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- W2065644590 abstract "Abstract I show that the price discounts of Chinese cross-listed stocks (American Depositary Receipts (ADRs) and H-shares) to their underlying A-shares indicate the expected yuan/US dollar exchange rate. The forecasting models reveal that ADR and H-share discounts predict exchange rate changes more accurately than the random walk and forward exchange rates, particularly at long forecast horizons. Using panel estimations, I find that ADR and H-share investors form their exchange rate expectations according to standard exchange rate theories such as the Harrod–Balassa–Samuelson effect, the risk of competitive devaluations, relative purchasing power parity, uncovered interest rate parity, and the risk of currency crisis." @default.
- W2065644590 created "2016-06-24" @default.
- W2065644590 creator A5058732030 @default.
- W2065644590 date "2011-02-01" @default.
- W2065644590 modified "2023-09-23" @default.
- W2065644590 title "Exchange rate expectations and the pricing of Chinese cross-listed stocks" @default.
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- W2065644590 doi "https://doi.org/10.1016/j.jbankfin.2010.08.023" @default.
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