ADR spreads being discrepancies between returns on ADRs and returns on underlying shares, they do provide us with an indicator of US investors' relative optimism or pessimism. Panel data of firms with ADR programs from 35 countries during the period 1997-2007, reveal that global and local risk factors, related to market, exchange rate, liquidity and sentiment premiums account for these discrepancies. The investor sentiment hypothesis cannot be rejected and there is evidence that ADR spreads have significant predictive power over next period's ADR returns and over various active trading rules' returns. On a time series level, major events, such as the terrorist attacks of September, 11, are identified as structural breaks in the evolution of US investors' sentiment, as well as on its impact on ADR spreads. On a cross-sectional level, markets are "partially segmented" and the relative importance of spreads' factors varies across different regions of the world, as well as between emerging and developed markets.