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~language:"und"
~person:"Schmeling, Maik"
~subject:"Bond risk premia"
~subject:"Momentum returns"
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Schmeling, Maik
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Currency momentum strategies
Menkhoff, Lukas
;
Sarno, Lucio
;
Schmeling, Maik
; …
- In:
Journal of Financial Economics
106
(
2012
)
3
,
pp. 660-684
. However, there seem to be very effective limits to
arbitrage
that prevent momentum returns from being easily exploitable in …
Persistent link: https://www.econbiz.de/10010587981
Saved in:
2
Macro-expectations, aggregate uncertainty, and expected term premia
Dick, Christian D.
;
Schmeling, Maik
;
Schrimpf, Andreas
- In:
European Economic Review
58
(
2013
)
C
,
pp. 58-80
Based on expectations data from the Survey of Professional Forecasters (SPF), we construct a real-time proxy for expected term premium changes of US long-term Treasury bonds. We then investigate the economic drivers of these subjective term premium expectations at the level of individual...
Persistent link: https://www.econbiz.de/10010608229
Saved in:
3
Currency Momentum Strategies
Menkhoff, Lukas
;
Sarno, Lucio
;
Schmeling, Maik
; …
-
Rimini Centre for Economic Analysis (RCEA)
-
2012
widely studied carry trade. However, there seem to be very effective limits to
arbitrage
which prevent momentum returns from …
Persistent link: https://www.econbiz.de/10010540687
Saved in:
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