원주와 DR의 가격괴리에 관한 실증연구

다국어 초록 (Multilingual Abstract)

This paper studies the price differential between original stock and depository receipt in Korea.
More importantly, current paper examines the relevance of the investors’ sentiment hypothesis, the exchange rate hypothesis, the investors’ attitudes toward risks hypothesis, the information asymmetry hypothesis, and the arbitrage transaction hypothesis. For this, determinants of the price differentials are investigated with respect to whole depository receipt (DR) sample, American depository receipt (ADR) and global depository receipt (GDR) samples, and impact of financial crisis. The empirical results show that the investors’ sentiment hypothesis and the exchange rate hypothesis are partially supported, and the investors’ attitudes toward risks hypothesis are consistently supported. Collectively, these findings suggest that the investors’ attitudes toward risks hypothesis plays significant role in explaining the price differential between original stock and depository receipt among the existing hypotheses.

참고문헌 (Reference)

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