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- Publisher Website: 10.1093/rapstu/raab019
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Article: Pricing Implications of Covariances and Spreads in Currency Markets
Title | Pricing Implications of Covariances and Spreads in Currency Markets |
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Authors | |
Issue Date | 2022 |
Publisher | Oxford University Press. The Journal's web site is located at http://www.oxfordjournals.org/our_journals/raps/ |
Citation | The Review of Asset Pricing Studies, 2022, v. 12 n. 1, p. 336-388 How to Cite? |
Abstract | We introduce a covariance and spread (i.e., exchange rate forward discount) adjusted carry factor that prices the cross-section of FX market returns, where many other single- and multifactor models fail. Both the covariance matrix of exchange rate growths and forward discounts contain important information for pricing that is not captured by well-known factors. The time-varying conditional covariance matrix and forward discounts forecast future realized currency returns. |
Persistent Identifier | http://hdl.handle.net/10722/301726 |
ISSN | 2023 Impact Factor: 2.2 2023 SCImago Journal Rankings: 6.315 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Maurer, TA | - |
dc.contributor.author | Tô, T | - |
dc.contributor.author | Tran, N | - |
dc.date.accessioned | 2021-08-09T03:43:20Z | - |
dc.date.available | 2021-08-09T03:43:20Z | - |
dc.date.issued | 2022 | - |
dc.identifier.citation | The Review of Asset Pricing Studies, 2022, v. 12 n. 1, p. 336-388 | - |
dc.identifier.issn | 2045-9920 | - |
dc.identifier.uri | http://hdl.handle.net/10722/301726 | - |
dc.description.abstract | We introduce a covariance and spread (i.e., exchange rate forward discount) adjusted carry factor that prices the cross-section of FX market returns, where many other single- and multifactor models fail. Both the covariance matrix of exchange rate growths and forward discounts contain important information for pricing that is not captured by well-known factors. The time-varying conditional covariance matrix and forward discounts forecast future realized currency returns. | - |
dc.language | eng | - |
dc.publisher | Oxford University Press. The Journal's web site is located at http://www.oxfordjournals.org/our_journals/raps/ | - |
dc.relation.ispartof | The Review of Asset Pricing Studies | - |
dc.title | Pricing Implications of Covariances and Spreads in Currency Markets | - |
dc.type | Article | - |
dc.identifier.email | Maurer, TA: maurer@hku.hk | - |
dc.identifier.authority | Maurer, TA=rp02560 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1093/rapstu/raab019 | - |
dc.identifier.hkuros | 324032 | - |
dc.identifier.volume | 12 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 336 | - |
dc.identifier.epage | 388 | - |
dc.identifier.isi | WOS:000792245500001 | - |
dc.publisher.place | United Kingdom | - |