Multi-market trading, price delay, and return predictability

•We develop measures of price delay for both ADRs and underlying equities.•ADRs with the severest price delay in responding to underlying equities command a remarkably high premium.•The price delay of underlying equity in responding to corresponding ADR returns also positively predicts future returns of the equity.•The idiosyncratic risk of the return differences between ADRs and underlying equities explains the results.