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ADR mispricing: Do costly arbitrage and consumer sentiment explain the price deviation?

Citations

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Cited by:

  1. Li, Yuan & Ran, Jimmy, 2020. "Investor Sentiment and Stock Price Premium Validation with Siamese Twins from China," Journal of Multinational Financial Management, Elsevier, vol. 57.
  2. Fan, Rui & Talavera, Oleksandr & Tran, Vu, 2023. "Information flows and the law of one price," International Review of Financial Analysis, Elsevier, vol. 85(C).
  3. Aharon, David Y. & Baig, Ahmed S. & Delisle, R. Jared, 2022. "The impact of Robinhood traders on the volatility of cross-listed securities," Research in International Business and Finance, Elsevier, vol. 60(C).
  4. Dr. Romain Baeriswyl & Alex Oktay & Dr. Marc-Antoine Ramelet, 2023. "Exchange rate shocks and equity prices: the role of currency denomination," Working Papers 2023-05, Swiss National Bank.
  5. Alsayed, Hamad & McGroarty, Frank, 2012. "Arbitrage and the Law of One Price in the market for American depository receipts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1258-1276.
  6. Gagnon, Louis & Andrew Karolyi, G., 2010. "Multi-market trading and arbitrage," Journal of Financial Economics, Elsevier, vol. 97(1), pages 53-80, July.
  7. Chen, Jun & Tse, Yiuman & Williams, Michael, 2009. "Trading location and equity returns: Evidence from US trading of British cross-listed firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 729-741, December.
  8. Chen, Mei-ping & Lee, Chien-Chiang & Hsu, Yi-Chung, 2011. "The impact of American depositary receipts on the Japanese index: Do industry effect and size effect matter?," Economic Modelling, Elsevier, vol. 28(1-2), pages 526-539, January.
  9. Chih-hsiang Hsu & Ming-sung Kao & Wei-pen Tsai, 2014. "Information Transmission between Dual Listed Stocks with Non-Overlapping Trading Hours," Economics Bulletin, AccessEcon, vol. 34(3), pages 1733-1741.
  10. Shumi Akhtar & Robert Faff & Barry Oliver, 2011. "The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates," Australian Journal of Management, Australian School of Business, vol. 36(3), pages 387-403, December.
  11. Omar Esqueda & Yongli Luo & Dave Jackson, 2015. "The linkage between the U.S. “fear index” and ADR premiums under non-frictionless stock markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(3), pages 541-556, July.
  12. Mitra, Sovan & Raju Chinthalapati, V.L. & Clark, Ephraim & McGroarty, Frank, 2019. "Stock-ADR Arbitrage: Microstructure Risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  13. Akhtar, Shumi & Faff, Robert & Oliver, Barry & Subrahmanyam, Avanidhar, 2011. "The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1239-1249, May.
  14. Eichler, Stefan, 2011. "Exchange rate expectations and the pricing of Chinese cross-listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 443-455, February.
  15. Grossmann, Axel & Simpson, Marc W., 2015. "Bid-ask spreads, deviations from PPP and the forward prediction error: The case of the British pound and the euro," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 124-139.
  16. Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wu, Chih-Chiang, 2018. "Investor sentiment and evaporating liquidity during the financial crisis," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 21-36.
  17. Hales, Alma D. & Mollick, André V., 2014. "The impact of ADR activity on stock market liquidity: Evidence from Latin America," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 417-427.
  18. Lee, Chien-Chiang & Chang, Chi-Hung & Chen, Mei-Ping, 2015. "Industry co-movements of American depository receipts: Evidences from the copula approaches," Economic Modelling, Elsevier, vol. 46(C), pages 301-314.
  19. Dey, Malay K. & Wang, Chaoyan, 2012. "Return spread and liquidity: Evidence from Hong Kong ADRs," Research in International Business and Finance, Elsevier, vol. 26(2), pages 164-180.
  20. Grossmann, Axel & Ngo, Thanh & Simpson, Marc W., 2017. "The asymmetric impact of currency purchasing power imparities on ADR mispricing," Journal of Multinational Financial Management, Elsevier, vol. 42, pages 74-94.
  21. Demirer, Rıza & Kutan, Ali M. & Zhang, Huacheng, 2014. "Do ADR investors herd?: Evidence from advanced and emerging markets," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 138-148.
  22. Natalia Diniz-Maganini & Abdul A. Rasheed & Mahmut Yaşar & Hsia Hua Sheng, 2023. "Cross-listing and price efficiency: An institutional explanation," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 54(2), pages 233-257, March.
  23. Grossmann, Axel & Ngo, Thanh, 2022. "Cross-country cultural and economic freedom influences on the relationship between economic policy uncertainty and ADR mispricing," Research in International Business and Finance, Elsevier, vol. 62(C).
  24. Lee, Chien-Chiang & Chen, Mei-Ping, 2020. "Do natural disasters and geopolitical risks matter for cross-border country exchange-traded fund returns?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  25. Beckmann, Klaus S. & Ngo, Thanh & Wang, Daphne, 2015. "The informational content of ADR mispricing," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 1-14.
  26. Grossmann, Axel & Ngo, Thanh, 2020. "Economic policy uncertainty and ADR mispricing," Journal of Multinational Financial Management, Elsevier, vol. 55(C).
  27. Wang, Ming-Chieh, 2013. "Is there a reversal in the price discovery process under different market conditions? Evidence from Korean ADRs and their underlying foreign securities," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1160-1174.
  28. Malay K. Dey & Chaoyan Wang, 2008. "Return Spread and Liquidity on Chinese ADRs," NFI Working Papers 2008-WP-09, Indiana State University, Scott College of Business, Networks Financial Institute.
  29. Omar Esqueda & Dave Jackson, 2012. "Currency depreciation effects on ADR returns: evidence from Latin America," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(3), pages 691-711, July.
  30. Juan Pablo Gutierrez Pineda & Daniel Perez Liston, 2021. "The Effect of U.S. Investor Sentiment on Cross-Listed Securities Returns: A High-Frequency Approach," JRFM, MDPI, vol. 14(10), pages 1-15, October.
  31. Hansi Hu & Terry Walter, 2023. "Dividend imputation taxes and the curious case of a price premium between BHP and Billiton American depositary receipts," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 691-717, March.
  32. Yuan Li & Yu Zhang, 2021. "Investor Sentiment, Idiosyncratic Risk, and Stock Price Premium: Evidence From Chinese Cross-Listed Companies," SAGE Open, , vol. 11(2), pages 21582440211, June.
  33. Wang, Xue & Yao, Lee J. & Fang, Victor, 2013. "Stock prices and the location of trade: Evidence from China-backed ADRs," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 677-688.
  34. Askar Koshoev, 2022. "Contagious investor sentiments and their volatilities," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 14(1), pages 57-81, June.
  35. Wu, Qinqin & Hao, Ying & Lu, Jing, 2017. "Investor sentiment, idiosyncratic risk, and mispricing of American Depository Receipt," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 1-14.
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