EFFECTS ON RETURN AND ON AVERAGE LIQUIDITY OF THE SHARES OF THE COMPANIES THAT ISSUED ADRS IN NYSE AND THE ONES THAT ADHERED TO THE NEW MARKET

Abstract

The effects on return and on average liquidity of the shares, in the two situations (when some companies adhere and meet the requirements of New Market and when some companies issue ADRs, and so meet the Sarbanes-Oxley requirements) are assessed in this research by using the Event Study methodology. The events considerate were the adherence dates to the New Market and the deposit dates of the form 20-F in SEC, after the adjustments due date to meet the law. The test-t of Student, at a significance level of 5%, was applied to the performance indexes of the abnormal return and average liquidity, in the period of (-15) to (+15) days around the events dates. The results show that there is no statistic difference that allows affirming that there is a return increase in companies that issue ADRs in the NYSE. Also, statistic differences were not identified in the behavior of the average liquidity of the shares in these companies. However, there are statistic differences in the behavior of the average liquidity of the preferential shares against the ordinary shares in the companies that issue ADRs in the NYSE.