Statistical arbitrage and FX exposure with South American ADRs listed on the NYSE
An American Depositary Receipt (ADR) represents ownership in the shares of a foreign company trading in US financial markets. We test a pair trading rule based on the mean reversion assumption for six South American stocks and their ADR counterparts on the NYSE. In our opinion, such a strategy shoul...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Masaryk University
2012-05-01
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| Series: | Financial Assets and Investing |
| Subjects: | |
| Online Access: | http://is.muni.cz/do/econ/soubory/aktivity/fai/33967799/FAI_issue2012_02_Broumandi_Reuber.pdf |