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International Asset Allocation with Time-Varying Correlations

Ang, Andrew - 1999

markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio … a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more … international diversification is still valuable with regime changes. Currency hedging imparts further benefit. The costs of ignoring …

Persistent link: https://www.econbiz.de/10012471745

The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market : A Bootstrap Approach

Levich, Richard M. - 1991

In this paper, we present new evidence on the profitability and statistical significance of technical trading rules in the foreign exchange market. We utilize a new data base, currency futures contracts for the period 1976-1990, and we implement a new testing procedure based on bootstrap...

Persistent link: https://www.econbiz.de/10012475179

Segmented Arbitrage

Siriwardane, Emil N.; Sunderam, Adi; Wallen, Jonathan L. - National Bureau of Economic Research - 2022

We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the 29 arbitrage spreads that we study is 21%. These low correlations are inconsistent with canonical...

Persistent link: https://www.econbiz.de/10013435123

Forward Return Expectations

Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023

higher than justified by investors' own subsequent short-term return expectations. This excess volatility in forward … expectations helps account for excess volatility in prices, inelastic demand for equities, and stylized facts about the equity term …

Persistent link: https://www.econbiz.de/10014372444

Global Fund Flows and Emerging Market Tail Risk

Chari, Anusha; Stedman, Karlye Dilts; Lundblad, Christian - National Bureau of Economic Research - 2022

Global risk and risk aversion shocks have distinct distributional impacts on emerging market capital flows and returns. In particular, we find salient consequences of these different global shocks for tail risk in emerging markets. Open-end mutual fund trading provides a key mechanism linking...

Persistent link: https://www.econbiz.de/10013435139

Who Holds Sovereign Debt and Why It Matters

Fang, Xiang; Hardy, Bryan; Lewis, Karen K. - National Bureau of Economic Research - 2022

This paper studies the impact of investor composition on the sovereign debt market and the implied funding costs to borrowers. We construct an aggregate data set of sovereign debt holdings by foreign and domestic bank, non-bank private, and official investors for 95 countries over twenty years....

Persistent link: https://www.econbiz.de/10013210115

Global Risk, Non-Bank Financial Intermediation, and Emerging Market Vulnerabilities

Chari, Anusha - National Bureau of Economic Research - 2023

, increasing the volatility of capital flows to emerging markets. Benchmark-driven investments, namely passive funds, appear …

Persistent link: https://www.econbiz.de/10014250161

Equity Term Structures without Dividend Strips Data

Giglio, Stefano; Kelly, Bryan T.; Kozak, Serhiy - National Bureau of Economic Research - 2023

-diversified equity portfolio. We do not use any dividend strips data in the estimation of the model; however, model-implied equity yields …, the model generates term structures for any portfolio of stocks (e.g., small and value portfolios, high and low investment …

Persistent link: https://www.econbiz.de/10014250137

Non-Fundamental Flows and Foreign Exchange Rates

Aldunate, Felipe E.; Da, Zhi; Larrain, Borja; Sialm, Clemens - National Bureau of Economic Research - 2022

, which is estimated to have a relatively low price elasticity of 0.81. Hedging by the banking sector propagates the price …

Persistent link: https://www.econbiz.de/10013477245

From Carry Trades to Trade Credit : Financial Intermediation by Non-Financial Corporations

Hardy, Bryan; Saffie, Felipe - National Bureau of Economic Research - 2023

We use unique firm-level data from Mexico to document that non-financial corporations engage in carry trades by borrowing in foreign currency (FX) and lending in domestic currency, largely in the form of trade credit, accumulating currency risk in the process. We show at a quarterly frequency...

Persistent link: https://www.econbiz.de/10014250200