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Countercyclical Currency Risk Premia
Lustig, Hanno N. - 2020
excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the price of … risk is high. The counter-cyclical variation in risk premia leads to strong return predictability: the average forward …
Persistent link: https://www.econbiz.de/10012857596
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Countercyclical Currency Risk Premia
Lustig, Hanno N. - 2016
-year horizon. The estimated model implies that the variation in the exposure of U.S. investors to world-wide risk is the key driver … excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the U ….S. price of risk is high. The counter-cyclical variation in risk premia leads to strong return predictability: the average …
Persistent link: https://www.econbiz.de/10013008793
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Countercyclical Currency Risk Premia
Lustig, Hanno - 2010
-year horizon. The estimated model implies that the variation in the exposure of U.S. investors to world-wide risk is the key driver … excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the U ….S. price of risk is high. The counter-cyclical variation in risk premia leads to strong return predictability: the average …
Persistent link: https://www.econbiz.de/10012462229
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Countercyclical currency risk premia
Lustig, Hanno; Roussanov, Nikolai; Verdelhan, Adrien - In: Journal of financial economics 111 (2014) 3, pp. 527-553
Persistent link: https://www.econbiz.de/10010375937
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Size, value and business cycle variables : the three-factor model and future economic growth : evidence from an emerging market
Ali, Fahad; He, RongRong; Jiang, Yuexiang - In: Economies : open access journal 6 (2018) 1, pp. 1-24
domestic product (GDP) growth of Pakistan and remain robust. Our results are robust across sub-periods, risk regimes, and under …
Persistent link: https://www.econbiz.de/10011853557
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Growth expectations, capital flows and international risk sharing
Castrén, Olli; Miller, Marcus; Stiegert, Roger - 2003
international equity transactions that accentuate the role of international risk sharing as a factor for the macroeconomic response … shock affecting only one country. Efficient global risk-sharing imply that expected productivity gains in one country will … for the productivity gains can further increase the risk exposure of foreign shareholders. The model is calibrated to show …
Persistent link: https://www.econbiz.de/10009635970
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Growth Expectations, Capital Flows and International Risk Sharing
Castren, Olli; Stiegert, Roger; Miller, Marcus H. - 2021
international equity transactions that accentuate the role of international risk sharing as a factor for the macroeconomic response … shock affecting only one country. Efficient global risk-sharing imply that expected productivity gains in one country will … for the productivity gains can further increase the risk exposure of foreign shareholders. The model is calibrated to show …
Persistent link: https://www.econbiz.de/10013319734
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Chapter 9. Assessing International Efficiency
Heathcote, Jonathan; Perri, Fabrizio - In: Handbook of international economics : Volume 4, (pp. 523-584). 2014
This chapter is structured in three parts. The first part outlines the methodological steps, involving both theoretical and empirical work, for assessing whether an observed allocation of resources across countries is efficient. The second part applies the methodology to the long-run allocation...
Persistent link: https://www.econbiz.de/10014025377
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Size-Portfolio Idiosyncratic Volatility with Aggregate Return, Cross-Sectional Return, and GDP Growth : U.S. and International Evidence
Kuo, Chris - 2011
Firm size is an essential factor in examining the relation between returns and idiosyncratic volatilities. This paper documents that, when the idiosyncratic volatility is specified by firm size, the size-portfolio idiosyncratic volatility is statistically significant in explaining the future...
Persistent link: https://www.econbiz.de/10013117807
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Global Economic Growth and Expected Returns Around the World : The End-of-the-Year Effect
Møller, Stig Vinther - 2015
Global economic growth at the end of the year strongly predicts returns from a wide spectrum of international assets, such as global, regional, and individual-country stocks, FX, and commodities. Global economic growth at other times of the year does not predict international returns. Low growth...
Persistent link: https://www.econbiz.de/10013027578