TABLE 3
FROM:
After-market performance of industrial American Depository Receipts: Does level of issue and market timing affect returns?
Mark Schaub
BACK TO ARTICLETable 3. Long-term performance by month for industrial emerging and developed market ADRs listed on the NYSE
| Entire sample (36 observations) | Emerging market ADRs (14 observations) | Developed market ADRs (22 observations) | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Month | XR (%) | p-value | CXR (%) | p-value | XR (%) | p-value | CXR (%) | p-value | XR (%) | p-value | CXR (%) | p-value |
| + 1 | -1.32 | 0.22 | -1.32 | 0.22 | -4.79 | 0.07 | -4.79 | 0.07 | 0.89 | 0.32 | 0.89 | 0.32 |
| + 2 | 5.89 | 0.07 | 4.57 | 0.15 | 11.50 | 0.11 | 6.70 | 0.26 | 2.32 | 0.20 | 3.21 | 0.16 |
| + 3 | -0.31 | 0.45 | 4.26 | 0.20 | -1.22 | 0.35 | 5.48 | 0.30 | 0.28 | 0.46 | 3.49 | 0.22 |
| + 4 | -0.55 | 0.42 | 3.71 | 0.26 | -3.49 | 0.21 | 1.99 | 0.43 | 1.32 | 0.37 | 4.80 | 0.21 |
| + 5 | 1.78 | 0.15 | 5.49 | 0.18 | 3.92 | 0.12 | 5.91 | 0.31 | 0.42 | 0.41 | 5.23 | 0.20 |
| + 6 | -3.38 | 0.07 | 2.11 | 0.37 | -7.34 | 0.01 | -1.43 | 0.55 | -0.86 | 0.39 | 4.37 | 0.26 |
| + 7 | 0.72 | 0.37 | 2.83 | 0.34 | -3.49 | 0.20 | -4.91 | 0.65 | 3.39 | 0.08 | 7.76 | 0.14 |
| + 8 | 2.29 | 0.17 | 5.12 | 0.24 | 3.40 | 0.25 | -1.52 | 0.54 | 1.58 | 0.25 | 9.34 | 0.11 |
| + 9 | -1.55 | 0.17 | 3.56 | 0.31 | -2.11 | 0.22 | -3.62 | 0.60 | -1.20 | 0.28 | 8.13 | 0.15 |
| +10 | 0.08 | 0.48 | 3.64 | 0.32 | 0.14 | 0.48 | -3.49 | 0.60 | 0.05 | 0.49 | 8.18 | 0.17 |
| +11 | -5.19 | 0.00 | -1.54 | 0.42 | -7.41 | 0.00 | -10.90 | 0.23 | -3.77 | 0.03 | 4.41 | 0.31 |
| +12 | -3.50 | 0.01 | -5.04 | 0.27 | -7.89 | 0.01 | -18.79 | 0.11 | -0.70 | 0.31 | 3.71 | 0.34 |
| +13 | -4.71 | 0.03 | -9.75 | 0.12 | -5.06 | 0.14 | -23.85 | 0.07 | -4.49 | 0.05 | -0.78 | 0.47 |
| +14 | -1.06 | 0.34 | -10.82 | 0.11 | -4.42 | 0.22 | -28.27 | 0.05 | 1.07 | 0.29 | 0.29 | 0.49 |
| +15 | 1.91 | 0.24 | -8.91 | 0.17 | 5.54 | 0.04 | -22.73 | 0.09 | -0.40 | 0.46 | -0.11 | 0.50 |
| +16 | 0.20 | 0.47 | -8.71 | 0.18 | -3.21 | 0.14 | -25.95 | 0.07 | 2.36 | 0.28 | 2.26 | 0.42 |
| +17 | 0.89 | 0.34 | -7.82 | 0.21 | 4.42 | 0.12 | -21.52 | 0.12 | -1.36 | 0.30 | 0.89 | 0.47 |
| +18 | -3.73 | 0.05 | -11.55 | 0.13 | -8.14 | 0.01 | -29.66 | 0.05 | -0.93 | 0.38 | -0.03 | 0.50 |
| +19 | -4.37 | 0.02 | -15.92 | 0.06 | -5.33 | 0.09 | -34.99 | 0.03 | -3.76 | 0.08 | -3.79 | 0.38 |
| +20 | 0.85 | 0.39 | -15.08 | 0.08 | -2.33 | 0.30 | -37.31 | 0.03 | 2.87 | 0.23 | -0.93 | 0.47 |
| +21 | 3.30 | 0.14 | -11.77 | 0.15 | 3.54 | 0.26 | -33.77 | 0.05 | 3.15 | 0.20 | 2.22 | 0.43 |
| +22 | 4.40 | 0.04 | -7.38 | 0.26 | 5.97 | 0.14 | -27.80 | 0.09 | 3.39 | 0.05 | 5.62 | 0.34 |
| +23 | 5.63 | 0.01 | -1.74 | 0.44 | 2.79 | 0.22 | -25.01 | 0.12 | 7.44 | 0.00 | 13.06 | 0.17 |
| +24 | 0.00 | 0.50 | -1.75 | 0.44 | -1.93 | 0.30 | -26.94 | 0.10 | 1.23 | 0.32 | 14.29 | 0.15 |
| +25 | 0.24 | 0.45 | -1.50 | 0.45 | -3.49 | 0.12 | -30.43 | 0.08 | 2.62 | 0.14 | 16.91 | 0.12 |
| +26 | 2.62 | 0.16 | 1.12 | 0.46 | 9.06 | 0.06 | -21.37 | 0.17 | -1.47 | 0.21 | 15.44 | 0.14 |
| +27 | 1.76 | 0.25 | 2.88 | 0.41 | 4.10 | 0.21 | -17.27 | 0.23 | 0.27 | 0.46 | 15.70 | 0.14 |
| +28 | 0.96 | 0.38 | 3.84 | 0.38 | 0.91 | 0.44 | -16.36 | 0.25 | 0.99 | 0.39 | 16.70 | 0.13 |
| +29 | -0.04 | 0.49 | 3.80 | 0.39 | -3.11 | 0.24 | -19.48 | 0.21 | 1.92 | 0.16 | 18.62 | 0.11 |
| +30 | -0.55 | 0.39 | 3.25 | 0.40 | -0.43 | 0.45 | -19.90 | 0.21 | -0.62 | 0.39 | 17.99 | 0.12 |
| +31 | 2.65 | 0.10 | 5.91 | 0.33 | 0.94 | 0.40 | -18.96 | 0.22 | 3.74 | 0.06 | 21.74 | 0.08 |
| +32 | -5.05 | 0.01 | 0.86 | 0.47 | -10.27 | 0.00 | -29.23 | 0.12 | -1.73 | 0.23 | 20.00 | 0.10 |
| +33 | -1.69 | 0.23 | -0.84 | 0.52 | -2.66 | 0.29 | -31.89 | 0.10 | -1.08 | 0.31 | 18.92 | 0.11 |
| +34 | 2.54 | 0.12 | 1.70 | 0.45 | 6.23 | 0.05 | -25.65 | 0.16 | 0.18 | 0.47 | 19.10 | 0.12 |
| +35 | 1.59 | 0.25 | 3.29 | 0.41 | 3.51 | 0.17 | -22.15 | 0.20 | 0.37 | 0.45 | 19.47 | 0.12 |
| +36 | -0.74 | 0.35 | 2.55 | 0.43 | -1.28 | 0.38 | -23.43 | 0.19 | -0.39 | 0.40 | 19.09 | 0.12 |
a See footnote to Table 2.