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...

We find that shocks to the equity capital ratio of financial intermediaries—Primary Dealer counterparties of the New York Federal Reserve—possess significant explanatory power for crosssectional variation in expected returns. This is true not only for commonly studied equity and government...

We find that shocks to the equity capital ratio of financial intermediaries--Primary Dealer counterparties of the New York Federal Reserve--possess significant explanatory power for crosssectional variation in expected returns. This is true not only for commonly studied equity and government...