ADR 프리미엄변화와 시장요인간의 관계

Abstract

This paper presents an explanation for the movement of premiums of American Depositary Receipts(ADRs) based on information asymmetry and investment sentiment. Changes in the ADR premium have significant minus coefficient signs in relation to local market return. In the meantime, ADR prices are positively correlated with the local market factors, and also the returns of the markets which they are listed in. ADR's underlying stock returns are also explained by the local market returns. However, the size of coefficients are larger for ADR price returns, than for underlying stock returns. It may be caused by information asymmetry in that local investors, who are in informationally advantageous position compared to ADR investors, reacts more fast to local market movements. In contrast, the latter investors are slow in reacting to local markets, with ADR prices less sensitive to local market returns than underling stock prices. However, ADR prices seem to react more sensitively to their listed market movements, and therefore, ADR premium changes are positively correlated with U.S. market returns. In addition, an index of ADR premium changes explains a cross-section of U.S. size-decile portfolio returns, thereby being a proxy for U.S. investment sentiment.