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Country Risk and Expected Returns across Global Equity Markets
Zaremba, Adam - 2016
Assessing and pricing country risk poses a considerable challenge to tactical asset allocation across national equity markets. This research examines the relationship between the country composite risk (together with its component risks related to: sovereign credit, currency, banking sector,...
Persistent link: https://www.econbiz.de/10012992516
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Exploring Risk Premium Factors for Country Equity Returns
Calice, Giovanni; Lin, Ming-Tsung - 2021
In this paper, we study a comprehensive set of risk premia of country equity returns for 45 countries over the sample period 2002 to 2018 in both a single and a multiple factor setting. Using a new three-pass estimation method for factor risk premia by Giglio and Xiu (2021), we find that several...
Persistent link: https://www.econbiz.de/10013217646
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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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The Cross-Section of Currency Volatility Premia
Della Corte, Pasquale - 2019
We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes - volatility carry strategy - generates...
Persistent link: https://www.econbiz.de/10012902489
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Currency Risk Premia and Uncovered Interest Parity in the International CAPM
Balvers, Ronald J. - 2013
currency risk in the International CAPM context. Their returns are the currency risk premia. Since the UIP positions on average … use this observation to generate a specific conditional version of the International CAPM. A GMM approach shows that the … conditional model performs well, while the unconditional International CAPM is (marginally) rejected. The paper thus argues that …
Persistent link: https://www.econbiz.de/10013078881
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Volatility Risk Premia and Future Commodities Returns
Ornelas, Jose Renato Haas - 2017
This paper extends the empirical literature on volatility risk premium (VRP) and future returns by analyzing the predictive ability of commodity currency VRP and commodity VRP. The empirical evidence throughout this paper provides support for a positive relationship of commodity currencies VRP...
Persistent link: https://www.econbiz.de/10012960210
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Monetary Policy and Exchange Rate Returns : Time-Varying Risk Regimes
Calomiris, Charles W. - 2020
We develop an empirical model of exchange rate returns, applied separately to samples of developed (DM) and developing (EM) economies' currencies against the dollar. Monetary policy stance of the global central banks, measured via a natural-language-based approach, has a large effect on exchange...
Persistent link: https://www.econbiz.de/10012850036
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Equity premium prediction : are economic and technical indicators instable?
Baetje, Fabian; Menkhoff, Lukas - 2015
We show that technical indicators deliver economic value in predicting the U.S. equity premium. A crucial element of this value stems from the stability of return predictability over the full sample period from 1950 to 2013. Results tentatively improve over time and beat alternatives over...
Persistent link: https://www.econbiz.de/10010472502
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The Foreign Exchange Risk Premium in the Cross-Section of Stock Returns : International Evidence
Krapl, Alain A. - 2020
Using the framework of the International Capital Asset Pricing Model (ICAPM), we explore two central topics associated with equity foreign exchange (FX) risk premia. First, we estimate FX risk premia for a large cross-section of firms. Second, we study the diversifiability of FX risk. Using...
Persistent link: https://www.econbiz.de/10012846585
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The Magic Formula : Value, Profitability, and the Cross Section of Global Stock Returns
Blackburn, Douglas W. - 2017
Buying profitable, undervalued stocks and shorting unprofitable, overvalued stocks yields significant return differentials in North America, Europe, Japan, and Asia. Using data from 1991-2016, we test Greenblatt's (2006) “Magic Formula” (MF) and find that a modified MF which uses gross...
Persistent link: https://www.econbiz.de/10012958130