Investor sentiment, idiosyncratic risk, and mispricing of American Depository Receipt

被引：15

作者：

Wu, Qinqin ^{[1
]}

Hao, Ying ^{[2
]}

Lu, Jing ^{[1
,3
]}

机构：

[1] Chongqing Univ, Sch Econ & Business Adm, Chongqing, Peoples R China

[2] Beijing Normal Univ, Business Sch, Beijing, Peoples R China

[3] Chongqing Univ, Innovat Inst Corp Finance & Accounting Governance, Chongqing, Peoples R China

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2017年 / 51卷

基金：

中国国家自然科学基金;

关键词：

American Depository Receipt; Asset pricing; Idiosyncratic risk; Investor sentiment; CROSS-LISTED STOCKS; PANEL-DATA; ONE PRICE; ARBITRAGE; MARKET; RETURNS; SECTION; INFORMATION; VOLATILITY; LIQUIDITY;

D O I：

10.1016/j.intfin.2017.09.026

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate how total, local, and global sentiment as well as idiosyncratic risk influences the mispricing of the American Depository Receipt (ADR). We find that sentiment in the US market corresponding to that in ADR's home share market is positively related to the price deviations between ADR and its home share. Relative to investor sentiment, idiosyncratic risk plays a key role in affecting the mispricing of ADR. In particular, a high local sentiment in home share markets increases the effect of idiosyncratic risk on the mispricing of ADR, whereas high global sentiment decreases that effect. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：1 / 14

页数：14

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