Devaluation Expectations Based on Cross-listed Stocks: Evidence for Financial Crises in Argentina Then and Now
Stefan Eichler
Applied Economics Letters,
Nr. 10,
2014
Abstract
I use the relative prices of American Depositary Receipts and their underlying stocks to derive devaluation expectations. I find that stockholders currently perceive an overvalued peso. Devaluation expectations are driven by the incentive of competitive devaluation and sovereign default risk.
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