The informational efficiency of the yen/dollar exchange rate is investigated in five market segments within each business day from 1987 to 2007. Among the results, we first find that the daily exchange rate has a cointegrating relationship with the cumula-tive price change of the segment for...

I consider limit order book events that are likely to contribute to price discovery in the foreign exchange market. These events involve transactions and limit orders. The variance decomposition shows that improving order and worsening cancel, these are limit order events, substantially...

Our model decomposes the exchange rate exposure into two parts; individual and systematic ones. The former is the residual one that the past studies have mainly examined. The latter is the product of the exposure of the market portfolio and a firm's market beta, which reflects the exogenous...

I consider limit order book events that are likely to contribute to price discovery in the foreign exchange market, specifically, limit orders and transactions (market orders). The variance decomposition shows that improving orders and worsening cancels, both limit order events, substantially...

We decompose exchange rate exposure into systematic and partial parts. The former is the product of the exposure of the market portfolio and a firm’s market beta, reflecting the risk of the exchange rate to a macroeconomy. The latter is the residual one that most previous studies have...

Several studies advocating safety first as a major concern to investors propose downside beta risk as an alternative to the traditional systematic risk-beta. Downside measures are concerned with a subset of the data and therefore the results in the studies that consider the downside beta only...

This paper investigates association between portfolio returns and higher-order systematic co-moments at different timescales obtained through wavelet multi-scaling- a technique that decomposes a given return series into different timescales enabling investigation at different return intervals....

Modelling stock return generating process as a single factor model, we show analytically that the relation between idiosyncratic volatility measured as variance of the residuals and expected stock return in the cross-section may be represented by a parabola that opens to the left and has...

In this paper, the volatility of the return generating process of the market portfolio and the slope coefficient of the market model is assumed to follow a Markov switching process of order one. The results indicate very strong evidence of volatility switching behaviour in a sample of returns in...