The impact of international cross listings on risk and return: the evidence from American Depository Receipts

Article Abstract:

An analysis of the effect on underlying stock risk and return of American Depository Receipts (ADRs) listing is presented. It is shown that ADR listings generate positive abnormal returns forunderlying stocks on listing day. Results also show that such listings are related to permanent increases of the underlying stock's return volatilities. These findings imply a market with informed traders.

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"the first shall be last". Size and value strategy premia at the London Stock Exchange

Article Abstract:

A new study analyzing the determinants of the London Stock Exchange's cross-section stock returns between 1971 and 1997 finds that portfolio strategies based on low values of market to book value, earning per share, return on equity and market value significantly outperform the index.

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Real effective exchange rate volatility and growth: a framework to measure advantages of flexibility vs. cost of volatility

Article Abstract:

A study is conducted to analyze the impact of real effective exchange rate volatility on the growth of capital gains.

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