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Can Book-to-Market, Size and Momentum Be Risk Factors That Predict Economic Growth
Liew, Jimmy; Vassalou, Maria - C.E.P.R. Discussion Papers - 1999
We examine the extent to which the profitability of the HML, SMB, and WML trading strategies can be linked to future GDP growth. Using a large cross-section of securities from ten developed markets, we find that the HML and SMB portfolios contain significant information about future GDP growth....
Persistent link: https://www.econbiz.de/10005791430
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Foreigners Trading and Price Effects Across Firms
Dahlquist, Magnus; Robertsson, Göran - C.E.P.R. Discussion Papers - 2001
We study the investment behaviour of foreign investors in association with an equity market liberalization, and find a strong link between foreigners' trading and local market returns. In the period following the liberalization, foreigners' net purchases led to a permanent increase in prices, or...
Persistent link: https://www.econbiz.de/10005114153
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Common Macro Factors and Currency Premia
Filippou, Ilias; Taylor, Mark P - C.E.P.R. Discussion Papers - 2014
momentum strategies. We construct domestic and global factors from a large dataset of macroeconomic and financial variables and … consumption variables drive dollar carry trade payoffs and momentum returns are driven by global commodity and U.S. inflation …
Persistent link: https://www.econbiz.de/10011084700
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The Impact of Globalization on the Equity Cost of Capital
Hardouvelis, Gikas A; Malliaropoulos, Dimitrios; … - C.E.P.R. Discussion Papers - 2004
The advent of the single currency within the European Union provides a natural experiment to measure how the cost of equity changes as globalization takes place. This is because the launch of the single currency has led to the elimination of currency-related restrictions on the composition of...
Persistent link: https://www.econbiz.de/10005666905
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Carry
Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013
Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...
Persistent link: https://www.econbiz.de/10011083673
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Out-of-Sample Evidence on the Returns to Currency Trading
Accominotti, Olivier; Chambers, David - C.E.P.R. Discussion Papers - 2014
-of-sample test of the performance of carry, momentum and value strategies well documented in the modern era. We find that the … positive carry and momentum returns in currencies over the last thirty years are also present in this earlier period. In … contrast, the returns to a simple value strategy are negative. In addition, we benchmark the rules-based carry and momentum …
Persistent link: https://www.econbiz.de/10011084602
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The Euro and International Capital Markets
Detken, Carsten; Hartmann, Philipp - C.E.P.R. Discussion Papers - 2000
This paper provides a broad empirical examination of the major currencies' roles in international capital markets, with a special emphasis on the first year of the Euro. A contribution is made as to how to measure these roles, both for international financing as well as for international...
Persistent link: https://www.econbiz.de/10005123910
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Asset Pricing with Liquidity Risk
Acharya, Viral V; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2003
This Paper studies equilibrium asset pricing with liquidity risk (the risk arising from unpredictable changes in liquidity over time). It is shown that the required return on a security depends on its expected illiquidity, the covariances of its own return, illiquidity with market return, and...
Persistent link: https://www.econbiz.de/10005067543
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Sovereign CDS and Bond Pricing Dynamics in the Euro-area
Palladini, Giorgia; Portes, Richard - C.E.P.R. Discussion Papers - 2011
This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same reference entity. The theoretical no-arbitrage relationship between the two credit spreads is confronted with daily data from six Euro-area countries over the period 2004-2011. As...
Persistent link: https://www.econbiz.de/10009365646
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The Role of Portfolio Constraints in the International Propagation of Shocks
Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2008
We study the comovement among stock prices and among exchange rates in a three-good three-country Centre-Periphery dynamic equilibrium model in which the Centre’s agents face portfolio constraints. We characterize equilibrium in closed form for a broad class of portfolio constraints, solving...
Persistent link: https://www.econbiz.de/10005791401