We construct a novel database of monthly foreign exchange interventions for 49 countriesover up to 22 years. We build on a text classification approach that extracts informationabout interventions from news articles and calibrate our procedure to data about actualinterventions. This new dataset...

We show that global asset reallocations of U.S. fund investors obey a strong factor structure, with two factors accounting for more than 90% of the overall variation. The first factor captures switches between U.S. bonds and equities. The second reflects reallocations from U.S. to international...

We show that global asset reallocations of U.S. fund investors obey a strong factor structure, with two factors accounting for more than 90% of the overall variation. The first factor captures switches between U.S. bonds and equities. The second reflects reallocations from U.S. to international...

We study carry trades in the cryptocurrency market and document that the lack of sufficient arbitrage capital in combination with highly levered speculators creates ample carry opportunities. We find that carry in bitcoin, as measured by the funding rate of BTC/USD perpetual swaps, resembles...

We estimate consumption based asset pricing models using consumption and equity market data for fifteen countries from 1900 to 2008 in a setting where investors have recursive utility. We find strong evidence that a long-run risk consumption CAPM that prices international stock returns via their...

We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess returns of up to 10% p.a. between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors,...

We document that the carry of crypto futures, i.e., the difference between futures and spot prices, can become very large (up to 60% p.a.) and varies strongly over time. This behavior is most consistent with the existence of a highly volatile crypto convenience yield that stems from two main...

We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess returns of up to 10% p.a. between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors,...