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Title: | ADRs and U.S. market sentiment |
Authors: | Suh, Jungwon |
Conference Name: | The thirteenth Annual PACAP/FMA Finance Conference |
Keywords: | ADRs Noise trader Market sentiment |
Conference Date: | 2001-07-05 |
Conference Location: | Westin Chosun Hotel, Seoul, Korea Radisson Plaza Hotel, Seoul, Korea |
Abstract: | ADR share prices tend to deviate from their parity values under foreign own- ership restrictions and other capital barriers. Time series of ADR premiums or discounts under such capital barriers provide an opportunity to examine the ex- istence of a U.S. specific factor or U.S. investor sentiment. This paper studies a sample of ADRs from emerging countries and finds that ADR premium changes tend to comove with the aggregate U.S. market returns. This result suggests the existence of a U.S. specific factor or U.S. investor sentiment, echoing Bodurtha, Kim and Lee's result in their study of closed-end country fund premiums. |
Pages: | 95 |
Call Number: | HG4026.A536 2001 katsem |
Appears in Collections: | Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding |
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