Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - In: Journal of Banking & Finance 33 (2009) 11, pp. 1983-1995
We develop an indicator for currency crisis risk using price spreads between American Depositary Receipts (ADRs) and their underlyings. This risk measure represents the mean exchange rate ADR investors expect after a potential currency crisis or realignment. It makes crisis prediction possible...