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Estimating Exchange Rate Exposures : Some "Weighty" Issues
Bodnar, Gordon M. - 2010
From a sample of 910 U.S. firms over the period 1977 1996, we find that structure of the empirical model has significant impacts on resulting estimates of exchange rate exposures from equity returns. While lengthening the return horizon has minimal impact on exposure estimates, the inclusion of...
Persistent link: https://www.econbiz.de/10012763763
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A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10013130782
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Filtering and Forecasting with Misspecified Arch Models Ii : Making the Right Forecast with the Wrong Model
Nelson, Daniel B. - 2007
medium and long term forecasting. In this paper, we develop conditions under which a misspecified ARCH model successfully … performs both tasks, filtering and forecasting. The key requirement (in addition to the conditions for consistent filtering) is …
Persistent link: https://www.econbiz.de/10012776678
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Using Models to Persuade
Schwartzstein, Joshua - 2019
We present a framework for analyzing “model persuasion.” Persuaders influence receivers' beliefs by proposing models (likelihood functions) that specify how to organize past data (e.g., on investment performance) to make predictions (e.g., about future returns). Receivers are assumed to find...
Persistent link: https://www.econbiz.de/10012865757
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Factor Model Forecasts of Exchange Rates
Engel, Charles M. - 2012
We construct factors from a cross section of exchange rates and use the idiosyncratic deviations from the factors to forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is essentially no serial correlation in the univariate exchange rate...
Persistent link: https://www.econbiz.de/10013100676
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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
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Modeling and Forecasting Realized Volatility
Andersen, Torben G. - 2002
and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic … forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … returns, and correspondingly accurate quantile estimates. Our results hold promise for practical modeling and forecasting of …
Persistent link: https://www.econbiz.de/10012787458
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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 …
Persistent link: https://www.econbiz.de/10012763403
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Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market
Frankel, Jeffrey A. - 2010
forecasting services that use quot;technical analysisquot; did indeed increase sharply during 1983-85, but declined subsequently …
Persistent link: https://www.econbiz.de/10012763525
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Forecasting Exchange Rates and Relative Prices with the Hamburger Standard : Is What You Want What You Get with Mcparity?
Cumby, Robert E. - 2021
provide useful information for forecasting exchange rates. After accounting for currency-specific constants, a 10 percent …. Finally, deviations from relative Big Mac parity seem to be helpful in forecasting relative local currency prices. When the U …
Persistent link: https://www.econbiz.de/10013220795