This study employs option price data to back out the implied portfolio volatilities of the dollar and carry trade risk factors of the G-10 currencies. To investigate expected volatility spillover effects between risk factors in FX markets, we extend Grobys (2015) and Diebold and Yilmaz (2009) by...

We investigate the potential link between momentum in currency returns and global economic risk as measured by currency return dispersion (RD). Initial tests contribute to the exchange rate puzzle by showing that the same macroeconomic risk component in currency markets is present in global...

Recent research (see Moreira and Muir, 2017) suggests that volatility-managed portfolios take less risk when volatility is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean-variance investors. We extend this literature by investigating the profitability...

This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk-managing adds value as the Sharpe ratio increases,...

This paper investigates Barosso and Santa-Clara's (2015) risk-managed momentum strategy in an industry momentum setting. We investigate several traditional momentum strategies including that recently proposed by Novy-Marx (2012). We moreover examine the impact of different variance forecast...

Extending Fama and French's (2018) U.S. study on choosing factors to international equity markets, we test nested and non-nested asset pricing models for North America, Europe, Asia excluding Japan, and Japan. For non-nested models, we propose a new simulation methodology using a blocks...

This is the first paper to explore the effects of perceived corruption on the FX market. It finds that the currencies of countries perceived to suffer from high levels of corruption generate statistically significantly lower returns than the currencies of countries perceived to have low levels...

Cryptocurrencies employ different consensus protocols to verify transactions. While the Proof-of-Work consensus protocol is the most energy consuming protocol, Proof-of-Stake and Hybrid consensus protocols have been introduced which consume considerably less energy. We employ portfolio analysis...