Add to ORKGAuthor's Pre-printWe test the relevance of technical and fundamental variables in forming currency portfolios. Carry, momentum and value reversal all contribute to portfolio performance, whereas the real exchange rate and the current account do not. The resulting optimal portfolio produces out-of- sample returns that are not explained by risk and are valuable to diversified investors holding stocks and bonds. Exposure to currencies increases the Sharpe ratio of diversiÖed portfolios by 0.5 on average, while reducing crash risk. We argue that besides risk, currency returns reáect the scarcity of speculative capital
We explain the currency carry trade (CT) performance using an asset pricing model in which factor lo...
Our paper examines conditional risk-return relations in a cross-section of currency portfolios, whi...
This work project studies the dynamics of carry trade within a sample of developed cur...
We test the relevance of technical and fundamental variables in form-ing currency portfolios. Carry,...
The aim of this paper is to address risk in carry-based currency portfolios. I take the interest diff...
Foreign exchange carry trades involve buying high yielding currencies while selling low yielding cur...
This is the first study that employs option pricing model to measure the position-unwinding risk of ...
This paper studies the optimal asset allocation problem of an investor with a portfolio given by the...
We show that the profitability of currency carry trades can be understood as the compensation for ex...
We sort currencies into portfolios by countries’ consumption growth over the past year. The excess r...
If asset price risk-return relations vary over time based upon changing economic states, standard u...
In this paper, we derive the dynamics and assess the economic value of currency speculation by forma...
We investigate the relation between global FX volatility and the excess returns to carry trade portf...
We show that the profitability of currency carry trades can be understood as the compensation for ex...
This Ph.D. thesis contains 3 essays in international finance with a focus on foreign exchange market...
We explain the currency carry trade (CT) performance using an asset pricing model in which factor lo...
Our paper examines conditional risk-return relations in a cross-section of currency portfolios, whi...
This work project studies the dynamics of carry trade within a sample of developed cur...
We test the relevance of technical and fundamental variables in form-ing currency portfolios. Carry,...
The aim of this paper is to address risk in carry-based currency portfolios. I take the interest diff...
Foreign exchange carry trades involve buying high yielding currencies while selling low yielding cur...
This is the first study that employs option pricing model to measure the position-unwinding risk of ...
This paper studies the optimal asset allocation problem of an investor with a portfolio given by the...
We show that the profitability of currency carry trades can be understood as the compensation for ex...
We sort currencies into portfolios by countries’ consumption growth over the past year. The excess r...
If asset price risk-return relations vary over time based upon changing economic states, standard u...
In this paper, we derive the dynamics and assess the economic value of currency speculation by forma...
We investigate the relation between global FX volatility and the excess returns to carry trade portf...
We show that the profitability of currency carry trades can be understood as the compensation for ex...
This Ph.D. thesis contains 3 essays in international finance with a focus on foreign exchange market...
We explain the currency carry trade (CT) performance using an asset pricing model in which factor lo...
Our paper examines conditional risk-return relations in a cross-section of currency portfolios, whi...
This work project studies the dynamics of carry trade within a sample of developed cur...