TABLE 2
FROM:
After-market performance of industrial American Depository Receipts: Does level of issue and market timing affect returns?
Mark Schaub
BACK TO ARTICLETable 2. Early return performance by day for industrial ADRs listed from January 1990 through December 2002 on the NYSE
| Entire sample (Obs=36) | Emerging market ADRs (Obs=14) | Developed market ADRs (Obs=22) | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Day | XR (%) | p-value | CXR (%) | p-value | XR (%) | p-value | CXR (%) | p-value | XR (%) | p-value | CXR (%) | p-value |
| D1 | -0.94 | 0.08 | -0.94 | 0.08 | -2.58 | 0.03 | -2.58 | 0.03 | 0.10 | 0.44 | 0.10 | 0.44 |
| D2 | -0.13 | 0.42 | -1.07 | 0.13 | 0.16 | 0.45 | -2.41 | 0.10 | -0.32 | 0.34 | -0.22 | 0.42 |
| D3 | -0.32 | 0.30 | -1.39 | 0.11 | -0.98 | 0.25 | -3.39 | 0.07 | 0.10 | 0.42 | -0.12 | 0.46 |
| D4 | -0.09 | 0.45 | -1.48 | 0.13 | -0.74 | 0.32 | -4.13 | 0.07 | 0.33 | 0.24 | 0.21 | 0.43 |
| D5 | 0.31 | 0.28 | -1.17 | 0.20 | 0.09 | 0.47 | -4.05 | 0.09 | 0.45 | 0.20 | 0.66 | 0.31 |
| D6 | -1.36 | 0.00 | -2.53 | 0.05 | -2.32 | 0.00 | -6.37 | 0.02 | -0.74 | 0.13 | -0.08 | 0.48 |
| D7 | 0.72 | 0.13 | -1.81 | 0.14 | 0.77 | 0.29 | -5.60 | 0.05 | 0.69 | 0.13 | 0.60 | 0.35 |
| D8 | -0.67 | 0.04 | -2.48 | 0.07 | -0.89 | 0.05 | -6.48 | 0.03 | -0.54 | 0.15 | 0.07 | 0.48 |
| D9 | -0.63 | 0.07 | -3.11 | 0.04 | -1.16 | 0.10 | -7.64 | 0.02 | -0.30 | 0.22 | -0.23 | 0.45 |
| D10 | -0.32 | 0.26 | -3.43 | 0.03 | 0.83 | 0.17 | -6.81 | 0.03 | -1.05 | 0.03 | -1.28 | 0.24 |
| D11 | -0.57 | 0.12 | -4.00 | 0.02 | -0.92 | 0.15 | -7.73 | 0.02 | -0.35 | 0.27 | -1.63 | 0.19 |
| D12 | -0.25 | 0.30 | -4.25 | 0.01 | -0.48 | 0.30 | -8.20 | 0.02 | -0.11 | 0.42 | -1.74 | 0.19 |
| D13 | 0.61 | 0.08 | -3.65 | 0.03 | 0.92 | 0.04 | -7.28 | 0.03 | 0.40 | 0.26 | -1.34 | 0.26 |
| D14 | 1.55 | 0.00 | -2.10 | 0.16 | 0.71 | 0.09 | -6.58 | 0.05 | 2.08 | 0.01 | 0.75 | 0.37 |
| D15 | 0.59 | 0.08 | -1.52 | 0.24 | 0.31 | 0.32 | -6.27 | 0.06 | 0.76 | 0.08 | 1.51 | 0.26 |
| D16 | 0.45 | 0.23 | -1.07 | 0.31 | 0.39 | 0.38 | -5.88 | 0.08 | 0.49 | 0.22 | 1.99 | 0.21 |
| D17 | 0.95 | 0.01 | -0.12 | 0.48 | 1.27 | 0.04 | -4.61 | 0.14 | 0.75 | 0.04 | 2.74 | 0.13 |
| D18 | -0.87 | 0.01 | -0.99 | 0.33 | -0.77 | 0.10 | -5.38 | 0.11 | -0.93 | 0.03 | 1.81 | 0.24 |
| D19 | -0.11 | 0.40 | -1.10 | 0.32 | -0.58 | 0.25 | -5.96 | 0.09 | 0.18 | 0.36 | 1.99 | 0.22 |
| D20 | -0.44 | 0.13 | -1.54 | 0.26 | -1.13 | 0.06 | -7.09 | 0.06 | 0.00 | 0.50 | 1.99 | 0.22 |
| D21 | 0.26 | 0.30 | -1.28 | 0.30 | -0.01 | 0.49 | -7.10 | 0.06 | 0.43 | 0.29 | 2.42 | 0.19 |
a The computation of average excess returns (XR) is described in Equation (2) in the text and the computation of cumulative excess returns (CXR) is described in Equation (3) in the text. p-values in bold italics represent returns that are significant at the 10% alpha level.
