This paper studies the impact of economic policy uncertainty (EPU) on ADR mispricing. Investigating 605 ADRs from 13 countries and their underlying assets over the period from 2000 to 2018, we find consistent evidence that EPU in the U.S. impacts ADR mispricing differently as compared to EPU of the country of the underlying asset. Specifically, we find evidence for a statistically significant positive relationship between U.S. EPU and ADR mispricing, while the impact of domestic EPU on ADR mispricing is not statistically significant. We explain the findings for U.S. EPU with a potential flight away from policy uncertainty and toward foreign stocks listed in the U.S. (ADRs) and a simultaneously negative impact on the underlying stock’s return potentially related to the product market spillover hypothesis. The main findings are robust to dropping ADRs from developing countries from our sample and distinguishing between Level I and Levels II and III ADRs.

本文研究了经济政策不确定性（EPU）对ADR错误定价的影响。在2000年至2018年期间，调查了13个国家/地区的605个ADR及其基础资产，我们发现一致的证据表明，与基础资产所在国的EPU相比，美国的EPU对ADR定价错误的影响不同。具体来说，我们发现证据表明美国EPU与ADR定价错误之间存在统计学上显着的正相关关系，而国内EPU对ADR定价错误的影响在统计上并不显着。我们将解释美国EPU的发现，它可能会摆脱政策的不确定性而转向在美国上市的外国股票（ADR），同时对标的股票收益的负面影响可能与产品市场溢出假说有关。