Correspondence: Mark Schaub, 312 Russell Hall, Northwestern State University, Natchitoches, Louisiana 71497, USA.

¹is the Kilpatrick Life Insurance Company Endowed Professor of Insurance at Northwestern State University of Louisiana. His research interests include international investments and insurance. E-mail: elliott@nsula.edu

²is the Capital One Bank Endowed Professor of Finance at Northwestern State University of Louisiana. His previous research, published in over 30 different journals, has been in the areas of consumer finance, international investments and stock market efficiency. E-mail: schaubm@nsula.edu

Received 14 January 2009; Revised 14 January 2009.

Abstract

This study examines Mexican American depository receipts (ADRs) listed on the New York Stock Exchange to determine their long-term investment performance relative to the S&P 500 Index. The sample is divided to capture effects of issue type (IPO versus SEO) and market timing (bull versus bear markets). Over a 36-month holding period, the data show that Mexican ADRs underperform the S&P 500 Index by nearly 21 per cent. Segmenting the sample, IPOs underperformed the market by nearly 27 per cent, whereas SEOs perform similar to the market. In addition, findings suggest that market timing affects ADR performance. The Mexican ADRs trading through the bull market underperformed by nearly 32 per cent, whereas those listed and trading through the bear market outperformed the S&P 500 by over 27 per cent.