This study empirically examines the effect of foreign exchange (FX) market liquidity risk and volatility on the excess … returns of currency carry trades. In contrast to the existent literature, we construct an alternative proxy of liquidity risk … evidence that uncovered interest parity (UIP) puzzle can be resolved after controlling for liquidity risk and market volatility …

represent a fair compensation for currency risk, we find that non-durable consumption risk and market risk can explain excess …

and metal price risk factors are found to have explanatory power on the cross-section of currency returns, while commodity … common and oil factors do not. Although stock market risk is strongly linked to currencies in developed countries, the …

average returns, are highly negatively skewed, are correlated with risk factors, and exhibit considerable downside risk. In … uncorrelated with standard risk-factors, and exhibits no downside risk. Distributions of drawdowns and maximum losses from daily …

Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find … that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical …