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      Risk-Adjusted Returns of American Depositary Receipts on Chinese and Indian Stocks

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      International Journal of Banking and Finance
      UUM Press

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          Abstract

          This study evaluates the risk-adjusted performance of American Depositary Receipts (ADRs) on shares of stock of Chinese and Indian fi rms. The first part of the study examines the nature of Chinese and Indian ADRs (based on depositary bank, sponsorship status, industry classification and listing). The second part of the study evaluates the performance of these ADRs using statistical measures grounded in modern portfolio theory. Returns are adjusted for the degree of total risk and systematic risk inherent in each ADR, and the securities are then ranked on the basis of risk-adjusted performance. Two relatively new evaluation metrics, the Modigliani and Sortino measures, are used. The objective of the study is to provide documentation to global investors who are contemplating participation in Chinese and Indian stock markets via depositary receipts.  

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          Author and article information

          Contributors
          United States
          United States
          Journal
          International Journal of Banking and Finance
          UUM Press
          August 20 2009
          : 6
          : 77-93
          Affiliations
          [1 ]Western Michigan University
          Article
          8390
          10.32890/ijbf2009.6.2.8390
          9b59041d-ab56-4055-b041-919b4945dc08

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          History

          General economics,Financial economics,International economics & Trade,Industrial organization,Macroeconomics,Microeconomics

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