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FX liquidity risk and forward premium puzzle
Abankwa, Samuel - In: Quarterly journal of finance & accounting : QJFA 58 (2020) 1/2, pp. 101-132
Persistent link: https://www.econbiz.de/10012288688
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Optimal carry trade portfolio choice under regime shifts
Chen, Chih-Nan; Lin, Chien-Hsiu - In: Review of quantitative finance and accounting 59 (2022) 2, pp. 483-506
Persistent link: https://www.econbiz.de/10013459294
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Currency futures' risk premia and risk factors
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020
The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We find that the forward premium puzzle (FFP) depends significantly on the maturity horizon of the futures contract and the choice of sampling...
Persistent link: https://www.econbiz.de/10012209529
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Risk-adjusted return managed carry trade
Dupuy, Philippe - In: Journal of banking & finance 129 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012822247
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Essays on exchange rate, sovereign risk and international investment
Wu, Thomas Yen Hon - 2007
Persistent link: https://www.econbiz.de/10009271064
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Country risk and expected returns across global equity markets
Zaremba, Adam - In: Finance a úvěr 68 (2018) 4, pp. 374-398
Persistent link: https://www.econbiz.de/10011919795
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FX liquidity risk and carry trade premia
Söderlind, Paul; Somogyi, Fabricius - 2022
world. We show that even in this market exposure to liquidity risk commands a non-trivial risk premium of up to 3.6% per …
Persistent link: https://www.econbiz.de/10013252868
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Carry
Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225
Persistent link: https://www.econbiz.de/10011968803
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Equity tail risk and currency risk premiums
Fan, Zhenzhen; Londono, Juan M.; Xiao, Xiao - In: Journal of financial economics 143 (2022) 1, pp. 484-503
Persistent link: https://www.econbiz.de/10013350667
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A habit-based explanation of the exchange rate risk premium
Verdelhan, Adrien - 2005
Persistent link: https://www.econbiz.de/10003380904