We investigate an index of returns on professionally managed currency funds and a subset of returns from 34 individual currency fund managers. Over the period 1990-2006, excess returns earned by currency fund managers have averaged 25 basis points per month. We examine the relationship of these...

We make use of a new database on daily currency fund manager returns over a three-year period, 2005-08. This higher frequency data allows us to estimate both alpha measures of performance and beta style factors on a yearly basis, which in turn allows us to test for persistence. We find no...

The financial crisis of 2008 highlights the importance of detecting crowded trades due to the risks they pose to the stability of the financial system and to the global economy. However, there is a perception that crowded trades are difficult to identify. To date, no single measure to capture...

Over the last three decades, differential national regulation in conjunction with increasing capital mobility has given rise to tremendous growth in the Eurocurrency markets. In this paper, we analyze whether the announced plans of the European Commuission to remove barriers to capital flows (in...

The European Currency Unit (ECU) was officially introduced in March 1979 and has joined the ranks of innovative financial products that are rapidly appearing. The purpose of the paper is to explore the properties of the ECU and analyze those characteristics of the ECU, and products denominated...

This paper presents a survey of alternative definitions of capital flight and empirical estimates of capital flight utilizing a common database. At the conceptual level, we argue that the definition of capital flight requires a somewhat arbitrary distinction between normal capital flows and...

While many indicators point to the globalization of capital markets, one barrier may persist -- International Accounting Diversity. Even though coordination of many national policies is gaining favor, the measurement and disclosure principles that underlie financial statements remain largely a...

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...

An issue confronting U.S. policymakers is whether restrictions on securities activities of U.S. commercial banks ought to be abolished within a broader program of banking and financial market deregulation. The Euro-bond market offers an opportunity to examine the performance of a largely...

A new statistical procedure is used to test for weak form efficiency in the foreign exchange futures markets. Using daily currency futures prices for the 1976-1990 period, we conclude that successive exchange rate changes have not been independent We examine the implications of this finding for...