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The Foreign Exchange Risk Premium in the Cross-Section of Stock Returns: International Evidence 股票收益横截面中的外汇风险溢价:国际证据
ERN: Foreign Exchange Models (Topic) Pub Date : 2021-07-15 DOI: 10.2139/ssrn.3493302
Alain A. Krapl, Armin Varmaz
{"title":"The Foreign Exchange Risk Premium in the Cross-Section of Stock Returns: International Evidence","authors":"Alain A. Krapl, Armin Varmaz","doi":"10.2139/ssrn.3493302","DOIUrl":"https://doi.org/10.2139/ssrn.3493302","url":null,"abstract":"Using the framework of the International Capital Asset Pricing Model, we estimate unconditional FX risk premiums for a large cross-section of firms from local currency perspectives. Further, we study the impact of potential FX risk diversifiability on FX risk premiums. Using equity data from nine major financial markets, we find support for FX risk being a contributing factor to stock return volatility in eight and a priced factor in four of the sample markets. Empirical estimates of FX risk premiums are economically meaningful, negative for U.S. and Swiss firms, and positive for Australian and Canadian firms.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115298947","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Maximally Predictable Currency Portfolios 最大可预测的货币投资组合
ERN: Foreign Exchange Models (Topic) Pub Date : 2021-07-01 DOI: 10.2139/ssrn.3933883
Richard D. F. Harris, Jane Shen, Fatih Yılmaz
{"title":"Maximally Predictable Currency Portfolios","authors":"Richard D. F. Harris, Jane Shen, Fatih Yılmaz","doi":"10.2139/ssrn.3933883","DOIUrl":"https://doi.org/10.2139/ssrn.3933883","url":null,"abstract":"We investigate the predictability of the G10 currencies with respect to lagged currency returns from the perspective of a U.S. investor, using the maximally predictable portfolio (MPP) approach of Lo and MacKinlay (1997). Out-of-sample, the MPP yields a higher Sharpe ratio, higher cumulative return and lower maximum drawdown than both an equal-weighted portfolio of the currencies and an equal-weighted portfolio of momentum trading strategies. The MPP has performed particularly well since the 2008 financial crisis, in contrast with the momentum portfolio, the value of which declined significantly over this period. Our results are robust to the estimation window length, the type and level of portfolio weight constraints, and transaction costs.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"119 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123597276","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
The Random Walk Model in Finance: A New Taxonomy 金融中的随机游走模型:一种新的分类法
ERN: Foreign Exchange Models (Topic) Pub Date : 2021-05-26 DOI: 10.2139/ssrn.3908441
Christian Walter
{"title":"The Random Walk Model in Finance: A New Taxonomy","authors":"Christian Walter","doi":"10.2139/ssrn.3908441","DOIUrl":"https://doi.org/10.2139/ssrn.3908441","url":null,"abstract":"The backbone of financial risk modeling in finance over a long time period of more than a century, the random walk hypothesis has shown substantial variations in its structure throughout its history. In this article, I revisit the history of the random walk model in finance by introducing a new way of describing what a random walk is, based on the Lévy measure in the Fourier space, a tool that has not yet been used in the history of financial thought. With this lens, we are able to understand the overview of the life of this model in finance over the entire 20th century, including the precursors of the 19th century.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127554987","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does Currency Smirk Predict Foreign Exchange Return? 货币假笑能预测外汇回报吗?
ERN: Foreign Exchange Models (Topic) Pub Date : 2020-09-23 DOI: 10.21511/IMFI.17(3).2020.17
Ariful Hoque, Thi Ngoc Quynh Le, Kamrul Hassan
{"title":"Does Currency Smirk Predict Foreign Exchange Return?","authors":"Ariful Hoque, Thi Ngoc Quynh Le, Kamrul Hassan","doi":"10.21511/IMFI.17(3).2020.17","DOIUrl":"https://doi.org/10.21511/IMFI.17(3).2020.17","url":null,"abstract":"This paper finds the predictive power of currency smirk to forecast foreign exchange (FX) return to be convincing. Although the steeper currency smirk appears in the middle of the trading day, the conclusive currency smirks' predictability lasts over the next trading day, as the FX market is highly adept at incorporating the information embedded in the currency smirk. The implication of these fmdings is that the currency smirk is distinctive for forecasting very short-term FX fluctuations, and that day- or overnight FX traders can apply its uniqueness to profit from quick price swings in the 24-hour globalFX market.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"116 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121765830","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
A Decade of Evidence of Trend Following Investing in Cryptocurrencies 加密货币投资趋势的十年证据
ERN: Foreign Exchange Models (Topic) Pub Date : 2020-09-22 DOI: 10.2139/ssrn.3697981
Evans Rozario, Samuel Holt, James West, Shaun Ng
{"title":"A Decade of Evidence of Trend Following Investing in Cryptocurrencies","authors":"Evans Rozario, Samuel Holt, James West, Shaun Ng","doi":"10.2139/ssrn.3697981","DOIUrl":"https://doi.org/10.2139/ssrn.3697981","url":null,"abstract":"Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies. We present a decade of evidence from the infancy of bitcoin, showcasing the potential investor returns in cryptocurrency trend following, 255% walkforward annualised returns. We find that cryptocurrencies offer similar returns characteristics to commodities with similar risk-adjusted returns, and strong bear market diversification against traditional equities. Code available at this https URL.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124949516","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets 外汇和比特币市场对三角套利平价的偏离
ERN: Foreign Exchange Models (Topic) Pub Date : 2020-07-07 DOI: 10.2139/ssrn.3148094
J. Reynolds, Leopold Sögner, M. Wagner
{"title":"Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets","authors":"J. Reynolds, Leopold Sögner, M. Wagner","doi":"10.2139/ssrn.3148094","DOIUrl":"https://doi.org/10.2139/ssrn.3148094","url":null,"abstract":"This paper applies recently developed procedures to monitor and date so-called “financial market dislocations”, defined as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention on and importance of mispricing in the market for cryptocurrencies, we include the cryptocurrency Bitcoin in addition to fiat currencies. We do not find evidence for substantial deviations from the triangular arbitrage parity when only traditional fiat currencies are concerned, but document significant deviations from triangular arbitrage parities in the newer markets for Bitcoin. We confirm the importance of our results for portfolio strategies by showing that a currency portfolio that trades based on our detected break-points outperforms a simple buy-and-hold strategy.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132091826","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Do Cryptocurrency Markets React to Issuer Sentiments? Evidence from Twitter 加密货币市场会对发行人情绪做出反应吗?来自Twitter的证据
ERN: Foreign Exchange Models (Topic) Pub Date : 2020-07-01 DOI: 10.2139/ssrn.3675196
Jiahang Zhang
{"title":"Do Cryptocurrency Markets React to Issuer Sentiments? Evidence from Twitter","authors":"Jiahang Zhang","doi":"10.2139/ssrn.3675196","DOIUrl":"https://doi.org/10.2139/ssrn.3675196","url":null,"abstract":"Researchers and practitioners increasingly use posts on Twitter as an additional source of information to analyze cryptocurrency price movements. Previous studies focusing on the stock markets have illustrated the impact of corporate sentiment disclosure on stock returns and trading volumes. This study explores the cryptocurrency market reaction to issuer Twitter sentiments. I find that cryptocurrency prices react positively to Twitter sentiments, while the trading volumes react positively to the absolute value of Twitter sentiments in a timely manner (within 24 hours). Further analysis in this study reveals that the market reactions are mainly driven by the incremental sentiments contained in Twitter posts. This study sheds light on the trading behavior of investors in the cryptocurrency markets.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"111 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128995026","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Maximum Likelihood Estimation of Continuous-time Diffusion Models for Exchange Rates 汇率连续时间扩散模型的最大似然估计
ERN: Foreign Exchange Models (Topic) Pub Date : 2020-03-30 DOI: 10.2139/ssrn.3577328
S. Choi, Jaebum Lee
{"title":"Maximum Likelihood Estimation of Continuous-time Diffusion Models for Exchange Rates","authors":"S. Choi, Jaebum Lee","doi":"10.2139/ssrn.3577328","DOIUrl":"https://doi.org/10.2139/ssrn.3577328","url":null,"abstract":"Five diffusion models are estimated using three different foreign exchange rates to find an appropriate model for each. Daily spot exchange rates expressed as the prices of 1 euro, 1 British pound and 100 Japanese yen in US dollars, respectively denoted by USD/EUR, USD/GBP, and USD/100JPY, are used. The maximum likelihood estimation method is implemented after deriving an approximate log-transition density function (log-TDF) of the diffusion processes because the true log-TDF is unknown. Of the five models, the most general model is the best fit for the USD/GBP, and USD/100JPY exchange rates, but it is not the case for the case of USD/EUR. Although we could not find any evidence of the mean-reverting property for the USD/EUR exchange rate, the USD/GBP, and USD/ 100JPY exchange rates show the mean-reversion behavior. Interestingly, the volatility function of the USD/EUR exchange rate is increasing in the exchange rate while the volatility functions of the USD/GBP and USD/100Yen exchange rates have a U-shape. Our results reveal that more care has to be taken when determining a diffusion model for the exchange rate. The results also imply that we may have to use a more general diffusion model than those proposed in the literature when developing economic theories for the behavior of the exchange rate and pricing foreign currency options or derivatives.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"119 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123469817","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Libra or Librae? Basket Based Stablecoins to Mitigate Foreign Exchange Volatility Spillovers 天秤座还是天秤座?基于一篮子稳定币减轻外汇波动溢出效应
ERN: Foreign Exchange Models (Topic) Pub Date : 2020-03-01 DOI: 10.2139/ssrn.3546779
Paolo Giudici, T. Leach, Paolo Pagnottoni
{"title":"Libra or Librae? Basket Based Stablecoins to Mitigate Foreign Exchange Volatility Spillovers","authors":"Paolo Giudici, T. Leach, Paolo Pagnottoni","doi":"10.2139/ssrn.3546779","DOIUrl":"https://doi.org/10.2139/ssrn.3546779","url":null,"abstract":"The paper aims to assess, from an empirical viewpoint, the advantages of a stablecoin whose value is derived from a basket of underlying currencies, against a stablecoin which is pegged to the value of one major currency, such as the dollar. To this aim, we ?rst ?nd the optimal weights of the currencies that can comprise our basket. We then employ volatility spillover decomposition methods to understand which foreign currency mostly drives the others. We then look at how the stability of either stablecoin is affected by currency shocks, by means of VAR models and impulse response functions. Our empirical ?ndings show that our basket based stablecoin is less volatile than all single currencies. This results is fundamental for policy making, and especially for emerging markets with a high level of remittances: a librae (basket based stable coin) can preserve their value during turbolent times better than a libra (single currency based stable coin).","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125266501","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 25
Foreign Exchange Fixings and Returns Around the Clock 外汇定价和收益全天候
ERN: Foreign Exchange Models (Topic) Pub Date : 2020-01-17 DOI: 10.2139/ssrn.3521370
Ingomar Krohn, Philippe Mueller, P. Whelan
{"title":"Foreign Exchange Fixings and Returns Around the Clock","authors":"Ingomar Krohn, Philippe Mueller, P. Whelan","doi":"10.2139/ssrn.3521370","DOIUrl":"https://doi.org/10.2139/ssrn.3521370","url":null,"abstract":"This paper documents a new stylised fact in foreign exchange markets: intraday currency returns display prolonged reversals around the major benchmark fixings, characterised by an appreciation of the U.S. dollar pre-fixing and a depreciation thereafter. Tracing returns around the clock, the major fixing during Asian trading hours (Tokyo) and two major fixings during European and U.S. hours (Frankfurt and London) generate a distinct `W' shaped return pattern over the 24-hour trading day. On either side of the reversal, price drifts persist for hours; moreover, they are a systematic feature of the data being present every day of the week, month of the year, and during each of the 20 years in our sample. We argue these findings require two ingredients (i) a structural demand for dollar immediacy at local currency fixing times; and (ii) pre-fix hedging risk management practices by financial intermediaries. Consistent with this conjecture, we show our findings are unique to the U.S dollar numeraire, amplified in states of high anticipated volatility, low liquidity, and that arbitrageurs can exploit these patterns after taking transaction costs into account.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115230367","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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