Determinants of ADR Returns Before and After Domestic Stock Seasoned Equity Offerings: Evidence from Asian and Latin American Emerging Markets/Depozitoriniu Pakvitavimu Pasiskirstymas: Azijos Ir Lotynu Amerikos Rinkose (Report‪)‬

1. Introduction The determinants of American depository receipt returns (hereafter ADRNs) have constituted one of the most hotly debated issues in the past two decades, yet never before has a consensus been reached as shown in Table 1. We find that even if the same country and method are employed, the results vary. Regarding the comparison of domestic stock earnings per share (DEPS) and ADR-reconciled earnings per share (AEPS), the results of Chan and Seow (1996) and Luchs (2004), both of whom use regression models to test UK data, are conflicting. For instance, one shows that DEPS dominates the AEPS in influencing ADRNs, while the other indicates that DEPS and AEPS are equally important for UK ADRNs. The findings of previous studies that explore whether local investor sentiment (LD) has dominated US investor sentiment (USI) or vice versa are quite distinct. For example, the results of Jiang (1998) and Ely and Salehizadeh (2001), both of whom use error-correction models to examine the same countries (e.g., Germany, UK, and Japan), are also conflicting, as one shows that LD dominates USI in influencing ADRNs, while the other shows that the opposite situation holds. The differences in these findings might be due to the limitations of the specific information transmitted or the incompleteness of the variables considered.