US monetary policy and the pricing of American Depositary Receipts

Ingmar Roevekamp

Finance Research Letters, 2019, vol. 29, issue C, 418-424

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.

Keywords: American Depositary Receipts; FOMC meetings; US monetary policy (search for similar items in EconPapers)
JEL-codes: E52 G12 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:418-424

DOI: 10.1016/j.frl.2019.01.006

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