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Time-varying risk premia in American depository receipt returns
Gregory, Richard P. - In: Global Business and Economics Review 9 (2007) 1, pp. 19-37
of a sample of 80 American Depository Receipts (ADRs) from 11 developed markets. Estimations based on a Multivariate … GARCH in mean (MGARCH-M) model find that changes over time have led to the market for ADRs to become more integrated with … ADRs as a class are exposed to all three forms of risk. Some ADRs exhibit pricing of at least one risk factor and sometimes …
Persistent link: https://www.econbiz.de/10008538911
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Do emerging markets provide currency diversification benefits?
Chaieb, Ines; Errunza, Vihang R.; Majerbi, Basma - In: International journal of banking, accounting and finance 5 (2013/14) 1/2, pp. 102-120
Persistent link: https://www.econbiz.de/10010359126
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Country risk and expected returns across global equity markets
Zaremba, Adam - In: Finance a úvěr 68 (2018) 4, pp. 374-398
Persistent link: https://www.econbiz.de/10011919795
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Do emerging markets provide currency diversification benefits?
Chaieb, Ines; Errunza, Vihang; Majerbi, Basma - In: International Journal of Banking, Accounting and Finance 5 (2013) 1/2, pp. 102-120
We examine the role of emerging markets in providing currency diversification benefits. We use global sectoral portfolios for developed and emerging markets. Our empirical tests based on a conditional international asset pricing model show that on average the prices of currency risks are very...
Persistent link: https://www.econbiz.de/10010722731
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The cross-section of industry equity returns and global tactical asset allocation across regions and industries
Umutlu, Mehmet; Bengitöz, Pelin - In: International review of financial analysis 72 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012437215
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Volatility links between the home and the host market for UK dual-listed stocks on US markets
Ben Sita, Bernard; Abdallah, Wissam - In: Journal of international financial markets, … 33 (2014), pp. 183-199
Persistent link: https://www.econbiz.de/10011299846
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The efficient market hypothesis : the applicability of quantitative methods to foreign stocks traded as American depository receipts (ADRs)
Stanley, Darrol J.; Kinsman, Michael D.; Samuelson, Bruce A. - In: International journal of entrepreneurship and small business 19 (2013) 3, pp. 293-308
Persistent link: https://www.econbiz.de/10009788023
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Transmission of pricing information between level III ADRs and their underlying domestic stocks : empirical evidence from India
Bhattacharjee, Kaushik; Bang, Nupur Pavan; Mamidanna, Sravya - In: Journal of multinational financial management 24 (2014), pp. 43-59
Persistent link: https://www.econbiz.de/10010336197
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Chinese single-listed ADRs : returns and volatility
Rodríguez, Javier; Toledo, Wilfredo - In: International journal of managerial finance : IJMF 11 (2015) 4, pp. 480-502
Persistent link: https://www.econbiz.de/10011455242
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Do cross-listers bond to US markets? : an examination of earnings quality around SOX
Lail, Bradley E. - In: Advances in accounting : a research annual 30 (2014) 2, pp. 354-366
Persistent link: https://www.econbiz.de/10010474285