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The Role Of Liquidity In The Market For American Depositary Receipts: Evidence From Latin America, Alma Delia Hales
The Role Of Liquidity In The Market For American Depositary Receipts: Evidence From Latin America, Alma Delia Hales
Theses and Dissertations - UTB/UTPA
Since 2003 Latin America has exhibited macroeconomic stability that starkly contrasts conditions in the 1990s. Capital flows from the United States to Latin American equity markets, particularly through American Depositary Receipts (ADRs), increased from 2003 until 2008 when they declined due to the global financial crisis. However, by 2010, capital flows to most Latin American countries exceeded their pre-crisis levels. In spite of the reported macroeconomic stability and rising capital flows, Latin American stock markets remain underdeveloped and exhibit low domestic liquidity. This dissertation analyzes the relationship between low domestic liquidity and the market for ADR issues from four Latin …
Capm And Irrational Market: Theories And Empirical Studies, Jaehan Koh
Capm And Irrational Market: Theories And Empirical Studies, Jaehan Koh
Theses and Dissertations - UTB/UTPA
With a new interpretation of the Capital Asset Pricing Model (CAPM), this dissertation explains that the CAPM has an implied assumption of no mispricing. The CAPM should work if mispricing is removed from all assets in the market, leading to the Rational CAPM. The Rational CAPM measures value changes of the market, and then yields value changes of an asset/portfolio by employing value changes of the market in the model. For the Rational CAPM, this dissertation explains that risk, mispricing, irrationality and (investor) sentiment all indicate the same. Using the value changes from the Rational CAPM and historical dividend yields, …