The ex-dividend day behavior of American depository receipts Academic Article uri icon


  • We compare the ex-dividend day stock returns and trading volume of foreign stocks that trade in US markets as American Depository Receipts (ADRs) with the ex-day returns and volume of a matched sample of US stocks. This experiment allows us to investigate whether differences in the way dividends are paid and/or foreign currency risk affect the stock returns and trading volume of ADRs on the ex-dividend day. If these factors inhibit dividend capture in ADRs, then ADRs should earn larger ex-day returns than US stocks, and their ex-day trading volume should be lower. We present evidence consistent with these hypotheses. The results of a cross-sectional regression analysis of ex-day returns and volume are not consistent with a foreign exchange risk premium suppressing dividend capture in ADRs, however, suggesting that differences in dividend payment policies account for the lower level of dividend capture in ADRs. 2003 Elsevier B.V. All rights reserved.

published proceedings

  • Journal of Multinational Financial Management

author list (cited authors)

  • Gorman, L. R., Mahajan, A., & Weigand, R. A.

citation count

  • 7

complete list of authors

  • Gorman, Larry R||Mahajan, Arvind||Weigand, Robert A

publication date

  • January 2004