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Exchange rates and firms' liquidity: evidence from ADRs · Study

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ArticleExchange rates and firms' liquidity: evidence from ADRs

Roger D. Huang2001

Article2001

Exchange rates and firms' liquidity: evidence from ADRs

Roger D. Huang · Hans R. Stoll

28 citations·0/0 files stored·Journal of International Money and Finance

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Financial Markets and Investment Strategies Corporate Finance and Governance Global Financial Crisis and Policies

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References

1986Asset pricing and the bid-ask spread 1991Inferring Trade Direction from Intraday Data 2002Is Information Risk a Determinant of Asset Returns?1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS 1981Optimal dealer pricing under transactions and return uncertainty 1998Liquidity and stock returns: An alternative test 1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1

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2003Effects of exchange-rate and interest-rate risk on ADR pricing behavior

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Year2001

Typearticle

Published2001-06-01

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations28

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0261-5606(01)00001-8

openalex_workW1975495686

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