Graduation Year
Fall 2010
Document Type
Open Access Senior Thesis
Degree Name
Bachelor of Arts
Department
Economics
Reader 1
Eric Hughson
Abstract
Non-arbitrage asset pricing has been an avenue of unending interest to financial academics and practitioners alike. With increased capital outflow being permitted by developing economies, investors now have easy access to securities issued by foreign firms. The issue investigated in this research is concerned with the persistent presence of arbitrage opportunities between depository receipts and domestic stocks of Indian firms during the recent financial crisis. Instead of being priced in parity with one another during the crisis, ADRs of Indian firms were overpriced by as much as 70% for months on end. This thesis investigates the reasons giving rise to this premium by analyzing causes like benefits from diversification and liquidity.
Recommended Citation
Gupta, Rajat, "Diversification Premium on Indian ADRs During the Financial Crisis" (2010). CMC Senior Theses. 23.
https://scholarship.claremont.edu/cmc_theses/23
