In this paper we provide strong evidence that heightened uncertainty in the U.S. real economy or financial markets significantly raises excess returns to the currency carry trade. We posit that this works through the influence of uncertainty on global investors' risk preferences. Macro and...

Stock investments have become increasingly international, but only recently a deeper theoretical understanding of the forces influencing global stock market returns has been gained from empirical studies. This is a crucial issue for asset managers in order to control the risks and exposures of...