In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

China's segmented stock market provides an opportunity to study conditional international asset pricing from multiple viewpoints--domestic and foreign. We use the multivariate GARCH-M framework of De Santis and Gérard [De Santis, G., and Gérard, B., 1998. How big is the premium for currency...