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Liquidity Risk and Time-Varying Correlation between Equity and Currency Returns
Jung, Kuk Mo - 2016
Using data on twenty major OECD countries over time, this paper documents a new evidence on real equity and real currency prices: higher real returns in the home equity market relative to foreign counterparts are generally associated with real home currency depreciation at a monthly frequency,...
Persistent link: https://www.econbiz.de/10012991484
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Time-Varying Exchange Rate Exposure and Exchange Rate Risk Pricing in the Canadian Equity Market
Al-Shboul, Mohammad - 2013
Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and … a three-factor capital asset pricing model (CAPM), we test for the presence of a long-run relationship among exchange … least squares (OLS) and generalized least squares (GLS) estimation techniques confirm that exchange rate risk in the …
Persistent link: https://www.econbiz.de/10013072274
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Currency futures' risk premia and risk factors
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020
The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We find that the forward premium puzzle (FFP) depends significantly on the maturity horizon of the futures contract and the choice of sampling...
Persistent link: https://www.econbiz.de/10012209529
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2011
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10013119324
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2010
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10013141467
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Systematic consumption risk in currency returns
Hoffmann, Mathias; Suter, Rahel - 2013
We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...
Persistent link: https://www.econbiz.de/10009752999
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A 'Bad Beta, Good Beta' Anatomy of Currency Risk Premiums and Trading Strategies
Chiang, I-Hsuan Ethan - 2020
We test a two-beta currency pricing model that features betas with risk-premium news and real-rate news of the currency market. Unconditionally, beta with currency market risk-premium news is "bad" because of a significantly positive price of risk of 2.52% per year; beta with global real-rate...
Persistent link: https://www.econbiz.de/10012849146
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Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market
Al-Shboul, Mohammad; Anwar, Sajid - In: Economic modelling 37 (2014), pp. 451-463
Persistent link: https://www.econbiz.de/10010417631
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Pricing of the currency risk in the Canadian equity market
Al-Shboul, Mohammad; Anwar, Sajid - In: Research in international business and finance 30 (2014), pp. 173-194
Persistent link: https://www.econbiz.de/10010390268
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Foreign Exchange Exposure, Risk and the Japanese Stock Market
He, Jia; Ng, Lilian; Wu, Xueping - 1998
This paper presents a comprehensive empirical examination of the foreign exposure effect on Japanese corporations and sectors. We provide compelling evidence that, after controlling for marketwide movements, the exposure effect on Japanese corporations' stock returns is both statistically and...
Persistent link: https://www.econbiz.de/10014085184