This paper examines the risks and returns of Latin American stocks following American depository receipt (ADR) listings in U.S. equity markets and finds no systematic change in their volatility. This finding differs from previous results for ADR introduction on European and Asian stocks,...

This study examines the proper risk proxy for an equity index. For each of nine indexes, an implied volatility index (VI) is computed from its options. For each, it determines whether the indexes’ return is explained better by the contemporaneous change in its own VI or that for a broader...