Can risk-rebalancing explain the negative correlation between stock return differential and currency? : or, does source status drive it?
Year of publication: |
January 2016
|
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Authors: | Ülkü, Numan ; Fatullayev, Sabutay ; Diachenko, Daria |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 27.2016, p. 28-54
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Subject: | Exchange rates | Stock market return differentials | Equity portfolio flows | Portfolio rebalancing. | Kapitaleinkommen | Capital income | Schätzung | Estimation | Portfolio-Investition | Foreign portfolio investment | Wechselkurs | Exchange rate | Aktienmarkt | Stock market | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Korrelation | Correlation | Deutschland | Germany | Risikoprämie | Risk premium |
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