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This paper shows that the cross-sectional and time series momentum in currencies, which cannot be explained by carry and dollar factors, summarize the autocorrelation of these factors. These momentum strategies long currency factors following positive factor returns and short them following...
Persistent link: https://www.econbiz.de/10013236524
This paper shows that currency momentum, which cannot be explained by carry and dollar factors, summarizes the autocorrelation of these factors. Carry and dollar factors are strongly autocorrelated and only earn significantly positive excess returns following positive factor returns. Currency...
Persistent link: https://www.econbiz.de/10012244553
This paper establishes a causal link between the dollar exchange rate and international trade flows, employing a new instrument for the U.S. Dollar that is based on domestic U.S. housing activity (Ma and Zhang (2019)). In line with the dominant currency paradigm (Gopinath et al. (2020)), import...
Persistent link: https://www.econbiz.de/10012319440
Companies face significant carbon-transition risk as the global economy works to combat climate change. This paper studies the market-based premium associated with the carbon-transition risk globally and finds that firms with more carbon-intense business models earn higher returns in recent...
Persistent link: https://www.econbiz.de/10013403934
Carbon-intensive firms have been underperforming in the U.S. despite their higher carbon transition risk. The brown-minus-green return spread, or carbon return, is zero on average globally but varies significantly across countries with unexpected cash flow shocks and climate taste shifts. The...
Persistent link: https://www.econbiz.de/10014349854
Companies face significant carbon-transition risk as the global economy works to combat climate change. This paper studies the market-based premium associated with the carbon-transition risk globally and finds that firms with more carbon-intense business models earn higher returns in recent...
Persistent link: https://www.econbiz.de/10013406482
Persistent link: https://www.econbiz.de/10010405777
This paper is the first, to our knowledge, to make the distinction between the investment opportunity set of real assets versus portfolio securities. We perform a large scale formal investigation of the investment opportunity set in global acquisitions based on ownership type over the period of...
Persistent link: https://www.econbiz.de/10013059616
Persistent link: https://www.econbiz.de/10012798811
Persistent link: https://www.econbiz.de/10011802896