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標題: Foreign exchange risk, world diversification and Taiwanese ADRs
作者: Wang, A.T.;Yang, S.Y.
關鍵字: market;price
日期: 2004
Issue Date: 2012-12-14 09:48:23 (UTC+8)
關連: Applied Economics Letters, Volume 11, Issue 12, Page(s) 755-758.
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.
Relation: Applied Economics Letters
Appears in Collections:[依教師分類] 楊聲勇
[依資料類型分類] 期刊論文

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