Jong, Abe De; Rosenthal, Leonard; Dijk, Mathijs A. Van - In: Review of Finance 13 (2009) 3, pp. 495-520
This paper evaluates investment strategies that exploit the deviations from theoretical price parity in a sample of 12 dual-listed companies (DLCs) in the period 1980--2002. We show that simple trading rules produce abnormal returns of up to almost 10% per annum adjusted for systematic risk,...