1、American Depository Receipts,Sherry Chen Andrew Frankel Christina Nitz Jean Yu,NYFC Partners,February 27, 2002,Agenda,ADR Basics Hypothesis Methodology Data Set Regression Results Concluding Remarks Future Research Topics,ADR Basics,Generally represent a non-U.S. companys publicly traded equity Over
2、come many inherent operational and custodial hurtles of international investing Growth of the market primarily driven by institutional investors75% of U.S. institutional investors own ADRs,Hypothesis,Abnormal ADR trading volume possesses predictive power for associated index returns due to the fact
3、that ADRs are primarily invested in by more sophisticated institutional investors,Regression Methodology Moving Average Over Past Twelve Months,Dependent variable Country returnIndependent variable Monthly ADR volume minus past twelve month average trading volume,Regression Methodology Residuals Aga
4、inst S&P 500 Trading Volume,First Regression Dependent variable ADR trading volume Independent variable S&P 500 trading volumeSecond Regression Dependent variable Country return Independent variable Residuals of first regression,Data Set,17 countries 7 developing 10 developedPulled all available dat
5、a from 1970 through 2000376 ADR issues selectedSource: Data Stream and Compustat,Regression Results,Abnormal Trading Over Twelve Month Moving Average,Abnormal Trading Over S&P 500 Index,3%,23%,2%,57%,27%,9%,17%,84%,40%,30%,79%,70%,14%,85%,19%,60%,77%,0%,10%,20%,30%,40%,50%,60%,70%,80%,90%,Argentina,
6、Brazil,Chile,China,India,Mexico,South Africa,Australia,France,Germany,Ireland,Italy,Japan,Netherlands,Spain,Switzerland,United Kingdom,P-Value of ADR Trading Volume,Developing Countries,Developed Countries,Concluding Remarks,Abnormal ADR trading does posses predictive power for index returns in some
7、 markets.The predictive power is more predominant for developing countries than developed countries.One possible explanation of our observation is that developing markets are less transparent.,Future Research Topics,Future research might include:Data refinement Multi-variant regression Out of sample testing,
