Somewhere between a magical disappearing act and a cruel joke lies the untold story of Anglo American's (OTC: AAUKY.PK) ADR shares.

After more than a week of surprising media silence and persistent confusion, the picture is now clear. The American depositary receipts of London-based miner Anglo American were delisted from the Nasdaq exchange after the markets closed on July 31, 2009 ... because they were never sanctioned by the company in the first place.

If that's news to you, it was news to me, too!

Anglo American never authorized the issuance of ADR shares for trade on a U.S. exchange. Instead, the shares were part of a category known as unsponsored ADRs. Banks like JPMorgan Chase (NYSE:JPM), Citigroup (NYSE:C), and Bank of New York (NYSE:BK) will sometimes issue securities pegged to foreign shares of a given company without that company's involvement.

I knew that unsponsored ADRs trade over the counter on the Pink Sheets, but I never suspected that these securities could qualify for the Nasdaq OMX Group's (NASDAQ:NDAQ) venerable exchange. As an Anglo American shareholder, the joke is on me. The shares have been removed from key indices, which could cause fluctuations in institutional holdings.

According to an explanation from Anglo American's website, posted to my blog by CAPS member deepminer, the delisting relates to Nasdaq's transition to official designation as a "National Securities Exchange." Aug. 1 marked the end of a grace period for affected securities to comply with relevant SEC regulations. Other affected Nasdaq offerings included Fujifilm Holdings and Nissan Motors. (Although the latter's ADR was sponsored, Nissan chose not to register.)

Collective investigations like this one highlight the extraordinary value of community intelligence that CAPS members routinely enjoy. Since the news media provided no explanation for the delisting whatsoever, with the only initial public announcement a cryptic press release from Standard & Poor's, we Fools fended for ourselves to solve the mystery of the disappearing shares.

Global investors need not be alarmed. ADRs currently listed on the major U.S. exchanges, including Vale (NYSE:VALE), CNOOC (NYSE:CEO), and PetroChina (NYSE:PTR), are not at risk of delisting. If your ADRs trade over the counter, however, you might wish to determine whether the shares are sponsored or unsponsored, since this affects their reporting requirements. Better yet, let the expert team of globetrotting stock pickers at Motley Fool Global Gains (free 30-day trial) assist you in your research.

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Nasdaq OMX Group is a Motley Fool Inside Value selection. CNOOC and Nissan are Motley Fool Global Gains selections. Try any of our Foolish newsletters today, free for 30 days.

Fool contributor Christopher Barker will be reminded to step up his efforts to conduct due diligence every time he checks in on his Pink Sheets. He can be found blogging actively and acting Foolishly within the CAPS community under the username TMFSinchiruna. He tweets. He owns shares of Anglo American, CNOOC, and Vale. The Motley Fool has a fully sponsored disclosure policy.