Pricing Currency Risks
نویسندگان
چکیده
The currency market features a small cross-section, and conditional expected returns can be characterized by few signals: interest differential, trend, mean reversion. We exploit these properties to construct the ex ante mean-variance efficient portfolio of individual currencies. is updated in real time prices all prominent trading strategies, conditionally unconditionally. fraction risk assets that does not affect their premiums at least 85%. Extant explanations carry strategies based on intermediary capital or global volatility are related unpriced components, while consumption growth priced component returns.
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ژورنال
عنوان ژورنال: Journal of Finance
سال: 2022
ISSN: ['0022-1082', '1540-6261']
DOI: https://doi.org/10.1111/jofi.13190