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Cespa, Giovanni - 2020

We investigate the information contained in foreign exchange (FX) volume using a novel dataset from the over … exchange rate determination, in which volume helps reveal the degree of asymmetric information in currency markets. Testing … this prediction shows that asymmetric information is uniform across currency pairs but varies across instruments …

Persistent link: https://www.econbiz.de/10012853916

Global Liquidity Risk in the Foreign Exchange Market

Banti, Chiara - 2011

Using a broad data set of 20 US dollar exchange rates and order flow of institutional investors over 14 years, we construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the analogue of the well-known Pastor-Stambaugh liquidity...

Persistent link: https://www.econbiz.de/10013118806

Currency Momentum Strategies

Menkhoff, Lukas - 2014

We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess returns of up to 10% p.a. between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors,...

Persistent link: https://www.econbiz.de/10013067006

Currency Premia and Global Imbalances

Della Corte, Pasquale - 2017

We show that a global imbalance risk factor that captures the spread in countries' external imbalances and their propensity to issue external liabilities in foreign currency explains the cross-sectional variation in currency excess returns. The economic intuition is simple: net debtor countries...

Persistent link: https://www.econbiz.de/10012974252

Information Flows in Foreign Exchange Markets : Dissecting Customer Currency Trades

Menkhoff, Lukas - 2016

We study the information in order flows in the world's largest over-the-counter market, the foreign exchange market …

Persistent link: https://www.econbiz.de/10013007624

Information Flows in Foreign Exchange Markets : Dissecting Customer Currency Trades

Menkhoff, Lukas - 2016

We study the information in order flows in the world's largest over-the-counter market, the foreign exchange market …

Persistent link: https://www.econbiz.de/10013008113

Currency Risk Premia Redux

Nucera, Federico; Sarno, Lucio; Zinna, Gabriele - 2021

We study a large currency cross section using recently developed asset pricing methods. First, we show that the implied pricing kernel includes three latent factors: a strong U.S. `Dollar' level factor, and two weak, high Sharpe ratio `Carry' and `Momentum' slope factors. The evidence for an...

Persistent link: https://www.econbiz.de/10013240404

Currency Value

Menkhoff, Lukas - 2015

We assess the properties of currency value strategies based on real exchange rates in a cross-sectional portfolio setting. We find that real exchange rates predict currency excess returns, but in a way that is inconsistent with the notion of currency value because a high valuation level...

Persistent link: https://www.econbiz.de/10013032642

Currency Value

Menkhoff, Lukas - 2015

Persistent link: https://www.econbiz.de/10013035463

Volatility Risk Premia and Exchange Rate Predictability

Della Corte, Pasquale - 2015

We discover a new currency strategy with highly desirable return and diversification properties, which uses the predictive capability of currency volatility risk premia for currency returns. The volatility risk premium -- the difference between expected realized volatility and model-free implied...

Persistent link: https://www.econbiz.de/10013035847