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首页> 外文期刊>Applied Economics >Price transmission, foreign exchange rate risks and global diversification of ADRs
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Price transmission, foreign exchange rate risks and global diversification of ADRs

机译：价格传导，汇率风险和ADR的全球多元化

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The purposes of this article are to reinvestigate how returns of major American depository receipts (ADRs) from different countries are related to the underlying stock returns and to identify the determinants of ADR risk premiums. We use different types of error-correcting terms in vector error correction models to examine information flows between ADRs and the underlying foreign stocks. General method of moments estimation of conditional international asset pricing model of Dumas and Solnik (19959. Dumas, B and Solnik, B. 1995. The world price of foreign exchange risk. Journal of Finance , 50: 445-79. [CrossRef], [Web of Science ®]View all references) is applied to investigate ADR return premiums. We find that stock returns are more affected by disequilibrium between ADR and stock prices in an inefficient way. For US investors, foreign exchange rate risk premiums and world market risk premium (beyond US index) are priced in ADRs returns ex ante. Surprisingly, it is shown that the exchange rate of New Taiwan dollar and the interest rates of Brazil and Taiwan play important roles in determining ADR risk premiums across countries.View full textDownload full textRelated var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/00036840701736057
机译：本文的目的是重新研究来自不同国家的主要美国存托凭证（ADR）的收益与基础股票收益之间的关系，并确定ADR风险溢价的决定因素。我们在矢量纠错模型中使用不同类型的纠错项来检查ADR和相关外国股票之间的信息流。 Dumas和Solnik（19959. Dumas，B和Solnik，B. 1995.条件国际资产定价模型的矩矩估计的一般方法。世界外汇风险价格。金融杂志，50：445-79。[CrossRef]， [Web of Science®]查看所有参考资料）用于调查ADR收益溢价。我们发现，ADR和股价之间的不平衡会以一种低效的方式来影响股票收益。对于美国投资者而言，汇率风险溢价和世界市场风险溢价（超出美国指数）均事前以ADR收益计价。令人惊讶的是，事实表明，新台币的汇率以及巴西和台湾的利率在确定各国间的ADR风险溢价中起着重要作用。查看全文下载全文services_compact：“ citeulike，netvibes，twitter，technorati，可口，linkedin，facebook，stumbleupon，digg，google，更多”，发布：“ ra-4dff56cd6bb1830b”};添加到候选列表链接永久链接http://dx.doi.org/10.1080/00036840701736057

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