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Out-of-Sample Evidence on the Returns to Currency Trading

Accominotti, Olivier; Chambers, David - C.E.P.R. Discussion Papers - 2014

-of-sample test of the performance of carry, momentum and value strategies well documented in the modern era. We find that the … positive carry and momentum returns in currencies over the last thirty years are also present in this earlier period. In … contrast, the returns to a simple value strategy are negative. In addition, we benchmark the rules-based carry and momentum …

Persistent link: https://www.econbiz.de/10011084602

Can Book-to-Market, Size and Momentum Be Risk Factors That Predict Economic Growth

Liew, Jimmy; Vassalou, Maria - C.E.P.R. Discussion Papers - 1999

GDP growth. Using a large cross-section of securities from ten developed markets, we find that the HML and SMB portfolios …

Persistent link: https://www.econbiz.de/10005791430

Foreigners Trading and Price Effects Across Firms

Dahlquist, Magnus; Robertsson, Göran - C.E.P.R. Discussion Papers - 2001

We study the investment behaviour of foreign investors in association with an equity market liberalization, and find a strong link between foreigners' trading and local market returns. In the period following the liberalization, foreigners' net purchases led to a permanent increase in prices, or...

Persistent link: https://www.econbiz.de/10005114153

Carry

Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...

Persistent link: https://www.econbiz.de/10011083673

An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil’s Real Plan, 1994-1999

Campa, José Manuel; Chang, Kevin; Refalo, James F - C.E.P.R. Discussion Papers - 2000

This Paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-US dollar exchange rate from October 1994 through to March 1999. Using options data, we derive implied probability density...

Persistent link: https://www.econbiz.de/10005656384

What Do We Learn from the Price of Crude Oil Futures?

Alquist, Ron; Kilian, Lutz - C.E.P.R. Discussion Papers - 2007

Based on a two-country, two-period general equilibrium model of the spot and futures markets for crude oil, we show that there is no theoretical support for the common view that oil futures prices are good predictors of the spot price in the mean-squared error sense; yet under certain conditions...

Persistent link: https://www.econbiz.de/10005792183

Common Macro Factors and Currency Premia

Filippou, Ilias; Taylor, Mark P - C.E.P.R. Discussion Papers - 2014

We study the role of domestic and global factors on payoffs of portfolios built to mimic carry, dollar carry and … momentum strategies. We construct domestic and global factors from a large dataset of macroeconomic and financial variables and … consumption variables drive dollar carry trade payoffs and momentum returns are driven by global commodity and U.S. inflation …

Persistent link: https://www.econbiz.de/10011084700

Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees

Kelly, Bryan; Lustig, Hanno; van Nieuwerburgh, Stijn - C.E.P.R. Discussion Papers - 2012

We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in U.S. option markets. A large amount of aggregate tail risk is missing from the price of financial sector crash insurance during the financial crisis. The difference in costs of out-of-the-money put...

Persistent link: https://www.econbiz.de/10011083289

Volatility Risk Premia and Exchange Rate Predictability

Della Corte, Pasquale; Ramadorai, Tarun; Sarno, Lucio - C.E.P.R. Discussion Papers - 2013

than those from carry trade and momentum strategies. Canonical risk factors cannot price the returns from this strategy …

Persistent link: https://www.econbiz.de/10011084715

Option-Based Credit Spreads

Culp, Christopher L.; Nozawa, Yoshio; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2014

empirically show that indeed portfolios of long Treasuries and short traded put options ("pseudo bonds") closely match the …

Persistent link: https://www.econbiz.de/10011145468