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Exchange rate expectations, currency crises, and the pricing of American depositary receipts

Eichler, Stefan - 2012

Persistent link: https://www.econbiz.de/10009578128

What can currency crisis models tell us about the risk of withdrawal from the EMU? : evidence from ADR data

Eichler, Stefan - In: Journal of common market studies : JCMS 49 (2011) 4, pp. 719-739

Persistent link: https://www.econbiz.de/10009245153

Devaluation expectations based on cross-listed stocks : evidence for financial crises in Argentina then and now

Eichler, Stefan - In: Applied economics letters 21 (2014) 10/12, pp. 706-710

Persistent link: https://www.econbiz.de/10010416342

The ADR shadow exchange rate as an early warning indicator for currency crises

Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - In: Journal of banking & finance 33 (2009) 11, pp. 1983-1995

Persistent link: https://www.econbiz.de/10003892163

Currency crisis prediction using ADR market data : an options-based approach

Maltritz, Dominik; Eichler, Stefan - In: International journal of forecasting 26 (2010) 4, pp. 858-884

Persistent link: https://www.econbiz.de/10008807699

Stock market-induced currency crises : a new type of twins

Eichler, Stefan; Maltritz, Dominik - In: Review of development economics 15 (2011) 2, pp. 223-236

Persistent link: https://www.econbiz.de/10009152941

A market-based indicator of currency risk : evidence from American depositary receipts

Eichler, Stefan; Roevekamp, Ingmar - 2016

We introduce a novel currency risk measure based on American Depositary Receipts (ADRs). Using a multifactor pricing model, we exploit ADR investors’ exposure to potential devaluation losses to derive an indicator of currency risk. Using weekly data for a sample of 831 ADRs located in 23...

Persistent link: https://www.econbiz.de/10011435929

A market-based indicator of currency risk : evidence from American depositary receipts

Eichler, Stefan; Rövekamp, Ingmar - 2016

We introduce a novel currency risk measure based on American Depositary Receipts (ADRs). Using a multifactor pricing model, we exploit ADR investors? exposure to potential devaluation losses to derive an indicator of currency risk. Using weekly data for a sample of 831 ADRs located in 23...

Persistent link: https://www.econbiz.de/10011443069

Currency crises and the stock market : empirical evidence for another type of twin crisis

Eichler, Stefan; Maltritz, Dominik - In: Applied economics 43 (2011) 28/30, pp. 4561-4587

Persistent link: https://www.econbiz.de/10009388082

A market-based measure for currency risk in managed exchange rate regimes

Eichler, Stefan; Roevekamp, Ingmar - In: Journal of international financial markets, … 57 (2018), pp. 141-159

Persistent link: https://www.econbiz.de/10012127619