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Measures of global uncertainty and carry-trade excess returns
Berg, Kimberly A.; Mark, Nelson C. - In: Journal of international money and finance 88 (2018), pp. 212-227
Persistent link: https://www.econbiz.de/10012000890
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Systematic consumption risk in currency returns
Hoffmann, Mathias; Suter, Rahel - 2013
boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …
Persistent link: https://www.econbiz.de/10009752999
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Systematic consumption risk in currency returns
Hoffmann, Mathias; Studer-Suter, Rahel - In: Journal of international money and finance 74 (2017), pp. 187-208
Persistent link: https://www.econbiz.de/10011787938
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Currency returns and systematic risk
Gonçalves, Fernanda; Ferreira, Giuliano de Queiroz; … - In: The Manchester School 90 (2022) 6, pp. 609-647
Persistent link: https://www.econbiz.de/10013414307
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Foreign exchange order flow as a risk factor
Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2023
Persistent link: https://www.econbiz.de/10014234202
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Salvaging the C-CAPM : Currency Carry Trade Risk Premia and Conditioning Information
Abhyankar, Abhay - 2011
We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk …
Persistent link: https://www.econbiz.de/10013120594
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Salvaging the C-Capm : Currency Carry Trade Risk Premia and Conditioning Information
Gonzalez, Angelica - 2012
We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk …
Persistent link: https://www.econbiz.de/10013101597
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On the predictability of the distribution of excess returns in currency markets
Cho, Dooyeon - In: International journal of forecasting 37 (2021) 2, pp. 511-530
Persistent link: https://www.econbiz.de/10012792849
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Portfolio reallocation and exchange rate dynamics
Ding, Liang; Ma, Jun - In: Journal of banking & finance 37 (2013) 8, pp. 3100-3124
Persistent link: https://www.econbiz.de/10009777107
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Carry trade returns and segmented risk pricing
Schulze, Gordon - In: Atlantic economic journal : AEJ 49 (2021) 1, pp. 23-40
Persistent link: https://www.econbiz.de/10012542770