Foreign exchange risk, world diversification and Taiwanese ADRs

被引：4
作者：
Wang, AT
Yang, SY
机构：
[1] Natl Cheng Kung Univ, Dept Accounting, Tainan 701, Taiwan
[2] Natl Chung Hsing Univ, Dept Finance, Taichung 402, Taiwan
来源：
APPLIED ECONOMICS LETTERS | 2004年 / 11卷 / 12期
关键词：
D O I：
10.1080/1350485042000254629
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study tries to answer the following question: Should the US investors purchase American depository receipts (ADRs) issued by Taiwanese multinationals? The conditional international asset pricing model of Dumas and Solnik (Journal of Finance, 50, 445-79, 1995) is applied to price these Taiwanese American depository receipts (ADRs). Empirical results show that foreign exchange risk is priced in Taiwanese ADRs. Moreover, Taiwanese ADRs are shown to help US investors diversify their portfolios globally. These findings suggest that Taiwanese ADRs are valid investment tools for US investors who seek international diversifications.
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页码：755 / 758
页数：4
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