American Depositary: A Case Study for Brazilian Market
André Machado Caldeira, Giovanna Lamastra Pacheco, Walter Gassenferth, Maria Augusta Soares Machado
Specialists often question market efficiency. Some works
suggest arbitrage opportunities in several financial operations.
Such opportunities can be explained mainly by information
asymmetry, since pricing in the stock market is directly linked
to information; therefore, the investor that has access to such
information the soonest has a competitive advantage. The
objective of this paper is to verify the existence of arbitrage
opportunities via ADRs, traded in the American market, and
their respective stocks, which are traded in the domestic
market. Through a case study conducted with four companies,
not considering the transition costs, arbitrage opportunity
windows were found. Among the companies studied, two had
frequent arbitrage opportunities, for one of them the arbitrage
opportunity can be shaped by the time series model.