Results 11 to 20 of about 83,233 (46)
The Term Structure of Currency Carry Trade Risk Premia
The American Economic Review, 2019 Fixing the investment horizon, the returns to currency carry trades decrease as the maturity of the foreign bonds increases. Across developed countries, the local currency term premia, which increase with the maturity of the bonds, offset the currency ...
Hanno Lustig +4 more
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INTERNATIONAL AGGREGATE RISK: EFFECTS ON FINANCIAL STABILITY
Economics LettersThe increasing interconnectedness of financial and economic systems has led to the emergence of global risks that can impact financial stability. In this paper, we explore how aggregate risk on a global scale can affect the stability of financial systems.
M. Lucchetta
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Social Science Research NetworkThis paper investigates the influence of global equity market value shocks on institutional investors’ (IIs’) hedging behavior and the resultant effects on exchange rates.
Nadav Ben Zeev, D. Nathan
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The European Renewable Energy Sector in Calm and Turmoil Periods: The Key Role of Sovereign Risk
Energy JournalThis paper explores the comparative role of sovereign default risk and several high-frequency macrofinancial indicators that may explain the drop in European renewable energy stocks observed during the 2008 financial crisis and the European debt crisis ...
Karine Constant +3 more
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The Hedging Channel of Exchange Rate Determination
International Finance Discussion Paper, 2020 We propose the currency hedging channel that connects countries’ external imbalances to their exchange rate behavior. We present a model in which investors increase their currency hedging during periods of financial distress in proportion to their net ...
Gordon Y. Liao, T. Zhang
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SAGE OpenStock markets augment industries by raising and circulating capital in the economic system. This article examines the relationship between economic policy uncertainty (EPU) shocks and stock market development (SMD) in China.
Assad Ullah +3 more
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Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns
The Review of financial studies, 2018 Many studies report that the size effect in the cross-section of stock returns disappeared after the early 1980s. This paper shows that its disappearance can be attributed to negative shocks to the profitability of small firms and positive shocks to big ...
Kewei Hou, Mathijs A. van Dijk
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The Quanto Theory of Exchange Rates
The American Economic Review, 2019 We present a new identity that relates expected exchange rate appreciation to a risk-neutral covariance term, and use it to motivate a currency forecasting variable based on the prices of quanto index contracts.
Lukas Kremens, Ian J. Martin
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Rethinking the Effects of Financial Globalization
, 2016 During the past three decades, many countries have lifted restrictions on cross-border financial transactions. We present a simple model that can account for the observed effects of financial globalization.
F. Broner, Jaume Ventura
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Net operating working capital and firm value: A cross-country analysis
Business Research Quarterly, 2019 Here, we use a sample of firms from 30 countries during the period 1995–2013 to examine the relationship between net operating working capital (NWC) and firm value.
Sonia Baños-Caballero +2 more
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