This study deletes some data because Level 1 ADR trades occur only once every several days and the trade volumes are small. When the liquidity of the Level 1 ADRs is too low, investors could easily control or manipulate the company's stock price. Under such circumstances, the share price cannot correctly reflect the actual value of the company. To avoid this problem, we refer to Callaghan and Barry (2003) to define“thinly traded” and delete those thinly traded ADRs. Callaghan and Barry (2003) define “thinly traded” as stocks trading on fewer than 90% of the trading days during the estimation period.