Data Sources and Currency Excess Returns
Emerging Market Currency Excess Returns
... our excess return ...this currency-by-currency calculation to encompass passively or actively managed portfolios in which the allocation of positions between currencies needs to be adjusted monthly ...
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Currency excess returns and global downside market risk
... and currency excess returns can be overcome by considering a CAPM version that distinguishes between exposure to the market risk in times of negative/low market returns (downside risk) and in ...
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Linkages between Excess Currency and Stock Market Returns: Granger Causality in Mean and Variance
... the excess currency return is the leading variable and Granger causes the excess stock return volatility in the ...stock returns are adjusted for ...
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The Returns to Currency Speculation
... of Currency Strategies? A natural explanation for the Sharpe ratios of our currency-speculation strategies is that currency returns are risky, in the sense of being correlated with risk ...
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Efficient Prediction of Excess Returns
... A3. A News Index of Macro Announcement Surprises. We take the following monthly macroeconomic news announcements: CPI, durable goods orders, housing starts, industrial production, index of leading indicators, nonfarm ...
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Why Currency Returns and Currency Hedging Matters
... “Information Providers”) and is provided for informational purposes only. The Information may not be reproduced or redisseminated in whole or in part without prior written permission from MSCI. The Information may not be ...
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Crash Risk in Currency Returns
... We complement our data on exchange rate rates with variances implied from option prices. In this respect we follow the rich options literature that highlights the importance of us- ing information in options for ...
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Global Investing: The Importance of Currency Returns and Currency Hedging
... “Information Providers”) and is provided for informational purposes only. The Information may not be reproduced or redisseminated in whole or in part without prior written permission from MSCI. • The Information may not ...
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Excess Income and Capital Market Returns
... asset returns is a meaningful determinant of excess returns in the medium and long-term sectors of the Treasury ...bill data do not readily extend to the medium and long term sectors of the ...
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Bond Supply and Excess Bond Returns
... the data, leaving the dependent variable unchanged; (g) annual sampling of the data, replacing the dependent variable with 36-month returns; (h) ignoring coupons in the calculation of debt maturity; ...
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Bond Supply and Excess Bond Returns
... time-series data to examine how the supply and maturity structure of government debt affect government bond yields and expected returns in the ...expected returns, holding the short rate ...The ...
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Bond supply and excess bond returns
... the data, leaving the dependent variable unchanged; (g) annual sampling of the data, replacing the dependent variable with 36-month returns; (h) ignoring coupons in the calculation of debt maturity; ...
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Modeling Fixed Income Excess Returns
... of excess returns presented here, incorporating the term spread, conditional heteroskedasticity, and a more ?exible error distribution, appears to be quite robust to variations in tenor, holding period, and ...
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Predicting stocks returns correlations based on unstructured data sources
... unstructured data analysis, financial decision- making, data ...the data created on the Web can only be described as a massive data ...this data is unstructured and has a form of ...
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The Returns to Currency Speculation in Emerging Markets
... Clearly a speculation strategy that involves fewer trades would mitigate the impact of transactions costs. The strategies discussed above involve settling existing positions and taking new positions on a weekly basis. To ...
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Systematic consumption risk in currency returns
... build currency port- folios, instead of consumption growth rates at the highest available ...consumption data might be a very noisy measure of true consumption, so that averaging consumption growth over ...
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Foreign currency returns and systematic risks
... average excess returns on foreign currency portfolios and can jointly rationalize the cross section of both stock and foreign exchange ...average returns is actually too large to be justified ...
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Market excess returns, variance and the third cumulant
... market data from January 4, 1996 to December 30, 2005. We compute market excess return, physical variance and physical third cumulant by using S&P 500 index as a proxy of market portfolio, and compute risk- ...
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Excess volatility and the cross-section of stock returns
... Table 5 reports the empirical results with the bid return data and the transaction return data. The two AR sequences are almost identical. Over the sample period of 1993–2010, the investment portfolio ...
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Sources of Currency Crisis: An Empirical Analysis
... a currency crisis must be viewed as being justified by fundamental imbalances or as being purely ...that currency crises are frequently preceded by fundamental macroeconomic imbalances and early warning ...
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