 Cross-country cultural and economic freedom influences on the relationship between economic policy uncertainty and ADR mispricingAxel Grossmann and Thanh Ngo Research in International Business and Finance, 2022, vol. 62, issue C Abstract: Extending the findings by Grossmann and Ngo (2020) that ADR mispricing is higher upon heightened U.S. economic policy uncertainty (EPU), we document that culture and economic freedom differences moderate the relationship between EPU and ADR mispricing. In line with a combined flight to safety and familiarity argument, an increase in U.S. EPU is associated with higher mispricing for ADRs from countries with cultures and economic freedom similar to the U.S. The mispricing of these ADRs is also impacted by domestic EPU considering cultural differences. This is especially the case for cultures perceived to have lower risk aversion or home bias and might be explained by the familiarity argument as well as domestic investors’ flight toward domestic stocks that have, according to the product market spill over hypothesis, more of a global exposure (e.g., cross-listed stocks). The main findings are not altered by the Covid-19 period or other robustness checks. Keywords: ADRs; Mispricing; Economic Policy Uncertainty; Cultural Dimensions, Economic Freedom (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922001027 DOI: 10.1016/j.ribaf.2022.101714 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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