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Effects of exchange-rate and interest-rate risk on ADR pricing behavior

  • Bin, Feng-Shun
  • Morris, Gay B.
  • Chen, Dar-Hsin
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    File URL: http://www.sciencedirect.com/science/article/B6W5T-47VH3G4-1/2/2d0fd9ebc284501e127f8ddcf3763c32
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    Article provided by Elsevier in its journal The North American Journal of Economics and Finance.

    Volume (Year): 14 (2003)
    Issue (Month): 2 (August)
    Pages: 241-262

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    Handle: RePEc:eee:ecofin:v:14:y:2003:i:2:p:241-262
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620163

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    1. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Bodnar, Gordon M. & Gentry, William M., 1993. "Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA," Journal of International Money and Finance, Elsevier, vol. 12(1), pages 29-45, February.
    4. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    5. Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August.
    6. Christine X. Jiang, 1998. "Diversification with American Depository Receipts: The Dynamics and the Pricing Factors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(5&6), pages 683-699.
    7. Callaghan, Joseph H. & Kleiman, Robert T. & Sahu, Anandi P., 1999. "The market-adjusted investment performance of ADR IPOs and SEOs," Global Finance Journal, Elsevier, vol. 10(2), pages 123-145.
    8. Liang, Youguo & Mougoue', Mbodja, 1996. "The pricing of foreign exchange risk: Evidence from ADRS," International Review of Economics & Finance, Elsevier, vol. 5(4), pages 377-385.
    9. Jorion, Philippe, 1990. "The Exchange-Rate Exposure of U.S. Multinationals," The Journal of Business, University of Chicago Press, vol. 63(3), pages 331-45, July.
    10. Warren Bailey & Kalok Chan & Y. Peter Chung, 2000. "Depositary Receipts, Country Funds, and the Peso Crash: The Intraday Evidence," Journal of Finance, American Finance Association, vol. 55(6), pages 2693-2717, December.
    11. Jorion, Philippe, 1991. "The Pricing of Exchange Rate Risk in the Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 363-376, September.
    12. Giliberto, Michael, 1985. "Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(01), pages 123-126, March.
    13. Heston, Steven L. & Rouwenhorst, K. Geert, 1994. "Does industrial structure explain the benefits of international diversification?," Journal of Financial Economics, Elsevier, vol. 36(1), pages 3-27, August.
    14. Robert E. Cumby & Maurice Obstfeld, 1980. "Exchange-Rate Expectations and Nominal Interest Differentials: A Test ofthe Fisher Hypothesis," NBER Working Papers 0537, National Bureau of Economic Research, Inc.
    15. Kim, Minho & Szakmary, Andrew C. & Mathur, Ike, 2000. "Price transmission dynamics between ADRs and their underlying foreign securities," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1359-1382, August.
    16. Paul Fenton & Alain Paquet, 1997. "International Interest Rate Differentials: The Interaction with Fiscal and Monetary Variables, and the Business Cycle," Cahiers de recherche CREFE / CREFE Working Papers 56, CREFE, Université du Québec à Montréal, revised Jan 1998.
    17. Cho, D Chinhyung & Eun, Cheol S & Senbet, Lemma W, 1986. " International Arbitrage Pricing Theory: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 41(2), pages 313-29, June.
    18. De Santis, Giorgio & Gerard, Bruno, 1998. "How big is the premium for currency risk?," Journal of Financial Economics, Elsevier, vol. 49(3), pages 375-412, September.
    19. Vincent BODART & Paul REDING, 2001. "Do Foreign Exchange Markets Matter Dor Industry Stock Returns ? An empirical investigation," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001016, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    20. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
    21. Bonomo, Vittorio & Ferris, Stephen P. & Noronha, Gregory, 1993. "The international impact of Federal Reserve Bank discount rate changes : Evidence from American depository receipts," Economics Letters, Elsevier, vol. 43(2), pages 211-218.
    22. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
    23. Jia He & Lilian K. Ng, 1998. "The Foreign Exchange Exposure of Japanese Multinational Corporations," Journal of Finance, American Finance Association, vol. 53(2), pages 733-753, 04.
    24. Sweeney, Richard J & Warga, Arthur D, 1986. " The Pricing of Interest-Rate Risk: Evidence from the Stock Market," Journal of Finance, American Finance Association, vol. 41(2), pages 393-410, June.
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