英文标题：
《Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies》
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作者：
Tim Leung and Jamie Kang
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最新提交年份：
2016
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英文摘要：
American Depositary Receipts (ADRs) are exchange-traded certificates that rep- resent shares of non-U.S. company securities. They are major financial instruments for investing in foreign companies. Focusing on Asian ADRs in the context of asyn- chronous markets, we present methodologies and results of empirical analysis of their returns. In particular, we dissect their returns into intraday and overnight com- ponents with respect to the U.S. market hours. The return difference between the S&P500 index, traded through the SPDR S&P500 ETF (SPY), and each ADR is found to be a mean-reverting time series, and is fitted to an Ornstein-Uhlenbeck process via maximum-likelihood estimation (MLE). Our empirical observations also lead us to develop and backtest pairs trading strategies to exploit the mean-reverting ADR-SPY spreads. We find consistent positive payoffs when long position in ADR and short position in SPY are simultaneously executed at selected entry and exit levels.
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中文摘要：
美国存托凭证（ADR）是代表非美国公司证券股份的交易所交易凭证。它们是投资外国公司的主要金融工具。我们将重点放在非同步市场背景下的亚洲ADR上，介绍其收益的实证分析方法和结果。特别是，我们根据美国市场小时数，将其收益分解为日间和隔夜成分。通过SPDR S＆P500 ETF（SPY）交易的S＆P500指数与每个ADR之间的收益差被发现为均值回复时间序列，并通过最大似然估计（MLE）拟合到Ornstein-Uhlenbeck过程。我们的经验观察还引导我们制定并回溯成对交易策略，以利用均值回复ADR-SPY利差。当ADR多头头寸和SPY空头头寸同时在选定的进入和退出水平执行时，我们发现一致的正回报。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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