Abstract
This study examines various risk factors that the value of American Depository Receipts (ADRs) might be exposed to. We found that over the 1990–2000 period: (1) ADR portfolio returns were sensitive to the movements in the US stock market, in the underlying foreign equity market, and in the corresponding foreign exchange market. (2) To the fluctuations in corresponding money market, Australian and European ADRs exhibited more significant exposure compared with Asian, Latin American, and South African ADRs. (3) Following the outbreak of international financial crises, there were significant structural shifts in various risk factors for ADRs originating in the affected area.
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