In this paper, we provide an overview of the main features of activecurrency management programs, highlighting the mandates and the types oftrading strategies that are often used. The traditional benchmark used to measure skill or alpha in currency investing is that the expected excess rate of...

When equity markets are churning out double digit returns and fixed income markets offer normal yields or declining rates, institutional investors can be somewhat relaxed. They can earn reasonable absolute returns with conventional strategies. “Beta grazing” goes a long way without much need...

The Global Financial Crisis initiated a period of market turbulence and increased counterparty risk for financial institutions. Even though the Dodd-Frank Act is likely to exempt interbank foreign exchange trading from a central counterparty mandate, market participants have the option to trade...

This paper studies predictability of currency returns over time and the extent to which it is captured by trading rules commonly used in currency markets. We consider the strategies that an investor endowed with rational expectations could have pursued to exploit out-of-sample currency...

The Interest Rate Parity (IRP) relationship is one of the most relied upon indicators of financial globalization. IRP plays such a key role in global macroeconomic models that it is taken as a benchmark for perfect capital mobility between markets. In this paper, we review the theoretical basis...

The Interest Rate Parity (IRP) relationship is one of the most relied upon indicators of financial globalization. IRP plays such a key role in global macroeconomic models that it is taken as a benchmark for perfect capital mobility between markets. In this paper, we review the theoretical basis...

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

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...

We investigate an index of returns on professionally managed currency funds and asubset 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 permonth. We examine the relationship of these...

In this paper, we study a large sample of 507 privatization offerings from 39 countries over the period 1979-1996. Our objectives are twofold. First, we document the extent of short-run underpricing of these privatization offerings and measure their variation across countries, industries, and...