Market Timing Effects on the Investment Performance of NASDAQ-Listed ADRs

Abstract

In this study, I examine the long-term excess returns for ADRs listed on the NASDAQ from 1990 through 2002 for evidence of market timing effects. While the overall sample outperformed the NASDAQ Index during the first 36 months of trading by over 22 %, those ADRs listed before January 1, 1998 underperformed by 15 % while those issued after outperformed the index by nearly 51 %. Also, breaking the sample down into emerging versus developed market issues reveals a huge market-timing difference in performance for emerging issues and a smaller, but significant, market-timing effect for developed market ADRs.