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Profitability and Stability in International Currency Markets
Bilson, John F. O. - 2021
future spot exchange rates. This result implies that there have been opportunities for speculative profit during the post … existence of opportunities for speculative profit is explored. The question answered in the paper is the following: if there … were no opportunities for speculative profit, would exchange rates have been more stable? The answer is yes. This answer …
Persistent link: https://www.econbiz.de/10013231440
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The Carry Trade and Fundamentals : Nothing to Fear But Feer Itself
Jorda, Oscar - 2009
The carry trade is the investment strategy of going long in high-yield target currencies and short in low-yield funding currencies. Recently, this naive trade has seen very high returns for long periods, followed by large crash losses after large depreciations of the target currencies. Based on...
Persistent link: https://www.econbiz.de/10013154539
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Financial Exchange Rates and International Currency Exposures
Lane, Philip R. - 2012
Our goal in this project is to gain a better empirical understanding of the international financial implications of currency movements. To this end, we construct a database of international currency exposures for a large panel of countries over 1990-2004. We show that trade-weighted exchange...
Persistent link: https://www.econbiz.de/10012755324
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Common Risk Factors in Currency Markets
Lustig, Hanno N. - 2010
We identify a 'slope' factor in exchange rates. High interest rate currencies load more on this slope factor than low interest rate currencies. As a result, this factor can account for most of the cross-sectional variation in average excess returns between high and low interest rate currencies....
Persistent link: https://www.econbiz.de/10012758797
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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
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Good Carry, Bad Carry
Bekaert, Geert - 2019
We distinguish between ”good” and ”bad” carry trades constructed from G-10 currencies. The good trades exhibit higher Sharpe ratios and sometimes positive return skewness, in contrast to the bad trades that have both substantially lower Sharpe ratios and highly negative return skewness....
Persistent link: https://www.econbiz.de/10012895473
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Countercyclical Currency Risk Premia
Lustig, Hanno N. - 2016
-year horizon. The estimated model implies that the variation in the exposure of U.S. investors to world-wide risk is the key driver …
Persistent link: https://www.econbiz.de/10013008793
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Global Macro Risks in Currency Excess Returns
Berg, Kimberly - 2017
We study the cross-sectional variation of carry-trade-generated currency excess returns in terms of their exposure to global macroeconomic fundamental risk. The risk factor is the cross-country high-minus-low conditional skewness of the unemployment rate gap. It gives a measure of global...
Persistent link: https://www.econbiz.de/10012948089
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Cables, Sharks and Servers : Technology and the Geography of the Foreign Exchange Market
Eichengreen, Barry - 2016
global turnover of London, the world's largest trading venue, by as much as one-third …
Persistent link: https://www.econbiz.de/10013001201
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Do Professional Currency Managers Beat the Benchmark?
Pojarliev, Momtchil - 2008
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...
Persistent link: https://www.econbiz.de/10012773121