US monetary policy and the pricing of American Depositary Receipts

被引：0
|
作者：
Roevekamp, Ingmar [1 ]
机构：
[1] Tech Univ Dresden, Dept Econ & Business, Chair Int Monetary Econ, Dresden, Germany
来源：
FINANCE RESEARCH LETTERS | 2019年 / 29卷
关键词：
American Depositary Receipts; FOMC meetings; US monetary policy; TRANSMISSION; SHOCKS; RATES; STOCK; RISK;
D O I：
10.1016/j.frl.2019.01.006
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
I study the pricing of American Depositary Receipts (ADRs) on FOMC announcement days. I add to Savor and Wilson (2014) and Du and Hu (2015) by documenting that ADRs yield a significant fraction of their cumulative excess returns (about 36.16%) on FOMC announcement days characterized by a negative monetary surprise that account for less than 1% of total trading days between January 1997 and December 2016. One potential explanation might be found in the economically and statistically highly significant world market risk premia in the magnitude of 55.81 basis points on FOMC meeting days with negative monetary surprise.
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页码：418 / 424
页数：7
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