Theses and Dissertations

Date of Award


Document Type


Degree Name

Doctor of Philosophy (PhD)


Business Administration

First Advisor

Dr. Diego Escobari

Second Advisor

Dr. Andre Mollick

Third Advisor

Dr. Yu Liu


This dissertation consists of four chapters, focusing on American Depositary Receipts (ADRs) and how they are affected by new measures of investor sentiment, new proxies of investor attention, and financial bubble detection. ADRs are negotiable certificates of ownership in foreign companies that are traded in the U.S. financial markets.

In Chapter I, I make a brief introduction of ADRs. The types of programs there are, the market capitalization and volume in general and to some specific countries.

In Chapter II, I show that negative investor sentiment measures, derived from internet aggregate search indices, have a contemporaneous negative effect on ADR stock indices and a second-day reversal behavior. To build the sentiment measure, I apply a similar methodology developed in recent literature to construct the Financial and Economic Attitudes Revealed by Search (FEARS) index. Moreover, evidence shows that this effect is greater for Latin American ADR indices at the aggregate level and on a country-specific level than for other regions. After matching the sample during times of turmoil, the results are consistent with the literature that employs this sentiment proxy with U.S. stock indices.

In Chapter III, I examine the effect of country-specific investor attention on ADR mispricing. Investor attention is measured by the amount of traffic a country profile receives on Wikipedia. A 2-Stage Least Squares (2SLS) model is employed to mitigate the potential endogeneity. Evidence shows that higher levels of investor attention have a negative impact on ADRs mispricing.

In Chapter IV, I utilize the Generalized Supremum Augmented Dickey-Fuller test methodology to identify and time-stamp the beginning and the end of financial bubbles in ADR stock indices. Evidence shows that there are multiple bubble episodes in the general ADR index, which correspond to bubble episodes in the S&P 500 during the preceding months of the 2008-2009 financial crisis. Moreover, I also identify several bubble periods on Latin American, European, and Asian ADR indices.


Copyright 2018 Juan P. Gutierrez. All Rights Reserved.