Crash Risk in Currency Returns
نویسندگان
چکیده
منابع مشابه
Crash-Neutral Currency Carry Trades
Currency carry trades exploiting violations of uncovered interest rate parity in G10 currencies deliver significant excess returns with annualized Sharpe equal to or greater than those of equity market factors (19902012). Using data on out-of-the-money foreign exchange options, I compute returns to crash-hedged portfolios and demonstrate that the high returns to carry trades are not due to peso...
متن کاملImports, Exports, Currency Risk Exposure, and Stock Returns
Economic theory suggests that the magnitude and direction of a company’s currency risk exposure depends crucially on its fundamental involvement in international trade. For US industries, we find that the stock performance of an import-oriented company moves positively with the performance of the dollar, but the stock performance of an export-oriented company tends to move against the dollar. B...
متن کاملCan dual-currency sovereign CDS predict exchange rate returns
This paper examines both the time-series and cross-sectional variation in the difference between US dollar and Euro denominated sovereign CDS spreads for a group of Eurozone countries. We find that the spread difference between dual-currency sovereign CDS significantly affects the bilateral exchange rate returns. In addition, the difference could predict the cumulative exchange rate returns up ...
متن کاملCrash risk in general aviation.
risk factors in back and neck pain. Spine. 2000;25:1148-1156. 15. Hoogendoorn WE, van Popper NM, Bongers PM, Koes BW, Bouter LM. Systematic review of psychosocial factors at work and private life as risk factors for back pain. Spine. 2000;25:2114-2125. 16. Harkness EF, Macfarlane CJ, Nahit ES, Silman AJ. McBeth 1. Risk factors for new-onset low back pain amongst cohorts of newly employed worker...
متن کاملDeterminants of Currency Risk Premiums
The risk premium is a function of both the interest rate differential and the gap between the current exchange rate and its long-run equilibrium in a model of the foreign exchange market with both non-speculating traders and rational speculators. If the speculators have an alternative to specializing in exchange-rate speculation, then there should be no presumption that uncovered interest parit...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2023440