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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 should separa te the spread risk from the currency risk. This paper aims to challenge the positive results f ound in similar settings. The main achievement is to show that isolating FX exposure t urns such strategies that were presented as profitable to unprofitable and abnormal returns are just due to an appreciation in the home currencies versus the USD. Hence the results in som e of literature should be revised.

Statistical arbitrage and FX exposure with South American ADRs listed on the NYSE