J. Michael Pinegar, R. Ravichandran, U.S. Investors' Perceptions of Corporate Control in Mexico: Evidence from Sibling ADRs, The Journal of Financial and Quantitative Analysis, Vol. 38, No. 1 (Mar., 2003), pp. 213-230

Between 1992 and 1997, Indian firms were the most frequent issuers of equity-backed Global Depositary Receipts (GDRs) governed by the SEC's Rule 144A and Regulation S. They also accounted for the highest dollar volume. Home-market stock price responses to these issues are consistent with the hypotheses that GDRs enable firms to resolve two forms of information asymmetry: (1) an asymmetry between issuing firms and international investors that results from market segmentation and (2) an asymmetry between Indian firms and home-market investors that resembles asymmetries that help explain abnormal returns in equity private placements by US firms. Our evidence suggests that GDR issuance can increase investors' recognition of underlying shares even if there are no liquidity enhancements and even if disclosure requirements are not as demanding as those imposed on foreign firms whose depositary receipts trade in public US markets.

Eric C. Chang, J. Michael Pinegar, R. Ravichandran, International Evidence on the Robustness of the Day-of-the-Week Effect, The Journal of Financial and Quantitative Analysis, Vol. 28, No. 4 (Dec., 1993), pp. 497-513

This study considers the joint influence of contemporaneous and lagged responses to macroeconomic news in explaining US day-of-the-week effects. Macroeconomic news is measured by movements in large firms' stock prices. The average response of smaller stocks to these movements is abnormally high on Mondays, especially in down markets. After corrections for these asymmetries, the US day-of-the-week effect weakens substantially for most size-ranked portfolios in most of the six approximately equal subperiods between 1962 and 1992. These findings suggest that seasonals in processing macroeconomic news account for much of the day-of-the-week effect in equity returns.