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Common information in carry trade risk factors

Byrne, Joseph P.; Ibrahim, Boulis Maher; Sakemoto, Ryuta - In: Journal of international financial markets, … 52 (2018), pp. 37-47

Persistent link: https://www.econbiz.de/10011986186

US equity tail risk and currency risk premia

Fan, Zhenzhen; Londono, Juan M.; Xiao, Xiao - 2019 - This version: July 2019

Persistent link: https://www.econbiz.de/10012065069

Global macro risks in currency excess returns

Berg, Kimberly A.; Mark, Nelson C. - In: Journal of empirical finance 45 (2018), pp. 300-315

Persistent link: https://www.econbiz.de/10012102432

Conditional pricing of currency risk in Africa's equity market

Kodongo, Odongo; Ojah, Kalu - 2018

Persistent link: https://www.econbiz.de/10012024284

Foreign exchange dealer asset pricing

Reitz, Stefan; Umlandt, Dennis - 2019

We show that excess returns to the carry trade can be interpreted as compensation for foreign exchange dealers' capital risk. Given that the top market makers in foreign exchange are at the heart of the market's information aggregation process we also suggest that it is their marginal value of...