TABLE 4
FROM:
After-market performance of industrial American Depository Receipts: Does level of issue and market timing affect returns?
Mark Schaub
BACK TO ARTICLETable 4. Market-timing related long-term performance by month for industrial firm ADRs listed on the NYSE
| Entire sample (36 observations) | ADRs listed before 1/1/98 (16 observations) | ADRs listed after 1/1/98 (20 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 | -2.66 | 0.12 | -2.66 | 0.12 | -0.25 | 0.46 | -0.25 | 0.46 |
| + 2 | 5.89 | 0.07 | 4.57 | 0.15 | 9.06 | 0.14 | 6.40 | 0.23 | 3.35 | 0.13 | 3.11 | 0.21 |
| + 3 | -0.31 | 0.45 | 4.26 | 0.20 | 1.15 | 0.34 | 7.54 | 0.20 | -1.47 | 0.34 | 1.64 | 0.38 |
| + 4 | -0.55 | 0.42 | 3.71 | 0.26 | -4.21 | 0.14 | 3.33 | 0.37 | 2.37 | 0.28 | 4.01 | 0.27 |
| + 5 | 1.78 | 0.15 | 5.49 | 0.18 | 2.66 | 0.16 | 6.00 | 0.28 | 1.08 | 0.32 | 5.09 | 0.23 |
| + 6 | -3.38 | 0.07 | 2.11 | 0.37 | -7.82 | 0.00 | -1.82 | 0.43 | 0.18 | 0.48 | 5.26 | 0.25 |
| + 7 | 0.72 | 0.37 | 2.83 | 0.34 | 0.00 | 0.50 | -1.82 | 0.44 | 1.29 | 0.32 | 6.55 | 0.21 |
| + 8 | 2.29 | 0.17 | 5.12 | 0.24 | 5.51 | 0.10 | 3.69 | 0.38 | -0.30 | 0.45 | 6.25 | 0.23 |
| + 9 | -1.55 | 0.17 | 3.56 | 0.31 | -4.19 | 0.01 | -0.49 | 0.48 | 0.55 | 0.41 | 6.80 | 0.22 |
| +10 | 0.08 | 0.48 | 3.64 | 0.32 | -3.76 | 0.07 | -4.25 | 0.37 | 3.16 | 0.14 | 9.96 | 0.14 |
| +11 | -5.19 | 0.00 | -1.54 | 0.42 | -6.41 | 0.01 | -10.66 | 0.21 | -4.21 | 0.02 | 5.75 | 0.27 |
| +12 | -3.50 | 0.01 | -5.04 | 0.27 | -5.54 | 0.01 | -16.21 | 0.11 | -1.86 | 0.19 | 3.89 | 0.35 |
| +13 | -4.71 | 0.03 | -9.75 | 0.12 | -5.72 | 0.06 | -21.92 | 0.05 | -3.91 | 0.13 | -0.01 | 0.50 |
| +14 | -1.06 | 0.34 | -10.82 | 0.11 | -3.86 | 0.22 | -25.79 | 0.04 | 1.18 | 0.30 | 1.16 | 0.46 |
| +15 | 1.91 | 0.24 | -8.91 | 0.17 | 5.38 | 0.04 | -20.41 | 0.09 | -0.87 | 0.42 | 0.30 | 0.49 |
| +16 | 0.20 | 0.47 | -8.71 | 0.18 | -1.81 | 0.25 | -22.23 | 0.07 | 1.80 | 0.35 | 2.10 | 0.43 |
| +17 | 0.89 | 0.34 | -7.82 | 0.21 | 1.86 | 0.30 | -20.37 | 0.10 | 0.11 | 0.48 | 2.21 | 0.43 |
| +18 | -3.73 | 0.05 | -11.55 | 0.13 | -6.67 | 0.02 | -27.04 | 0.04 | -1.38 | 0.34 | 0.83 | 0.47 |
| +19 | -4.37 | 0.02 | -15.92 | 0.06 | -8.51 | 0.00 | -35.54 | 0.01 | -1.06 | 0.36 | -0.23 | 0.49 |
| +20 | 0.85 | 0.39 | -15.08 | 0.08 | -4.03 | 0.19 | -39.57 | 0.01 | 4.75 | 0.11 | 4.52 | 0.37 |
| +21 | 3.30 | 0.14 | -11.77 | 0.15 | 3.23 | 0.27 | -36.34 | 0.02 | 3.36 | 0.20 | 7.88 | 0.29 |
| +22 | 4.40 | 0.04 | -7.38 | 0.26 | 2.72 | 0.30 | -33.62 | 0.03 | 5.73 | 0.00 | 13.62 | 0.17 |
| +23 | 5.63 | 0.01 | -1.74 | 0.44 | 2.31 | 0.23 | -31.31 | 0.05 | 8.29 | 0.00 | 21.91 | 0.07 |
| +24 | 0.00 | 0.50 | -1.75 | 0.44 | 1.56 | 0.33 | -29.76 | 0.06 | -1.25 | 0.31 | 20.66 | 0.09 |
| +25 | 0.24 | 0.45 | -1.50 | 0.45 | -5.05 | 0.03 | -34.80 | 0.03 | 4.48 | 0.04 | 25.14 | 0.05 |
| +26 | 2.62 | 0.16 | 1.12 | 0.46 | 8.17 | 0.06 | -26.63 | 0.09 | -1.81 | 0.16 | 23.33 | 0.07 |
| +27 | 1.76 | 0.25 | 2.88 | 0.41 | -0.19 | 0.48 | -26.82 | 0.10 | 3.32 | 0.11 | 26.64 | 0.04 |
| +28 | 0.96 | 0.38 | 3.84 | 0.38 | -2.77 | 0.31 | -29.59 | 0.08 | 3.94 | 0.13 | 30.58 | 0.03 |
| +29 | -0.04 | 0.49 | 3.80 | 0.39 | -4.56 | 0.10 | -34.15 | 0.06 | 3.58 | 0.04 | 34.16 | 0.02 |
| +30 | -0.55 | 0.39 | 3.25 | 0.40 | -3.06 | 0.18 | -37.21 | 0.04 | 1.46 | 0.24 | 35.62 | 0.01 |
| +31 | 2.65 | 0.10 | 5.91 | 0.33 | -0.57 | 0.43 | -37.77 | 0.04 | 5.23 | 0.02 | 40.85 | 0.01 |
| +32 | -5.05 | 0.01 | 0.86 | 0.47 | -12.65 | 0.00 | -50.42 | 0.01 | 1.03 | 0.31 | 41.88 | 0.01 |
| +33 | -1.69 | 0.23 | -0.84 | 0.52 | -4.72 | 0.16 | -55.15 | 0.01 | 0.73 | 0.31 | 42.61 | 0.01 |
| +34 | 2.54 | 0.12 | 1.70 | 0.45 | 6.02 | 0.07 | -49.13 | 0.02 | -0.25 | 0.45 | 42.36 | 0.01 |
| +35 | 1.59 | 0.25 | 3.29 | 0.41 | 4.22 | 0.18 | -44.91 | 0.03 | -0.51 | 0.40 | 41.85 | 0.01 |
| +36 | -0.74 | 0.35 | 2.55 | 0.43 | -1.61 | 0.34 | -46.52 | 0.03 | -0.04 | 0.49 | 41.81 | 0.01 |
a See footnote to Table 2.