What are the risks of investing in an unsponsored American Depositary Receipt (ADR)?

What are the risks of investing in unsponsored ADRs? Is the risk different from that of sponsored ADRs?

I initially believed that volume would be a problem for unsponsored ADRs, but then I noticed that some of the highest volume OTC ADRs are unsponsored. For example, Tencent Holding Ltd. (TCEHY), Nintendo Co., Ltd. (NTDOY), LVMH Moët Hennessy Louis Vuitton (LVMUY). Is there a significant risk that volume will dry up and lock me into my unsponsored ADR investment?