Cross-Listing, Price Discovery and the Informativeness of the Trading Process

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The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom (2006, unknown): “One weakness of the Patro (2000) study is that it focuses on portfolios that can mask interesting firm-specific deviations from arbitrage, especially around certain events.”
US ADR and Hong Kong H-share discounts of Shanghai-listed firms (2008, background): “2 We focus on weekly data rather than daily, or intra-day, data (cf. Grammig et al., 2005; Pascual et al., 2006), as we believe that sentiment effects may otherwise be confounded by exchange rate noise and other very short-term volatility.”
What Do Price Discovery Metrics Really Measure (2013, background): “For example, the disconnect is likely to be relatively small in studies that compare the contributions to price discovery of different stock exchanges or trading venues that have similar structure using cross-listed stocks (e.g., Hasbrouck, 1995; Huang, 2002; Harris et al., 2002; Eun and Sabherwal, ”