This paper provides a comprehensive statistical and economic evidence on the forecasting power of local-currency equity and bond returns in predicting exchange rate returns. We first construct out-of-sample (OOS) forecasts using various model specifications of equity and bond returns, and assess...

We study the asset pricing implications arising from imperfect investor protection using a new governance measure. This is defined as the product of institutional quality in a country and the proportion of free float shares, which captures the impact of controlling block holders. Using monthly...

This study examines the influence of economic integration, both real and financial, on exchange market pressure (EMP), along with considering external monetary and economic policy uncertainties. Our analysis is based on a group of Asian emerging markets over the period 2000-2018, which covers...