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US monetary policy and the pricing of American Depositary Receipts

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  • Roevekamp, Ingmar

Abstract

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.

Suggested Citation

  • Roevekamp, Ingmar, 2019. "US monetary policy and the pricing of American Depositary Receipts," Finance Research Letters, Elsevier, vol. 29(C), pages 418-424.
    • Handle: RePEc:eee:finlet:v:29:y:2019:i:c:p:418-424
    DOI: 10.1016/j.frl.2019.01.006
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    References listed on IDEAS

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    Cited by:

    1. Rövekamp, Ingmar, 2019. "US Monetary Policy and the Stability of Currency Pegs," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203525, Verein für Socialpolitik / German Economic Association.

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    More about this item

    Keywords

    American Depositary Receipts; FOMC meetings; US monetary policy;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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