The performance of American Depository receipts listed on the New York Stock Exchange: the case of utilities.

Schaub, Mark ; Casey, K. Michael

ABSTRACT

In this study, we test the early and aftermarket returns of utility company American Depository Receipts (ADRs) issued from January 1987 through September 2000 and traded on the New York Stock Exchange. The results are broken down to compare IPOs versus SEOs and emerging market firms versus developed market firms. Findings indicate that utility industry ADRs significantly underperform the S&P 500 in the early trading, with the entire sample returning 5.35 percentage points less than the market index in the first month of trading. IPOs perform worse than SEOs and developed market issues perform worse than emerging market utility industry ADRs in the short-run.

Over the three-year holding period from date of issue, developed market utility ADRs tend to underperform those issued in emerging markets and utility SEOs underperform IPOs. The entire utility ADR sample underperformed the S&P 500 index by 23 percentage points in the three-year trading horizon. Essentially, our study shows foreign utility-firm ADRs initially listed on the NYSE from 1987 through mid-2000 underperformed the S&P 500 at the time of listing and for the three-year period following.

INTRODUCTION

The utilities industry consists of mostly large firms with strong, non-volatile earnings. Often regulated and in many cases with monopoly power (at least locally), utilities firms are unique in the United States, providing a safe stream of income to investors. But how do foreign utilities firms compare? The purpose of this study is to answer this question by reporting and statistically testing the early and long-term performance of foreign utility industry equities traded in the US as American Depository Receipts relative to the performance of the S&P 500 market index.

We examine daily returns for the first month, and monthly returns for three years after the issue date of non-US utility equities listed on the New York Stock Exchange (NYSE). These returns are adjusted based on the corresponding returns of the S&P 500 index to determine the excess return of foreign utility stocks relative to the market return. The excess return results are segmented to compare foreign utility IPO issues to those that are seasoned equity offerings (SEOs) and equities that were issued by firms headquartered in emerging countries to those from developed countries.

LITERATURE REVIEW

ADR Studies

American Depository Receipts (ADRs) represent ownership of foreign equities held on deposit by large custodian banks in the United States. Each receipt is backed by various share quantities of foreign stock bundled to reflect average common share prices in US equity markets. The primary purpose of ADR creation is to enable U.S. investors to participate in foreign equities without dealing directly with the foreign exchange and currency markets.

Several ADR studies examine ADR returns relative to a market benchmark using standard IPO methodology. Callaghan, Kleiman and Sahu (1999) reported positive market-adjusted returns for ADRs in the early and long-term investment horizons and found emerging market ADR returns to be higher than those for firms from developed countries. Specifically, they report one-day abnormal returns of 5.29% and one-month cumulative daily returns of 2.35% for a sample of 66 ADRs issued from 18 different countries and traded on the NYSE, the AMEX and the NASDAQ from 1986 to 1993. Annually, they found the cumulative abnormal returns for NYSE-traded ADRs were 19.6% for the first year; with the 12-month cumulative abnormal return for ADRs issued by firms in countries considered emerging markets at 34.37%.

Foerster and Karolyi (2000) found ADRs underperform comparable firms by 8% to 15% during the three-year period following the date of issuance, in contrast to the Callaghan et al. (1999) study. They examined ADR returns for a full three years from the issue date for a sample of 333 global equity offerings listed from 1982 through 1996 and including ADRs from 35 countries in Asia, Latin America and Europe. Their entire sample accumulated 1-month excess returns of -1.13% and 12-month cumulative abnormal returns of -4.07% relative to the index benchmark. The 36-month underperformance was significant with cumulative abnormal returns of -14.99% based on a local index. When compared to a US index, the cumulative abnormal returns for the ADRs were -27.53% for the three-year holding period.

Schaub and Casey (2002), Schaub (2003), and Schaub, Casey and Heslop (2004) performed industry specific ADR studies. Schaub and Casey (2002) examined short-term returns for foreign oil and gas firms listed on the New York Stock Exchange and found there was no significant difference in the performance of those firms and the S&P 500 index for the first 25 days of trading. Schaub (2003) found similar short-term results for 32 foreign bank equities listed on the New York Stock Exchange. In the long term, Schaub et al. (2004) found 34 foreign oil and gas equities performed roughly the same as the S&P 500 index for the first three years of trading from the date of listing on the New York Stock Exchange.

IPO Studies

Because ADR research uses similar methodologies as IPO studies, the results of research in the area of IPOs may be comparable to those of this study. Most research has found significant short-term abnormal positive returns for initial public offerings (IPOs), including Neuberger and La Chapelle (1983), McDonald and Fisher (1972), Neuberger and Hammond (1974), Reilly (1977), Logue (1973), Ibbotson (1975), Ibbotson and Jaffe (1975), Ritter (1984), Miller and Reilly (1987), and Ibbotson, Sindelar and Ritter (1988) examine IPO early returns. Short term results suggest first-day IPO abnormal returns in US markets range from as low as .60% (Barry and Jennings 1993) to 26.5% (Ritter 1984) and five-day cumulative abnormal returns range from 5.09% (Block and Stanley 1980) to 28.5% (McDonald and Fisher 1972).

In the long-run IPO studies, Ritter (1991) examined the long-term performance of IPOs and found that, from the first day of trading to the third anniversary, a sample of 1,526 IPOs issued from 1975-84 underperformed the benchmark by 27.4%. Essentially, Ritter's (1991) findings suggest the early positive abnormal performance of IPOs does not hold over the long term, and has found agreement from Brav and Gompers (1997).

Studies of foreign IPO behavior produced similar conclusions. Aggarwal, Leal and Hernandez (1993) found 62 Brazilian IPOs, 36 Chilean IPOs, and 44 Mexican IPOs significantly outperformed the local benchmark the first day of trading, but significantly underperformed the same benchmark after three years of trading. Other studies provide additional evidence of long-run underperformance of IPOs in foreign equity markets, including Levis (1993) and Huang (1999) who examined the UK amd Taiwan IPO performance respecitively. Studies that report differing results for the long-term IPO performance include Ben Naceur (2000), who examined the Tunisian market, and Dawson (1987), who reported long-term positive abnormal returns for IPOs traded in Malaysia.

RESEARCH METHODOLOGY

This study investigates the early and long-run abnormal returns of foreign utility industry new equity issues traded on the New York Stock Exchange. The sample consists of 24 ADRs initially listed on the New York Stock Exchange from January 1, 1987 through September 30, 2000. Of the 24 ADRs, 15 are initial public offerings (IPOs) and 9 are seasoned equity offerings (SEOs). The emerging markets sample size contains 8 firms and the developed market ADRs make up the remaining 16. Table 1 gives a further breakdown of the sample composition.

Standard IPO event study methodology was followed to compute and test the abnormal returns of the foreign equity portfolios. The daily and monthly holding period returns for each security are computed first. Then, daily abnormal returns are computed by subtracting the daily returns of each security from that of the S&P 500. The monthly abnormal returns are computed by subtracting each monthly holding period return from that of the S&P 500 index. The S&P 500 proxies the market return because the ADR sample includes only firms listed on the NYSE.

Equations 1 through 3 describe the process for computing abnormal returns and cumulative abnormal returns for statistical testing. The abnormal return for each security i on day t ([ar.sub.it]) is computed as the return of the security on day t ([r.sub.it]) minus the return of the market on day t ([r.sub.mt]) as shown in equation 1 below. For computing monthly abnormal returns, t represents the respective month.

[ar.sub.it] = [r.sub.it] - [r.sub.mt] (1)

Equation 2 computes the average abnormal return for the sample for day/month t ([AR.sub.t]) as the equally-weighted arithmetic average of the abnormal returns of each of the n securities during day/month t.

ARt = 1/n [n.summation over (i=1)] [ar.sub.it] (2)

Cumulative abnormal returns as of day/month s are computed as the summation of the average abnormal returns starting at day/month 1 until day/month s in Equation 3.

CAR1,s = [s.summation over (t=1)] [AR.sub.t] (3)

Daily/monthly average abnormal returns and the cumulative abnormal returns are tested to determine significance using a Z-score. The respective p-values for these tests are reported. A p-value of .10 or less indicates the abnormal return or cumulative abnormal return is significantly different from 0.

THE ANALYSIS

Results From Early Trading

Tables 2 through 5 summarize the early and aftermarket performance of the equities by type of issue and type of market. Contrary to the results of other ADR studies and most IPO research, the abnormal return on the first day of trading was small and non-significant for the entire sample, as reported in Table 2. This finding suggests the average NYSE-traded foreign utility equity issue returned roughly the same as the S&P 500.

The cumulative abnormal returns for the entire sample were negative and significant for the first month of trading, reaching a significant negative cumulative abnormal return of 5.35% by day 21. Both IPOs and SEOs appear to respond about the same with significant cumulative abnormal losses of -6.03% and -5.04% respectively.

Table 3 reports the early-trading results when the sample is split into utility equities issued by firms headquartered in emerging markets versus those headquartered in developed markets. By day 21, the cumulative abnormal returns were negative in the emerging market sample, but not significant. In contrast, the developed markets experienced negative returns (-5.68%) by day 21 that were highly significant. The results suggest emerging market firms may have outperformed developed market companies, providing limited support for Callaghan et al. (1999).

Results From Aftermarket Trading

Tables 4 and 5 show the long-term results of the foreign utility issues by month for the first 3 years of trading on the New York Stock Exchange. The results, reported for the entire sample in Table 4, suggest the securities substantially underperformed the S&P 500 during this period. The cumulative abnormal returns by the end of the three-year period were -22.83% and statistically significant.

Also in Table 4, note that the emerging market sample outperformed the developed market sample, though both groups reported negative CAR's during most of the test period. The cumulative abnormal losses of the emerging market sample were not significant, while the developed market sample posted significant cumulative abnormal losses of -26.48% by the end of three years. Again, these results suggest the emerging market firms outperformed the developed market firms in the three-year test period.

Breaking the long-term results into the IPO portfolio and the SEO portfolio in Table 5, we see similar negative returns. The IPO sample exhibits double-digit negative cumulative abnormal returns during the entire three-year period, but this result is insignificant. Conversely, the SEO sample posts significant losses and ends the three-year period with a -35.93% abnormal return. Among firms tested, the IPO sample outperforms the SEO utility firm sample in the three-year test period.

SUMMARY

Previous ADR and IPO studies reported significant abnormal returns in the early trading. Likewise, most aftermarket IPO studies reported long-run underperformance for IPO portfolios as compared to market benchmarks. Callaghan, Kleiman and Sahu (1999) reported one-day and one-year positive abnormal returns for a sample of 66 ADRs issued from 18 different countries and traded on the NYSE, the AMEX and the NASDAQ from 1986 to 1993. They found that the emerging market ADRs outperformed the ADRs backed by securities traded in mature markets. This study, confining its sample to utility companies, finds a similar pattern of results in both early trading and at three years after listing of the ADR.

The results of this study provide some evidence that the US markets overprice non-US utility equities across the entire time horizon of this study and provides substantial support for Foerster and Karolyi (2000). Although the sample included all utility ADRs issued on the NYSE from January 1987 through September 2000, these results should be interpreted with caution since the sample size, particularly when broken down, is small. Perhaps a larger sample might shed additional light on why utility ADRs appear to be overpriced at issue and go on to substantially underperform the market.

REFERENCES

Aggarwal, R., R. Leal and L. Hernandez (1993). The aftermarket performance of initial public offerings in Latin America. Financial Management, 22, 42-53.

Barry, C. and R. Jennings (1993). The opening price performance of initial public offerings of common stock. Financial Management, 22, 54-63.

Ben Naceur, S (2000). An examination of the Tunisian IPO pricing in the short and long run: 1992-1997. Applied Economics Letters, 7, 293-296.

Bhandari, A., T. Grammatikos, A. Makhija and G. Papaloannou (1989). Risk and return on newly listed stocks: the post-listing experience. Journal of Financial Research, 12, 93102.

Block, S. and M. Stanley (1980). The financial characteristics and price movement patterns of companies approaching the unseasoned securities market in the late 1970's. Financial Management, 30-36.

Brav, A. and P. Gompers (1997). Myth or reality? The long-run underperformance of initial public offerings: evidence from venture and nonventure capital-backed companies. Journal of Finance, 52, 1791-1821.

Callaghan, J., R. Kleiman, and A. Sahu (1999). The market-adjusted investment performance of ADR IPOs and SEOs, Global Finance Journal, 10 (2), 123-145.

Dawson, S (1987). The secondary stock market performance of initial public offerings in Hong Kong, Singapore and Malaysia: 1978-1984. Journal of Business, Finance & Accounting, 65-76.

Foerster, S. and A. Karolyi (2000). The long-run performance of global equity offerings. Journal of Financial and Quantitative Analysis, 35, 499-528.

Huang, Y. (1999). The price behavior of initial public offerings on the Taiwan Stock Exchange. Applied Financial Economics, 9, 201-208.

Ibbotson, R. (1975). Price performance of common stock new issues. Journal of Financial Economics, 235-272.

Ibbotson, R. and J. Jaffe (1975). 'Hot issue' markets. Journal of Finance, 30, 1027-1042.

Ibbotson, R., J. Sindelar and J. Ritter (1988). Initial public offerings. Journal of Applied Corporate Finance, 1, 37-45.

Jayaraman, N., K. Shastri and K. Tandon (1993). The impact of international cross listings on risk and return: the evidence from American depository receipts. Journal of Banking & Finance, 17, 91-103.

Levis, M. (1993). The long-run performance of initial public offerings: the UK experience 1980-1988. Financial Management, 22, 28-42.

Logue, D. (1973). On the pricing of unseasoned equity issues: 1965-1969. Journal of Financial and Quantitative Analysis, 91-103.

Martell, T., L. Rodriguez, Jr. and G. Webb (1999). The impact of listing Latin American ADRs on the risks and returns of the underlying shares. Global Finance Journal, 10, 147-160.

Mauer, D. and L. Senbet (1992). The effect of the secondary market on the pricing of initial public offerings: theory and evidence. Journal of Financial and Quantitative Analysis, 55-79.

McDonald, J. and A. Fisher (1972). New-issue stock price behavior. Journal of Finance, 97-102.

Miller, R. and F. Reilly (1987). An examination of mispricing, returns, and uncertainty of initial public offerings. Financial Management, 33-38.

Neuberger, B. and C. Hammond (1974). A study of underwriters' experience with unseasoned new issues. Journal of Financial and Quantitative Analysis, 165-177.

Neuberger, B. and C. LaChapelle (1983). Unseasoned new issue price performance on three tiers: 1975-1980. Financial Management, 23-28.

Reilly, F. (1977). New issues revisited. Financial Management, 28-42.

Ritter, J. (1984). The 'hot issue' market of 1980. Journal of Business, 57, 215-240.

Ritter, J. (1991). The long-run performance of initial public offerings. Journal of Finance, 46, 3-27.

Schaub, M. and M. Casey (2002). "Shareholder Wealth Effects of Foreign Oil & Gas Equity Listings: Early Evidence from the NYSE." Oil, Gas and Energy Quarterly, Vol. 50, No. 3, 635-645.

Schaub, M. (2003). "The Early Performance of Non-US Banking Equities on the NYSE." Managerial Finance, Vol. 29, No. 11, 49-60.

Schaub, M., M. Casey and G. Heslop (2004). "Long-Term Investment Performance of Foreign Oil & Gas Equities Listed on the New York Stock Exchange." Oil, Gas and Energy Quarterly, Vol. 52, No. 3, pp. 507-518.

Mark Schaub, Northwestern State University

K. Michael Casey, University of Central Arkansas

Table 1
Sample Description by Type of Issue and Level of Issue

Column 1 Column 2 Column 3 Column 4

 Emerging Developed Total
ADR Type of Issue Sample Sample ADRs
IPO 7 8 15
SEO 1 8 9
Totals 8 16 24

Table 2. The Early Return Performance By Day For the Entire
Sample, IPO and SEO Utilities Issues

 Entire ADR Sample (Obs = 24)

Day AR P-value CAR P-value

D1 -0.82% 0.16 -0.82% 0.16
D2 -1.21% 0.02# -2.03% 0.02#
D3 -0.27% 0.24 -2.30% 0.02#
D4 -1.47% 0.01# -3.77% 0.00#
D5 0.16% 0.48 -3.61% 0.00#
D6 -0.82% 0.02# -4.43% 0.00#
D7 -0.17% 0.35 -4.60% 0.00#
D8 -0.55% 0.17 -5.16% 0.00#
D9 0.33% 0.23 -4.83% 0.00#
D10 -0.02% 0.52 -4.85% 0.00#
D11 0.62% 0.11 -4.22% 0.01#
D12 -0.36% 0.09# -4.58% 0.01#
D13 -0.11% 0.38 -4.69% 0.01#
D14 0.37% 0.18 -4.32% 0.01#
D15 -0.35% 0.14 -4.67% 0.01#
D16 -0.23% 0.26 -4.90% 0.01#
D17 0.14% 0.45 -4.77% 0.01#
D18 -0.17% 0.36 -4.94% 0.01#
D19 0.10% 0.41 -4.84% 0.01#
D20 -0.46% 0.17 -5.30% 0.01#
D21 -0.05% 0.41 -5.35% 0.01#

 ADRs Issued as IPOs (Obs = 15)

Day AR P-value CAR P-value

D1 -1.32% 0.17 -1.32% 0.17
D2 -0.70% 0.22 -2.02% 0.11
D3 -0.10% 0.44 -2.12% 0.11
D4 -1.74% 0.01# -3.86% 0.02#
D5 0.20% 0.40 -3.66% 0.04#
D6 -1.07% 0.04# -4.73% 0.01#
D7 0.12% 0.42 -4.60% 0.02#
D8 -0.03% 0.48 -4.63% 0.02#
D9 0.44% 0.25 -4.20% 0.04#
D10 -0.12% 0.40 -4.32% 0.04#
D11 0.45% 0.29 -3.87% 0.07#
D12 -0.22% 0.29 -4.09% 0.06#
D13 0.05% 0.46 -4.04% 0.07#
D14 -0.16% 0.39 -4.20% 0.06#
D15 -0.44% 0.14 -4.64% 0.05#
D16 -0.40% 0.19 -5.05% 0.04#
D17 -0.45% 0.30 -5.49% 0.03#
D18 -0.07% 0.46 -5.56% 0.03#
D19 0.37% 0.25 -5.19% 0.05#
D20 -0.36% 0.23 -5.55% 0.04#
D21 -0.48% 0.13 -6.03% 0.03#

 ADRs Issued as SEOs (Obs = 9)

Day AR P-value CAR P-value

D1 -0.15% 0.39 -0.15% 0.39
D2 -2.11% 0.00# -2.26% 0.00#
D3 -0.70% 0.14 -2.96% 0.00#
D4 -0.93% 0.21 -3.89% 0.00#
D5 -0.25% 0.25 -4.15% 0.00#
D6 -0.47% 0.12 -4.62% 0.00#
D7 -0.70% 0.18 -5.32% 0.00#
D8 -1.45% 0.05 -6.77% 0.00#
D9 0.19% 0.39 -6.58% 0.00#
D10 0.27% 0.35 -6.32% 0.00#
D11 1.03% 0.03# -5.29% 0.01#
D12 -0.70% 0.04# -5.98% 0.01#
D13 -0.36% 0.22 -6.34% 0.00#
D14 1.53% 0.04# -4.82% 0.03#
D15 -0.41% 0.31 -5.22% 0.03#
D16 0.02% 0.49 -5.20% 0.03#
D17 0.93% 0.01# -4.27% 0.07#
D18 -0.35% 0.28 -4.62% 0.06#
D19 -0.35% 0.34 -4.98% 0.05#
D20 -0.64% 0.27 -5.62% 0.04#
D21 0.58% 0.19 -5.04% 0.06#

The computation of average abnormal returns (AR) is
described in equation 2 in the text and the computation
of cumulative abnormal returns (CAR) is described
in equation 3 in the text. P-values in bold italics
represent returns that are significant at an
alpha level of 10% or lower.

Note: P-values in bold italics represent returns that
are significant at an alpha level of 10% or lower are
indicated with #.

Table 3. The Early Return Performance By Day For the
Entire Sample, Emerging and Developed Markets Foreign
Utilities Issues *

 Entire ADR Sample (Obs = 24)

Day AR P-value CAR P-value

D1 -0.82% 0.16 -0.82% 0.16
D2 -1.21% 0.02# -2.03% 0.02#
D3 -0.27% 0.24 -2.30% 0.02#
D4 -1.47% 0.01# -3.77% 0.00#
D5 0.16% 0.48 -3.61% 0.00#
D6 -0.82% 0.02# -4.43% 0.00#
D7 -0.17% 0.35 -4.60% 0.00#
D8 -0.55% 0.17 -5.16% 0.00#
D9 0.33% 0.23 -4.83% 0.00#
D10 -0.02% 0.52 -4.85% 0.00#
D11 0.62% 0.11 -4.22% 0.01#
D12 -0.36% 0.09# -4.58% 0.01#
D13 -0.11% 0.38 -4.69% 0.01#
D14 0.37% 0.18 -4.32% 0.01#
D15 -0.35% 0.14 -4.67% 0.01#
D16 -0.23% 0.26 -4.90% 0.01#
D17 0.14% 0.45 -4.77% 0.01#
D18 -0.17% 0.36 -4.94% 0.01#
D19 0.10% 0.41 -4.84% 0.01#
D20 -0.46% 0.17 -5.30% 0.01#
D21 -0.05% 0.41 -5.35% 0.01#

 ADRs Issued as IPOs (Obs = 15)

Day AR P-value CAR P-value

D1 -2.23% 0.17 -2.23% 0.17
D2 -0.72% 0.18 -2.96% 0.11
D3 -0.58% 0.16 -3.54% 0.07#
D4 -1.74% 0.11 -5.28% 0.03#
D5 1.73% 0.16 -3.55% 0.10#
D6 -1.01% 0.17 -4.57% 0.07#
D7 -0.15% 0.41 -4.72% 0.06#
D8 0.12% 0.47 -4.59% 0.08#
D9 0.79% 0.23 -3.80% 0.13
D10 0.01% 0.42 -3.79% 0.14
D11 0.63% 0.30 -3.16% 0.20
D12 -0.68% 0.06# -3.84% 0.15
D13 0.13% 0.44 -3.71% 0.16
D14 -0.15% 0.40 -3.86% 0.18
D15 -0.19% 0.12 -4.06% 0.15
D16 -0.77% 0.15 -4.83% 0.12
D17 -1.07% 0.11 -5.90% 0.08#
D18 0.53% 0.34 -5.36% 0.10#
D19 0.22% 0.39 -5.14% 0.11
D20 0.53% 0.26 -4.61% 0.14
D21 -0.09% 0.34 -4.69% 0.13

 ADRs Issued as SEOs (Obs = 9)

Day AR P-value CAR P-value

D1 -0.12% 0.37 -0.12% 0.37
D2 -1.45% 0.03# -1.57% 0.04#
D3 -0.12% 0.42 -1.68% 0.06#
D4 -1.33% 0.03# -3.01% 0.01#
D5 -0.63% 0.04# -3.64% 0.00#
D6 -0.73% 0.01# -4.37% 0.00#
D7 -0.18% 0.38 -4.55% 0.00#
D8 -0.89% 0.05# -5.44% 0.00#
D9 0.10% 0.41 -5.34% 0.00#
D10 -0.03% 0.47 -5.37% 0.00#
D11 0.62% 0.07# -4.76% 0.00#
D12 -0.20% 0.29 -4.96% 0.00#
D13 -0.22% 0.20 -5.18% 0.00#
D14 0.63% 0.19 -4.55% 0.01#
D15 -0.43% 0.22 -4.98% 0.01#
D16 0.04% 0.46 -4.94% 0.01#
D17 0.74% 0.11 -4.20% 0.03#
D18 -0.52% 0.11 -4.73% 0.02#
D19 0.04% 0.47 -4.69% 0.02#
D20 -0.96% 0.05# -5.64% 0.01#
D21 -0.04% 0.47 -5.68% 0.01#

* See footnote for Table 2

The computation of average abnormal returns (AR) is
described in equation 2 in the text and the computation
of cumulative abnormal returns (CAR) is described in
equation 3 in the text. P-values in bold italics represent
returns that are significant at an alpha level of 10% or
lower.

Note: P-values in bold italics represent returns that are
significant at an alpha level of 10% or lower indicated
with #.

Table 4. Long-term Return Performance by Month for Utility ADRs
Broken Down by Developed and Emerging Market Issues *

 Entire Utility Sample (Obs = 24)

Mo AR P-value CAR P-value

 +1 -6.58% 0.00# -6.58% 0.00#
 +2 -1.00% 0.22 -7.58% 0.00#
 +3 -0.68% 0.26 -8.26% 0.00#
 +4 -0.64% 0.40 -8.90% 0.01#
 +5 1.21% 0.26 -7.70% 0.03#
 +6 3.17% 0.17 -4.52% 0.16
 +7 -0.28% 0.37 -4.80% 0.15
 +8 -0.36% 0.49 -5.16% 0.16
 +9 -1.68% 0.23 -6.84% 0.12
+10 7.88% 0.05# 1.04% 0.46
+11 0.15% 0.50 1.18% 0.46
+12 1.39% 0.32 2.57% 0.49
+13 -1.16% 0.29 1.42% 0.48
+14 -2.66% 0.08# -1.24% 0.38
+15 2.63% 0.12 1.39% 0.49
+16 -0.47% 0.35 0.92% 0.45
+17 -0.80% 0.44 0.11% 0.44
+18 -1.92% 0.22 -1.81% 0.38
+19 -3.53% 0.02# -5.34% 0.25
+20 -1.67% 0.20 -7.01% 0.20
+21 0.68% 0.40 -6.33% 0.23
+22 -3.37% 0.06# -9.70% 0.15
+23 0.29% 0.49 -9.41% 0.15
+24 -3.82% 0.01# -13.23% 0.09#
+25 -1.91% 0.11 -15.14% 0.06#
+26 2.01% 0.13 -13.13% 0.10#
+27 0.09% 0.40 -13.04% 0.11
+28 -2.15% 0.11 -15.19% 0.08#
+29 -2.55% 0.08# -17.74% 0.05#
+30 3.56% 0.03# -14.18% 0.10#
+31 3.24% 0.13 -10.93% 0.16
+32 2.09% 0.15 -8.84% 0.21
+33 -1.62% 0.26 -10.46% 0.17
+34 -2.77% 0.09# -13.23% 0.12
+35 -4.29% 0.00# -17.52% 0.06#
+36 -5.31% 0.01# -22.83% 0.03#

 Utility ADRs from Emerging Markets
 (Obs = 8)

Mo AR P-value CAR P-value

 +1 -6.82% 0.02# -6.82% 0.02#
 +2 0.68% 0.41 -6.15% 0.07#
 +3 -4.37% 0.15 -10.52% 0.04#
 +4 -0.62% 0.47 -11.14% 0.05#
 +5 2.31% 0.24 -8.83% 0.12
 +6 0.28% 0.49 -8.55% 0.13
 +7 -3.69% 0.10# -12.24% 0.07#
 +8 -3.54% 0.33 -15.78% 0.06#
 +9 3.15% 0.10# -12.62% 0.11
+10 19.78% 0.05# 7.15% 0.47
+11 -1.05% 0.24 6.10% 0.50
+12 2.17% 0.33 8.27% 0.47
+13 -3.91% 0.21 4.36% 0.47
+14 -3.02% 0.30 1.34% 0.43
+15 0.93% 0.44 2.26% 0.45
+16 -4.54% 0.03# -2.27% 0.34
+17 4.01% 0.01# 1.73% 0.44
+18 1.64% 0.30 3.37% 0.49
+19 -0.83% 0.30 2.54% 0.46
+20 -5.79% 0.01# -3.25% 0.35
+21 2.06% 0.20 -1.19% 0.38
+22 -4.10% 0.02# -5.29% 0.31
+23 -0.41% 0.33 -5.70% 0.30
+24 -5.16% 0.05# -10.86% 0.22
+25 0.88% 0.47 -9.98% 0.22
+26 8.27% 0.00# -1.71% 0.37
+27 1.27% 0.20 -0.44% 0.41
+28 -4.40% 0.07# -4.84% 0.33
+29 0.55% 0.33 -4.28% 0.34
+30 2.11% 0.22 -2.18% 0.39
+31 -0.94% 0.36 -3.12% 0.37
+32 2.20% 0.17 -0.91% 0.41
+33 0.19% 0.31 -0.72% 0.39
+34 -0.60% 0.18 -1.32% 0.34
+35 -7.61% 0.01# -8.93% 0.22
+36 -6.61% 0.00# -15.54% 0.14

 Utilitiy ADRs from Developed Markets
 (Obs = 16)

Mo AR P-value CAR P-value

 +1 -6.45% 0.00# -6.45% 0.00#
 +2 -1.84% 0.21 -8.30% 0.00#
 +3 1.16% 0.23 -7.13% 0.02#
 +4 -0.65% 0.40 -7.79% 0.04#
 +5 0.65% 0.40 -7.13% 0.09#
 +6 4.62% 0.15 -2.51% 0.36
 +7 1.43% 0.30 -1.08% 0.44
 +8 1.23% 0.31 0.15% 0.49
 +9 -4.10% 0.04# -3.95% 0.32
+10 1.93% 0.24 -2.02% 0.41
+11 0.75% 0.31 -1.27% 0.44
+12 1.00% 0.39 -0.27% 0.49
+13 0.22% 0.43 -0.05% 0.50
+14 -2.48% 0.08# -2.53% 0.40
+15 3.48% 0.10# 0.95% 0.46
+16 1.56% 0.29 2.52% 0.40
+17 -3.21% 0.08# -0.69% 0.47
+18 -3.70% 0.04# -4.40% 0.34
+19 -4.88% 0.01# -9.28% 0.20
+20 0.39% 0.45 -8.89% 0.22
+21 0.00% 0.50 -8.90% 0.23
+22 -3.00% 0.16 -11.90% 0.17
+23 0.64% 0.40 -11.26% 0.19
+24 -3.15% 0.06# -14.41% 0.13
+25 -3.31% 0.05# -17.72% 0.09#
+26 -1.11% 0.32 -18.83% 0.08#
+27 -0.50% 0.43 -19.34% 0.08#
+28 -1.02% 0.33 -20.36% 0.07#
+29 -4.11% 0.06# -24.47% 0.04#
+30 4.29% 0.04# -20.18% 0.08#
+31 5.33% 0.09# -14.84% 0.16
+32 2.03% 0.23 -12.81% 0.20
+33 -2.52% 0.29 -15.33% 0.17
+34 -3.86% 0.15 -19.19% 0.12
+35 -2.64% 0.04# -21.82% 0.09#
+36 -4.66% 0.08# -26.48% 0.06#

* See footnote for Table 2

The computation of average abnormal returns (AR) is
described in equation 2 in the text and the computation
of cumulative abnormal returns (CAR) is described in
equation 3 in the text. P-values in bold italics represent
returns that are significant at an alpha level of 10% or
lower.

Note: P-values in bold italics represent returns that are
significant at an alpha level of 10% or lower indicated
with #.

Table 5. Long-term Return Performance by Month for Utility ADRs
Broken Down by Initial Public Offerings and Seasoned Equity
Offerings *

 Entire Utility Sample (Obs = 24)

Mo AR P-value CAR P-value

 +1 -6.58% 0.00# -6.58% 0.00#
 +2 -1.00% 0.22 -7.58% 0.00#
 +3 -0.68% 0.26 -8.26% 0.00#
 +4 -0.64% 0.40 -8.90% 0.01#
 +5 1.21% 0.26 -7.70% 0.03#
 +6 3.17% 0.17 -4.52% 0.16
 +7 -0.28% 0.37 -4.80% 0.15
 +8 -0.36% 0.49 -5.16% 0.16
 +9 -1.68% 0.23 -6.84% 0.12
+10 7.88% 0.05# 1.04% 0.46
+11 0.15% 0.50 1.18% 0.46
+12 1.39% 0.32 2.57% 0.49
+13 -1.16% 0.29 1.42% 0.48
+14 -2.66% 0.08# -1.24% 0.38
+15 2.63% 0.12 1.39% 0.49
+16 -0.47% 0.35 0.92% 0.45
+17 -0.80% 0.44 0.11% 0.44
+18 -1.92% 0.22 -1.81% 0.38
+19 -3.53% 0.02# -5.34% 0.25
+20 -1.67% 0.20 -7.01% 0.20
+21 0.68% 0.40 -6.33% 0.23
+22 -3.37% 0.06# -9.70% 0.15
+23 0.29% 0.49 -9.41% 0.15
+24 -3.82% 0.01# -13.23% 0.09#
+25 -1.91%# 0.11# -15.14%# 0.06#
+26 2.01%# 0.13# -13.13%# 0.10#
+27 0.09%# 0.40# -13.04%# 0.11#
+28 -2.15%# 0.11# -15.19%# 0.08#
+29 -2.55%# 0.08# -17.74%# 0.05#
+30 3.56%# 0.03# -14.18%# 0.10#
+31 3.24% 0.13 -10.93% 0.16
+32 2.09% 0.15 -8.84% 0.21
+33 -1.62% 0.26 -10.46% 0.17
+34 -2.77% 0.09# -13.23% 0.12
+35 -4.29% 0.00# -17.52% 0.06#
+36 -5.31% 0.01# -22.83% 0.03#

 Utility ADRs from Emerging Markets
 (Obs = 8)

Mo AR P-value CAR P-value

 +1 -7.15% 0.00# -7.15% 0.00#
 +2 0.51% 0.40 -6.63% 0.03#
 +3 -2.36% 0.28 -9.00% 0.04#
 +4 1.17% 0.30 -7.82% 0.09#
 +5 2.58% 0.20 -5.24% 0.21
 +6 4.42% 0.17 -0.83% 0.46
 +7 -3.00% 0.11 -3.82% 0.32
 +8 -3.10% 0.17 -6.93% 0.22
 +9 1.74% 0.22 -5.19% 0.29
+10 6.03% 0.12 0.84% 0.47
+11 -0.15% 0.46 0.69% 0.47
+12 -1.11% 0.35 -0.41% 0.49
+13 -1.33% 0.27 -1.74% 0.44
+14 -2.59% 0.11 -4.33% 0.35
+15 1.52% 0.28 -2.81% 0.41
+16 0.01% 0.50 -2.80% 0.41
+17 2.53% 0.12 -0.27% 0.49
+18 -1.81% 0.28 -2.08% 0.44
+19 -1.55% 0.24 -3.63% 0.39
+20 -4.40% 0.08# -8.03% 0.27
+21 -1.57% 0.29 -9.60% 0.24
+22 -4.12% 0.01# -13.72% 0.16
+23 2.39% 0.17 -11.32% 0.21
+24 -4.13% 0.02# -15.46% 0.14
+25 -1.01%# 0.35# -16.47%# 0.13#
+26 3.77%# 0.09# -12.70%# 0.19#
+27 0.79%# 0.38# -11.91%# 0.21#
+28 -3.82%# 0.05# -15.73%# 0.15#
+29 -1.88%# 0.21# -17.61%# 0.12#
+30 3.90%# 0.05# -13.72%# 0.19#
+31 5.49% 0.10# -8.22% 0.30
+32 1.59% 0.21 -6.64% 0.34
+33 -0.51% 0.40 -7.14% 0.33
+34 -2.99% 0.07# -10.14% 0.27
+35 -4.62% 0.02# -14.75% 0.19
+36 -6.23% 0.01# -20.98% 0.11

 Utilitiy ADRs from Developed Markets
 (Obs = 16)

Mo AR P-value CAR P-value

 +1 -6.27% 0.01# -6.27% 0.01#
 +2 -4.97% 0.11 -11.25% 0.01#
 +3 -0.66% 0.39 -11.91% 0.01#
 +4 -3.40% 0.22 -15.31% 0.01#
 +5 -0.26% 0.47 -15.56% 0.02#
 +6 0.95% 0.40 -14.61% 0.04#
 +7 3.05% 0.25 -11.56% 0.12
 +8 4.98% 0.08# -6.59% 0.26
 +9 -6.86% 0.01# -13.45% 0.11
+10 9.66% 0.12 -3.79% 0.39
+11 0.23% 0.46 -3.56% 0.40
+12 5.10% 0.16 1.54% 0.46
+13 0.03% 0.49 1.57% 0.46
+14 -1.75% 0.26 -0.19% 0.50
+15 4.15% 0.13 3.96% 0.40
+16 -2.31% 0.22 1.65% 0.46
+17 -5.04% 0.05# -3.39% 0.42
+18 -1.42% 0.28 -4.81% 0.39
+19 -7.50% 0.00# -12.31% 0.23
+20 2.34% 0.16 -9.96% 0.28
+21 4.25% 0.19 -5.71% 0.37
+22 -1.97% 0.35 -7.68% 0.34
+23 -3.89% 0.06# -11.57% 0.27
+24 -3.27% 0.13 -14.84% 0.21
+25 -4.47%# 0.03# -19.31%# 0.15#
+26 0.18%# 0.48# -19.14%# 0.16#
+27 0.15%# 0.49# -18.99%# 0.17#
+28 -0.03%# 0.50# -19.02%# 0.17#
+29 -3.61%# 0.12# -22.63%# 0.13#
+30 3.49%# 0.16# -19.14%# 0.17#
+31 -0.58% 0.42 -19.72% 0.17
+32 2.92% 0.25 -16.81% 0.21
+33 -4.66% 0.28 -21.46% 0.17
+34 -4.78% 0.24 -26.24% 0.13
+35 -4.66% 0.01# -30.90% 0.09#
+36 -5.03% 0.16 -35.93% 0.07#

* See footnote for Table 2

The computation of average abnormal returns (AR) is
described in equation 2 in the text and the computation
of cumulative abnormal returns (CAR) is described in
equation 3 in the text. P-values in bold italics represent
returns that are significant at an alpha level of 10% or
lower.

Note: P-values in bold italics represent returns that are
significant at an alpha level of 10% or lower indicated
with #.