Add to ORKGWe study exchange rate risk compensation in international ETFs from the perspective of a U.S. investor by using the Dollar and Carry currency risk factors. We find that U.S. investors are compensated for taking currency risk. In particular, when we estimate risk factor loadings conditionally, using 60-month rolling windows, in the sample period between January 1997 and June 2015, taking an additional unit of Dollar risk is associated with 0.94 percentage points more excess return per annum, while an additional unit of Carry risk is associated with an increase in excess return of 4.74 percentage points per annum.nhhma
In 1973 countries began allowing their currencies to float. Since then concern has emerged over the ...
We describe a novel currency investment strategy, the ‘dollar carry trade,’ which delivers large exc...
We assess cross-sectional differences in 23 bilateral currency excess returns in an empirical model ...
This Working Paper should not be reported as representing the views of the IMF. The views expressed ...
We examine how exchange rate changes affect the security returns and how economic and translation ex...
This paper presents new evidence that international investors are compensated for bearing currency r...
We describe a novel currency investment strategy, the ‘dollar carry trade,’ which delivers large exc...
Currency risk in the pricing of international equity returns is analyzed from an empirical viewpoint...
textabstractWhile in previous literature foreign currency exposure is estimated to be surprisingly s...
Thesis (Ph.D.)--University of Washington, 2019Chapter 1 proposes using foreign exchange rate currenc...
Previous research on the impact of currency risk on stock returns has failed to find a significant r...
The relative riskiness of holding foreign currency under flexible and fixed exchange-rate regimes ha...
Following Adler and Dumas (1983), it is a common practice in the exchange rate literature to use the...
Two important puzzles in the exchange rate markets that have long chalenged economists are the retur...
I quantify alternative sources of risk in currency returns. Firstly, in a joint work with Mikhail Ch...
In 1973 countries began allowing their currencies to float. Since then concern has emerged over the ...
We describe a novel currency investment strategy, the ‘dollar carry trade,’ which delivers large exc...
We assess cross-sectional differences in 23 bilateral currency excess returns in an empirical model ...
This Working Paper should not be reported as representing the views of the IMF. The views expressed ...
We examine how exchange rate changes affect the security returns and how economic and translation ex...
This paper presents new evidence that international investors are compensated for bearing currency r...
We describe a novel currency investment strategy, the ‘dollar carry trade,’ which delivers large exc...
Currency risk in the pricing of international equity returns is analyzed from an empirical viewpoint...
textabstractWhile in previous literature foreign currency exposure is estimated to be surprisingly s...
Thesis (Ph.D.)--University of Washington, 2019Chapter 1 proposes using foreign exchange rate currenc...
Previous research on the impact of currency risk on stock returns has failed to find a significant r...
The relative riskiness of holding foreign currency under flexible and fixed exchange-rate regimes ha...
Following Adler and Dumas (1983), it is a common practice in the exchange rate literature to use the...
Two important puzzles in the exchange rate markets that have long chalenged economists are the retur...
I quantify alternative sources of risk in currency returns. Firstly, in a joint work with Mikhail Ch...
In 1973 countries began allowing their currencies to float. Since then concern has emerged over the ...
We describe a novel currency investment strategy, the ‘dollar carry trade,’ which delivers large exc...
We assess cross-sectional differences in 23 bilateral currency excess returns in an empirical model ...