,"
NBER Working Papers
9116, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Jonathan E. Ingersoll, Jr. & Matthew I. Spiegel & Ivo Welch, 2002. "Sharpening Sharpe Ratios," Yale School of Management Working Papers ysm29, Yale School of Management.
- William N. Goetzmann & Jonathan E. Ingersoll Jr. & Matthew I. Spiegel & Ivo Welch, 2002. "Sharpening Sharpe Ratios," Yale School of Management Working Papers ysm273, Yale School of Management.
- Ferson, Wayne E & Foerster, Stephen R & Keim, Donald B, 1993. "General Tests of Latent Variable Models and Mean-Variance Spanning," Journal of Finance, American Finance Association, vol. 48(1), pages 131-156, March.
- Kim, Minho & Szakmary, Andrew C. & Mathur, Ike, 2000. "Price transmission dynamics between ADRs and their underlying foreign securities," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1359-1382, August.
- Vihang Errunza & Ked Hogan & Mao‐Wei Hung, 1999. "Can the Gains from International Diversification Be Achieved without Trading Abroad?," Journal of Finance, American Finance Association, vol. 54(6), pages 2075-2107, December.
- Gençay, Ramazan & Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon J., 2001. "An Introduction to Wavelets and Other Filtering Methods in Finance and Economics," Elsevier Monographs, Elsevier, edition 1, number 9780122796708.
- Robert R. Grauer and Nils H. Hakansson., 1987. "Gains from International Diversification: l968-85 Returns on Portfolios of Stocks and Bonds," Research Program in Finance Working Papers 168, University of California at Berkeley.
- Bekaert, Geert & Urias, Michael S, 1996.
"Diversification, Integration and Emerging Market Closed-End Funds,"
Journal of Finance, American Finance Association, vol. 51(3), pages 835-869, July.
- Geert Bekaert & Michael S. Urias, 1995. "Diversification, Integration and Emerging Market Closed-End Funds," NBER Working Papers 4990, National Bureau of Economic Research, Inc.
- Christine X. Jiang, 1998. "Diversification with American Depository Receipts: The Dynamics and the Pricing Factors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(5&6), pages 683-699.
- Christine X. Jiang, 1998. "Diversification with American Depository Receipts: The Dynamics and the Pricing Factors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(5‐6), pages 683-699, June.
- Choi, Yoon K. & Kim, Dong-soon, 2000. "Determinants of American Depositary Receipts and their underlying stock returns: Implications for international diversification," International Review of Financial Analysis, Elsevier, vol. 9(4), pages 351-368.
- Grauer, Robert R. & Shen, Frederick C., 2000. "Do constraints improve portfolio performance?," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1253-1274, August.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Yasser Alhenawi & M. Kabir Hassan, 2023. "How do investors price accrual risk during crises?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4684-4706, October.
- Jing Chen & Junxiong Fang & Chunqiu Zhang & Yi Zhou, 2023. "Homemade international diversification under economic policy uncertainty," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 31-62, February.
- Huo, Weidong & Fu, Chengbo & Huang, Ying & Zheng, Steven Xiaofan, 2018. "The valuation of ADR IPOs," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 215-226.
- O'Hagan-Luff, Martha & Berrill, Jenny, 2015. "Why stay-at-home investing makes sense," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 1-14.
- Ghaffar, Hamza & Azmat, Saad & Hassan, M. Kabir, 2022. "Domestic liquidity of cross-listed stocks: Evidence from the ADR market," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
- Grossmann, Axel & Ngo, Thanh & Simpson, Marc W., 2024. "Societal secrecy and ADR IPOs underpricing," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
- Stanley Peterburgsky & Yini Yang, 2013. "Diversification potential of ADRs, country funds and underlying stocks across economic conditions," Applied Financial Economics, Taylor & Francis Journals, vol. 23(3), pages 199-219, February.
- Gupta, Rakesh & Yuan, Tian & Roca, Eduardo, 2016. "Linkages between the ADR market and home country macroeconomic fundamentals: Evidence in the context of the BRICs," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 230-239.
- Al-Khazali, Osamah & Lean, Hooi Hooi & Samet, Anis, 2014. "Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 29-46.
- Fu, Chengbo & Huang, Qiping & Tang, Hongfei, 2022. "Do ETFs affect ADRs and U.S. domestic stocks differently?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
- Juan Pablo Gutierrez Pineda & Daniel Perez Liston, 2021. "The Effect of U.S. Investor Sentiment on Cross-Listed Securities Returns: A High-Frequency Approach," JRFM, MDPI, vol. 14(10), pages 1-15, October.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Stanley Peterburgsky & Yini Yang, 2013. "Diversification potential of ADRs, country funds and underlying stocks across economic conditions," Applied Financial Economics, Taylor & Francis Journals, vol. 23(3), pages 199-219, February.
- Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2014.
"International Diversification Benefits with Foreign Exchange Investment Styles,"
Review of Finance, European Finance Association, vol. 18(5), pages 1847-1883.
- Kroencke, Tim Alexander & Schindler, Felix & Schrimpf, Andreas, 2011. "International diversification benefits with foreign exchange investment styles," ZEW Discussion Papers 11-028, ZEW - Leibniz Centre for European Economic Research.
- Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2011. "International Diversification Benefits with Foreign Exchange Investment Styles," CREATES Research Papers 2011-10, Department of Economics and Business Economics, Aarhus University.
- Arnold, Tom & Nail, Lance & Nixon, Terry D., 2004. "Do ADRs enhance portfolio performance for a domestic portfolio? Evidence from the 1990s," Research in International Business and Finance, Elsevier, vol. 18(3), pages 341-359, September.
- O'Hagan-Luff, Martha & Berrill, Jenny, 2015. "Why stay-at-home investing makes sense," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 1-14.
- Peñaranda, Francisco & Sentana, Enrique, 2012.
"Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
- Sentana, Enrique & Peñaranda, Francisco, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers 4422, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI.
- Enrique Sentana & Francisco Penaranda, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," FMG Discussion Papers dp497, Financial Markets Group.
- Francisco Peñaranda & Enrique Sentana, 2008. "Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach," Economics Working Papers 1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
- Jing-zhi Huang & Zhaodong Zhong, 2013. "Time Variation in Diversification Benefits of Commodity, REITs, and TIPS," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 152-192, January.
- Lingfeng Li, 2003. "An Economic Measure of Diversification Benefits," Yale School of Management Working Papers ysm371, Yale School of Management, revised 01 Jul 2003.
- Alan Tse-Shih Wang & Ming-Yuan Leon Li & Ti-Chen Chen, 2010. "Price transmission, foreign exchange rate risks and global diversification of ADRs," Applied Economics, Taylor & Francis Journals, vol. 42(14), pages 1811-1823.
- Raymond Kan & Guofu Zhou, 2012.
"Tests of Mean-Variance Spanning,"
Annals of Economics and Finance, Society for AEF, vol. 13(1), pages 139-187, May.
- Raymond Kan & Guofu Zhou, 2001. "Tests of Mean-Variance Spanning," CEMA Working Papers 539, China Economics and Management Academy, Central University of Finance and Economics.
- Lu, Qinye & Vivian, Andrew, 2020. "Domestically formed international diversification," Journal of International Money and Finance, Elsevier, vol. 103(C).
- Auguste, Sebastian & Dominguez, Kathryn M.E. & Kamil, Herman & Tesar, Linda L., 2006.
"Cross-border trading as a mechanism for implicit capital flight: ADRs and the Argentine crisis,"
Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1259-1295, October.
- Sebastian Auguste & Kathryn M.E. Dominguez & Herman Kamil & Linda L. Tesar, 2005. "Cross-Border Trading as a Mechanism for Implicit Capital Flight: ADRs and the Argentine Crisis," Working Papers 533, Research Seminar in International Economics, University of Michigan.
- Belousova, Julia & Dorfleitner, Gregor, 2012. "On the diversification benefits of commodities from the perspective of euro investors," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2455-2472.
- Nijman, T.E. & de Roon, F.A., 2001. "Testing for mean-variance spanning : A survey," Other publications TiSEM 0159f80a-c61b-4519-b004-a, Tilburg University, School of Economics and Management.
- Nijman, T.E. & de Roon, F.A. & Werker, B.J.M., 1996. "Testing for Spanning with Futrures Contracts and Nontraded Assets : A General Approach," Other publications TiSEM 30cf5d43-2275-4b9b-9a91-6, Tilburg University, School of Economics and Management.
- de Roon, F. A. & Nijman, T. E. & Werker, B. J., 1996.
"Testing for Spanning with Futures Contracts and Nontraded Assets: A general Approach,"
SFB 373 Discussion Papers
1996,63, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Nijman, T.E. & de Roon, F.A. & Werker, B.J.M., 1996. "Testing for Spanning with Futrures Contracts and Nontraded Assets : A General Approach," Discussion Paper 1996-83, Tilburg University, Center for Economic Research.
- Paul Chiou & Cheng-Few Lee, 2013. "Do investors still benefit from culturally home-biased diversification? An empirical study of China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 341-381, February.
- Bessler, Wolfgang & Drobetz, Wolfgang & Zimmermann, Heinz, 2007. "Conditional Performance Evaluation for German Mutual Equity Funds," Working papers 2007/22, Faculty of Business and Economics - University of Basel.
- Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
- Nijman, T.E. & de Roon, F.A. & Werker, B.J.M., 2001. "Testing for Mean-Variance spanning with short sales constraints and transaction costs : The case of emerging markets," Other publications TiSEM f4a3551a-d7ae-4c22-8813-b, Tilburg University, School of Economics and Management.
- Enrique Sentana, 2009.
"The econometrics of mean-variance efficiency tests: a survey,"
Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
- Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
More about this item
Keywords
Emerging markets; American Depository Receipts (ADR); Diversification;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2006-05-06 (Finance)
- NEP-FMK-2006-05-06 (Financial Markets)
- NEP-SEA-2006-05-06 (South East Asia)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uno:wpaper:2005-05. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Janet Murphy Crane (email available below). General contact details of provider: https://edirc.repec.org/data/deunous.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.