The relative strength of the U.S. dollar does not explain the cross-section of expected returns. We find, however, that signed sensitivity of individual firms' returns to moves in dollar strength matters for asset pricing. A portfolio that goes long high-dollar-sensitivity stocks and short...

Verdelhan (2018) argues that the dollar HML factor (long high dollar beta currencies and short low dollar beta currencies) is a priced global risk factor beyond carry. In contrast, we document that the dollar HML factor does not explain the cross section of currency risk premia, is conditionally...

In this study, I constructed a news based economic policy uncertainty (EPU) index for Pakistan using an unsupervised algorithm and natural language processing (NLP) techniques that does not requires any human classified pre-labelled data. For that purpose, I extracted newspaper articles through...