IPO and Aftermarket Performance of Single‐Listed Chinese ADRs

Abstract

This paper analyzes the post-IPO and long-run aftermarket performances of singlelisted Chinese ADRs during the 2004-2010 period. Single-listed ADRs are traded daily in major exchanges in the United States, but their underlying shares are not traded in the issuer's home market. Our results show that over the short-run, buy-and-hold abnormal returns of single-listed Chinese ADRs following their IPO are not significantly different from the typical post-IPO performance of stocks in U.S. exchanges, including that of traditional dual-listed Chinese ADRs. Nevertheless, over the longer horizon, the excess returns of a portfolio composed solely of single-listed Chinese ADRs outperform a portfolio of dual-listed Chinese ADRs, but underperform a benchmark portfolio composed of U.S. firms matched on the basis of their IPO date. We also find that the portfolio formed solely of single-listed Chinese ADRs exhibits significantly distinct loadings on the common portfolio factors from the portfolio formed of dual-listed Chinese ADRs and from the benchmark portfolio of U.S. stocks.

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