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Does foreign information predict the returns of multinational firms worldwide?

Finke, Christian; Weigert, Florian - 2015 - This version: September 2015

We investigate whether value-relevant foreign information only gradually dilutes into stock prices of multinational … on firms' foreign sales information yields future returns of more than 10% p.a. globally. The return spread due to … foreign information is substantial across different geographical regions and cannot be explained by traditional risk factors …

Persistent link: https://www.econbiz.de/10011344380

Limits to arbitrage during the crisis : funding liquidity constraints and covered interest parity

Mancini Griffoli, Tommaso; Ranaldo, Angelo - 2014

Arbitrage ensures that covered interest parity holds. The condition is central to price foreign exchange forwards and interbank lending rates, and reflects the efficient functioning of markets. Normally, deviations from arbitrage, if any, last seconds and reach a few basis points. After the...

Persistent link: https://www.econbiz.de/10010407205

Hedge fund characteristics and performance persistence

Ammann, Manuel; Huber, Otto; Schmid, Markus M. - 2010

In this paper, we investigate the performance persistence of hedge funds over time horizons between 6 and 36 months based on a merged sample from the Lipper/TASS and CISDM databases for the time period from 1994 to 2008. Unlike previous literature, we use a panel probit regression approach to...

Persistent link: https://www.econbiz.de/10009306604

Has hedge fund alpha disappeared?

Ammann, Manuel; Huber, Otto; Schmid, Markus M. - 2009

This paper investigates the alpha generation of the hedge fund industry based on a recent sample compiled from the Lipper/TASS database covering the time period from January 1994 to September 2008. We find a positive average hedge fund alpha in the cross-section for the majority of strategies...

Persistent link: https://www.econbiz.de/10009306646

Dollar dominance in FX trading

Somogyi, Fabricius - 2022 - This version: 1 February 2022

Over 85% of all foreign exchange (FX) transactions involve the US dollar. I show that the US dollar dominates FX trading volume because of strategic avoidance of price impact. To demonstrate this, I leverage the fact that non-dollar currency pairs can be traded indirectly by using the US dollar...

Persistent link: https://www.econbiz.de/10012815985