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Stock Return Autocorrelation and Institutional Investors: The Case of American Depository Receipt

Опубликовано на портале: 25-10-2007
Review of Accounting and Finance. 2006.  Vol. 5. No. 1. P. 45-58. 
Though stock portfolio return autocorrelation is well documented in the literature, its cause is still not clearly understood. Presently, evidence of private information induced stock return autocorrelation is still very limited. The difficulty in obtaining foreign country information by small investors makes the private information of institutional investors in the ADR (American Depository Receipt) market more significant and influential. As such, the ADR market provides a favorable environment for testing the effect of private information on return autocorrelation. The purpose of this paper is to address this issue.

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