ADR mispricing: Do costly arbitrage and consumer sentiment explain the price deviation?

Autor:	Axel Grossmann, Marc W. Simpson, Teofilo Ozuna
Rok vydání:	2007
Předmět:	Economics and Econometrics Financial economics media_common.quotation_subject Economics Consumer confidence index Arbitrage Finance Country of origin Interest rate media_common Dividend payment Panel data
Zdroj:	Journal of International Financial Markets, Institutions and Money. 17:361-371
ISSN:	1042-4431
DOI:	10.1016/j.intfin.2006.02.001
Popis:	This study investigates the determinants of discounts and premiums on the prices of American depository receipts (ADR). The study examines 74 ADRs from nine countries and covers the time period between 1996 and 2003. Using a fixed-effects panel data approach, we find that ADRs with higher transactions costs and lower dividend payments are more likely to exhibit higher price disparity. Furthermore, we find that the price deviation is more severe in times of higher T-bill interest rates. Lastly, we find that both, the price of the ADRs, as well as, the price of the underlying assets are more driven by U.S. consumer sentiment rather than the consumer sentiment of the country of origin.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::5cd57d24c21c69277e731b7878e7ee23 https://doi.org/10.1016/j.intfin.2006.02.001 Zobrazit plný text záznamu Full Text from ScienceDirect