The long-term excess returns for Asia Pacific ADRs listed on the NYSE from 1990 through 2009 are tested to determine differences in performance and evidence of decade-long market timing effects.  While the overall sample outperformed the S&P 500 Index during the first 36 months of trading by...

Purpose – The purpose of this study is to determine whether Latin American ADRs provided US investors with international diversification benefits as determined by comparing excess returns from issues listed in the 1990s to those listed in the 2000s. A further sample breakdown compares IPO...

The initial short-term (21-day) and long-term (3-year) excess returns for foreign initial public offering (IPO) and seasoned equity offering (SEO) American depository receipts (ADRs) listed on the New York stock exchange from 1990 to 2009 are tested to determine differences in performance based...

This article examines the three-year monthly aftermarket returns of emerging market firm equities traded on the New York Stock Exchange as American Depository Receipts (ADRs). Excess return results are broken down by the type of issue (IPO versus SEO) and the date of issue (those issued in the...

In this study of five developed markets we analyse the sizes of portfolios required for achieving most diversication benefits. Using daily data, we trace the year-to-year dynamic of these sizes between 1975 and 2011. We compute several widely-accepted measures of risk and use an extreme risk...

In this paper, we explore the cumulative and interactive effects from being listed on one or more of four popular annual surveys (Fortune’s “Most Admired Companies” and “100 Best Companies to Work For,” Business Ethics “Best Corporate Citizens,” and Working Mother’s “100 Best...

El estudio de las caracter¡sticas de los mercados de valores ha tenido en los £ltimos a¤os un compa¤ero imprescindible en la metodolog¡a de eventos. La necesidad de medir la reacci¢n del mercado ante distintos acontecimientos econ¢micos y financieros genera la necesidad de contar con...

The article illustrates how the integration of modern theory of finance and stochastic dynamic macroeconomic analysis provides a deeper understanding of the link between asset prices and consumption. It shows that this approach gives only a partial explanation for recent trends in US...

In this paper we review the methods of measuring the economic gains of mergers and acquisitions (M&A). We show that the widely employed event study methodology, whether for short or long event windows, has failed to provide meaningful insight and usable lessons regarding the central question of...