The impact of listing Latin American ADRs on the risks and returns of the underlying shares

Global Finance Journal

Volumn 10, Issue 2, 1999, Pages 147-160

  Martell, Terrence F ^a   Rodriguez Jr , Luis ^a   Webb, Gwendolyn P ^a  

^a CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

American depository receipts; Emerging markets; International listings; Secondary listings; Stock volatility

Indexed keywords

EID: 0033191872     PISSN: 10440283     EISSN: None     Source Type: Journal    
DOI: 10.1016/s1044-0283(99)00013-7     Document Type: Article

References (31)

1. Admati, A. R., & Pfleiderer, P. (1988). A theory of intraday trading patterns: Volume and price variability. Rev Fin Stud 1, 3-40.
2. Aggarwal, R., & Angel, J. J. (1997). Optimal Listing Policy: Why Microsoft and Intel do not List on the NYSE. Working paper, Georgetown University.
3. Alexander, G. J., Eun, C. S., & Janakiramanan, S. (1988). International listings and stock returns: Some empirical evidence. J Fin Quant Anal 23, 135-151.
4. Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-asked spread. J Fin Econ 17, 223-249.
5. Baker, H. K., Nofsinger, J. R., & Weaver, D. G. (1998). International Cross-listing and Visibility. Working paper, The American University.
6. Barclay, M. J., Litzenberger, R. H., & Warner, J. B. (1990). Private information, trading volume, and stock-return variances. Rev Fin Stud 3, 233-253.
7. Conrad, J. (1989). The price effect of option introduction. J Fin 44, 487-498.
8. Dharan, B. G., & Ikenberry, D. (1995). The long-run negative drift of post-listing stock returns. J Fin 50, 1547-1574.
9. Domowitz, I., Glen, J., & Madhavan, A. (1998). International cross-listing and order flow migration: Evidence from an emerging market. J Fin 53, 2001-2027.
10. Errunza, V. R., & Losq, E. (1985). International asset pricing under mild segmentation: Theory and test. J Fin 40, 105-124.
11. Errunza, V. R., & Miller, D. P. (1998). Market Segmentation and the Cost of Capital in International Equity Markets. Working paper, McGill University.
12. Foerster, S. R., & Karolyi, G. A. (1999). The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the US. J Fin 54, 981-1013.
13. Freund, S., McCann, P. D., & Webb, G. P. (1994). A regression analysis of the effects of option introduction on stock variances. J Derivatives 1, 25-38.
14. Howe, J. S., & Kelm, K. (1987). The stock price impacts of overseas listings. Fin Manage (Autumn), 51-56.
15. Howe, J. S., & Madura, J. (1990). The impact of international listings on risk: Implications for capital market integration. J Banking Fin 14, 1133-1142.
16. Jayaraman, N., Shastri, K., & Tandon, K. (1993). The impact of international cross listings on risk and return: The evidence from American depository receipts. J Banking Fin 17, 91-103.
17. Karolyi, G. A. (1998). What happens to stocks that list shares abroad? A Survey of the Evidence and its Managerial Implications. NYU Salomon Brothers Center Monograph, 7.
18. Karpoff, J. M. (1987). The relation between prices changes and trading volume: A survey. J Quant Fin Anal 22, 109-126.
19. Kim, O., & Verrecchia, R. E. (1991). Market reaction to anticipated announcements. J Fin Econ 30, 273-310.
20. Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica 53, 1315-1335.
21. Lamoureux, C. G. (1991). Option Listing Does not Affect the Variance of the Underlying Stock. Working paper, Washington University.
22. Lau, S. T., Diltz, J. D., & Apilado, V. P. (1994). Valuation effects of international stock exchange listings. J Banking Fin 18, 743-755.
23. Lee, I. (1991). The impact of overseas listings on shareholder wealth: The case of the London and Toronto stock exchanges. J Bus Fin Accounting 18, 583-592.
24. Makhija, A. K., & Nachtman, R. (1990). Variance effects of cross-listing NYSE stocks in Tokyo. Pacific Basin Capital Markets Res 1, 215-226.
25. McConnell, J. J., & Sanger, G. C. (1987). The puzzle in post-listing common stock returns. J Fin 42, 119-140.
26. Merton, R. (1987). Presidential address: A simple model of capital market equilibrium with incomplete information. J Fin 42, 483-510.
27. Miller, D. P. (1999). The market reaction to international cross-listings: Evidence from depositary receipts. J Fin Econ 51, 103-123.
28. New York Stock Exchange (1992-1997). Fact books.
29. Stapleton, R. C., & Subrahmanyam, M. G. (1977). Market imperfections, capital market equilibrium and corporation finance. J Fin 32, 307-319.
30. Switzer, L. N. (1997). Common Stock Returns and International Interlisting: New Tests of the Mild Segmentation Hypothesis. Working paper. Concordia University.
31. Wang, J. (1994). A model of competitive stock trading volume. J Political Econ 102, 127-168.