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Unpublished Paper
ADR Characteristics and Performance in International and Global Indexes
Financial Services Forum Publications
  • Arindam Bandopadhyaya, University of Massachusetts Boston
  • Lal Chugh, University of Massachusetts Boston
  • James L. Grant, University of Massachusetts Boston
Document Type
Occasional Paper
Publication Date
12-1-2007
Disciplines
Abstract
This study looks at the characteristics and performance of ADRs in international and global indexes. We find that ADRs in EAFE are tilted toward three common factors: giant cap, high dividend yield, and U.K. stocks. In terms of risk-adjusted performance, we find that ADRs provide inefficient diversification for US investors, as tradeoffs of return and risk are better with portfolio combinations of the S&P500 and the S&P Global 700, as compared with portfolio combinations of the S&P500 and an ADR breakout of the Global 700. Our findings on ADR characteristics are consistent with prior research, while our performance findings are inconsistent with prior research which points to ADR portfolio efficiency.
Comments

College of Management at University of Massachusetts Boston, Financial Services Forum, Working Paper 1035.

Community Engaged/Serving
No, this is not community-engaged.
Citation Information
Arindam Bandopadhyaya, Lal Chugh and James L. Grant. "ADR Characteristics and Performance in International and Global Indexes" (2007)
Available at: http://works.bepress.com/arindam_bandopadhyaya/6/