We address the question of whether various types of speculative investor correctly anticipate future USD/EUR currency movements or whether they tend rather to react to past exchange rate movements. Throughout the analysis, we differentiate between large and small traders, and an upper bound of...

We explore how the US presidential effect in stock prices is connected to the US presidential effect in foreign exchange returns to the US dollar. Our results show that the existence of a presidential effect in stock returns depends on how a firm's stock returns are associated with changes in...

This study illustrates that the empirical rejection of the forward rate unbiasedness hypothesis is not sensitive to whether the forward U.S. dollar is quoted at a premium or a discount. It is argued that the reported finding of so-called asymmetry in forward exchange rate bias in earlier work is...

This study aims to test the efficiency of the Korean foreign exchange market and examine its determinants through several well-established methodologies based on the forward rate unbiasedness hypothesis and covered interest rate parity. The empirical findings indicate that the currency market...

Recent findings that suggest a robust negative association between changes in the cross-currency basis and the broad dollar have taken center stage in the international finance literature. In this article, we revisit this issue, from a purely empirical, data-driven perspective, using G10 and 10...

Separate literatures study violations of uncovered interest parity using regression-based and portfolio-based methods. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross-time component that allows us to analytically relate...