Recent theoretical work suggests that definitions of market efficiency that allow for the possibility of time-varying risk-premia will generally lead to return sign predictability. Consistent with this theory, we show that a logit model based on the lagged value of the market risk premium is...

Much of the empirical work on hedging exchange rate exposure in portfolios of financial assets has used a unitary hedge ratio, or a currency overlay. Alternatively, the currencies themselves can be treated as assets and the position in them optimized. This study empirically tests whether the ex...