We introduce a novel indicator of eurozone exit risk based on American Depositary Receipts(ADRs). We exploit ADR investors' exposure to potential losses associated with a eurozoneexit, e.g. due to redenomination of underlying stocks into the new devaluated currency, capitalcontrols or trading...

We isolate the direct bank-to-sovereign distress channel within the Eurozone’s sovereignbank-loop by exploiting the global, non-Eurozone related variation in stock prices. We instrument banking sector stock returns in the Eurozone with exposure-weighted stock market returns from non-Eurozone...

In the course of eurozone exit, the underlying stocks of American Depositary Receipts (ADRs) would be redenominated from euros into the new national currency. We exploit ADR investors' exposure to currency redenomination losses to derive a novel measure of eurozone exit risk. We find that while...