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Execution Risk and Arbitrage Opportunities in the Foreign Exchange Markets

Ito, Takatoshi; Yamada, Kenta; Takayasu, Misako; … - 2021

With the high-frequency data of firm quotes in the transaction platform of foreign exchanges, arbitrage profit … pairs—can be detected to emerge and disappear in the matter of seconds. The frequency and duration of such arbitrage … arbitrage opportunity and places orders for multiple transactions—two in negative spreads and three in triangular arbitrage …

Persistent link: https://www.econbiz.de/10013310382

Data-Snooping Biases in Tests of Financial Asset Pricing Models

Lo, Andrew W. - 2010

We investigate the extent to which tests of financial asset pricing models may be biased by using properties of the data to construct the test statistics. Specifically, we focus on tests using returns to portfolios of common stock where portfolios are constructed by sorting on some empirically...

Persistent link: https://www.econbiz.de/10012763376

Pairs Trading : Performance of a Relative Value Arbitrage Rule

Galev, Evan G. - 2010

We test a Wall Street investment strategy known as pairs trading' with daily data over the period 1962 through 1997. Stocks are matched into pairs according to minimum distance in historical normalized price space. We test the profitability of several trading rules with six-month trading periods...

Persistent link: https://www.econbiz.de/10012763385

Global Portfolio Rebalancing and Exchange Rates

Camanho, Nelson - 2018

We examine international equity allocations at the fund level and show how different returns on the foreign and domestic proportion of portfolios determine rebalancing behavior and trigger capital flows. We document the heterogeneity of rebalancing across fund types, its greater intensity under...

Persistent link: https://www.econbiz.de/10012927034

Global Currency Hedging

Campbell, John Y. - 2007

Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar) and the euro and Swiss franc (particularly in the second half of the period) have moved against world equity markets. Thus these currencies should be attractive to risk-minimizing global equity...

Persistent link: https://www.econbiz.de/10012776958

Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth - 2004

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...

Persistent link: https://www.econbiz.de/10012786275

The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors

Clarida, Richard - 2010

We present theory and evidence that challenges the view that forward premia contain little information regarding subsequent spot rate movements. Using weekly dollar-mark and dollar sterling data, we find that spot and forward exchange rates together are well represented by a vector error...

Persistent link: https://www.econbiz.de/10012763403

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Frankel, Jeffrey A. - 2010

The paper presents new empirical results that elucidate the dynamics of the foreign exchange market. The first half of the paper is an updated study of the exchange rate expectations held by market participants, as reflected in responses to surveys, and contains the following conclusions. First,...

Persistent link: https://www.econbiz.de/10012763525

Predictability and 'Good Deals' in Currency Markets

Levich, Richard M. - 2009

This paper studies predictability of currency returns over the period 1971-2006. To assess the economic significance of currency predictability, we construct an upper bound on the explanatory power of predictive regressions. The upper bound is motivated by quot;no good-dealquot; restrictions...

Persistent link: https://www.econbiz.de/10012765564

The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market : a Bootstrap Approach

Levich, Richard M.; Thomas, Lee R. - 2021

In this paper, we present new evidence on the profitability and statistical significance of technical trading rules in the foreign exchange market. We utilize a new data base, currency futures contracts for the period 1976-1990, and we implement a new testing procedure based on bootstrap...

Persistent link: https://www.econbiz.de/10013224334