exchange markets, but it typically last only a few seconds. "Free lunch" is in the form of (a) negative spreads in a currency … pair and (b) triangular arbitrage relationship involving three currency pairs. The latter occur much more often than the … simultaneously take place on both sides of ask and bid (or three currency trades in case of triangular arbitrage) occur more often …

The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between …, sovereign bond and currency returns, thus offering a unified risk view of these asset classes. In contrast, popular models that …

We examine carry trade returns formed from the G10 currencies. Performance attributes depend on the base currency …

cross-sectional variation in currency returns. The data also support a number of additional implications of the model: The … introduction of a currency union lowers interest rates in participating countries and stocks in the non-traded sector of larger …

. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross … empirically distinct, and to estimate the joint restrictions they place on models of currency returns. We find that the forward … cross-time component. By contrast, the “carry trade” anomaly is driven largely by the cross-currency component. Our …

be attractive to risk-minimizing global equity investors despite their low average returns. The risk-minimizing currency … strategy for a global bond investor is close to a full currency hedge, with a modest long position in the US dollar. There is … little evidence that risk-minimizing investors should adjust their currency positions in response to movements in interest …