COUNTRY-SPECIFIC INVESTOR ATTENTION AND ADR MISPRICING
Abstract
This paper examines the effect of country-specific investor attention on ADR mispricing. Investor attention is measured by the amount of traffic a country’s Wikipedia profile page receives. A two-stage least squares (2SLS) regression is employed to examine the relationship between investor attention and ADR mispricing, but also to mitigate endogeneity between the two variables of interest. We use the FIFA World Ranking (country soccer ranking) and the number of UNESCO heritage sites as instruments for investor attention; given the unlikelihood that either of those variables can be caused by ADR mispricing. Our results show that lower levels of investor attention lead to higher ADR mispricing, therefore leading to a greater divergence of the law of one price for the sample of ADRs. The results are robust across various model specifications and to well-known determinants of mispricing such as turnover, stock prices, exchange rates, and market capitalization.
Downloads
Copyright (c) 2023 Juan Gutierrez, Daniel Perez, Andre Vianna
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
Authors submitting articles for publication warrant that the work is not an infringement of any existing copyright and will indemnify the publisher against any breach of such warranty. By publishing in Applied Finance Letters, the author(s) retain copyright but agree to the dissemination of their work through Applied Finance Letters.
By publishing in Applied Finance Letters, the authors grant the Journal a Creative Commons nonexclusive worldwide license (CC-BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License) for electronic dissemination of the article via the Internet, and, a nonexclusive right to license others to reproduce, republish, transmit, and distribute the content of the journal. The authors grant the Journal the right to transfer content (without changing it), to any medium or format necessary for the purpose of preservation.
Authors agree that the Journal will not be liable for any damages, costs, or losses whatsoever arising in any circumstances from its services, including damages arising from the breakdown of technology and difficulties with access.
