Ackert, Lucy; Tian, Yisong S. - 2000
This paper examines pricing in the market for depositary receipts, securities designed to track the performance of a … stock index that trade like shares of stock. Arbitrage costs are low because these assets have low fundamental risk, low … performance of the S&P MidCap 400 index, an index of moderate capitalization firms, and are expected to have higher arbitrage …