The Investment Characteristics Of ADRs
Bibliographic record
Abstract
This paper examines the investment characteristics and performance measures of American Depository Receipts (ADRs) for the 1983-1992 time frame. In contrast to previous studies, a more complete sample of ADRs and a fuller set of performance metrics is examined. ADRs are found to have lower P/E multiples, higher dividend yields, and lower market-to-book ratios than international benchmarks, as measured by the Morgan Stanley Capital International Perspective (MSCIP). In addition, significant differences in country and industry representations between the ADR sample and the world market portfolio are found. Over the 10-year time frame, growth in ADR trading volume significantly exceeded that of the S&P 500. Further, ADRs provide a higher monthly return and a higher standard deviation than the MSCIP, while both the ADR sample and the MSCIP have lower betas than the S&P 500. Moreover, there is no meaningful difference in the betas of the ADRs and the MSCIP suggesting that ADRs have greater firm-specific risk than the world index. Finally, ADRs offer greater return per unit of risk than does the MSCIP. Therefore, ADRs should receive a significant weighting in the portfolios of internationally diversified investors.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.005 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.002 | 0.002 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.003 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".