Arbitrage Opportunities in the American Depository Receipts Market Revisited
研究了美国存托凭证市场中是否存在盈利套利机会，通过构建多空组合并考虑风险差异，发现部分组合年化套利收益在1.23%至4.44%之间，但实际经济意义取决于交易成本。
We examine whether profitable arbitrage opportunities exist in the American Depository Receipts Market. The arbitrage strategy calls for extablishing long and short positions in identified portfolios of over- and under-priced securities. Two alternative portfolio weighting schemes are adopted: equal weights and mean variance efficient weights. An unbiased test for arbitrage should account for possible risk differentials of the long and short positions. We undertook two perturbations in forming alternative arbitrage portfolios combining the long and short positions: minimum-variance and an equally-weighted combination. The null hypothesis of no arbitrage is rejected. Annualized arbitrage returns between 1.23% and 4.44% were possible for some of the identified arbitrage portfolios. Whether such a seeming anomaly is of economic importance will depend on transaction costs faced by the potential arbitrageur.