Diversification with American Depository Receipts: The Dynamics and the Pricing Factors
研究1980-1994年间113只美国存托凭证（ADR）在国际多元化中的作用，发现ADR能显著改善风险收益权衡，并通过协整分析和GARCH模型探讨其长期多元化效果及定价因素。
This paper studies the role of American Depository Receipts (ADRs) in international diversification by using a sample of 113 ADRs from eight foreign countries over 1980–1994. We find that investing in ADRs offers significant improvement in the risk‐return trade‐off. The effectiveness of ADRs as a vehicle for long‐term international diversification is further examined by performing cointegration analysis between ADR and the respective market portfolios. Consistent with Webb, Officer and Boyd (1995), we also find that the movements of ADR and the foreign market are highly correlated. Moreover, the pricing factors of ADRs are further investigated in a GARCH framework.