| dc.description.abstract | In this thesis, we investigate the use of European ADRs in cum-fake schemes. We look at the
daily trading volume for all ADRs for European companies in the longest possible time span
for each company, with the longest being 1984 to 2022. Cum-fake, cum-cum and cum-ex
schemes have collectively resulted in huge funds being heisted from European governments
and tax authorities in recent years. The cum-fake scheme involves exploiting pre-released
ADRs to receive a tax refund on withholding tax that has never been paid.
Our analysis is divided into two parts. First, we look at the daily trading volume around the
ex-dividend date on a country-by-country basis, with the purpose of finding which European
countries have been affected by cum-fake trading. Secondly, we take these countries and use
the daily deviation from the yearly average of each company to find the years for each country
that show clear signs of cum-fake trading.
We find that there are several countries that show significant relations between the trading
volume and the ex-dividend date. However, the estimated abnormal volume is lower than
expected. In the yearly analysis, we find that the 1990s seems to be the most prevalent period
for cum-fake trading. | en_US |
