In this paper we examine for the first time the short-term predictability of American Depository Receipts (ADRs) in reaction to extreme price movements. Based on an analysis of 2,911 extreme price movements that took place within either normal trading hours or after-hours in the period 2001-2019, we conclude that those extreme returns were on average followed by significant reversals. This response represents an overreaction in prices, which challenges the weak version of the efficient market hypothesis. Price reversals are especially pronounced following extreme returns observed during after-hours, which lends support to the assertion that ADR markets are particularly inefficient during this trading period. These findings carry important implications for both market practitioners and regulators.

中文翻译：

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美国存托凭证的短期过度反应

在本文中，我们首次研究了美国存托凭证 (ADR) 对极端价格变动的反应的短期可预测性。根据对 2001 年至 2019 年期间正常交易时间内或盘后发生的 2,911 次极端价格变动的分析，我们得出结论，这些极端回报平均随后会出现重大逆转。这种反应代表了价格的过度反应，这对有效市场假说的弱版本提出了挑战。在盘后观察到极端回报后，价格反转尤其明显，这支持了 ADR 市场在此交易期间效率特别低的断言。这些发现对市场从业者和监管者都具有重要意义。