Analysis of the emission of American Depositary Receipts of Brazilian companies through the extraction of linguistic summaries

Abstract

The cross-listing mechanism enables that companies collect funds and investors invest in capital markets of foreign countries. Among the objectives are the increase in the liquidity, the reduction of the risk and of the capital cost. In this context, this paper analyses the relationship of dually listed stocks of Brazilian companies, simultaneously traded on the São Paulo stock Exchange and New York Exchange, through American Depositary Receipts (ADR). In this sense, we evaluate which of the markets has the greatest influence on the pricing of those assets. For this purpose, we extract knowledge in the form of linguistic summaries representing attribute co-variations, enriched by different types of additional information which characterize the context and describe the co-variation type.