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City University London - Sir John Cass Business School
Centre for Economic Policy Research (CEPR)
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Momentum returns, Limits to Arbitrage, Idiosyncratic Volatility, Carry Trades
Momentum Returns, Limits to Arbitrage, Idiosyncratic Volatility, Carry Trades
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP8747.
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Carry Trades, Idiosyncratic Volatility, Limits to Arbitrage, Momentum Returns
F31, G12, G15
File name: DP8291.
carry trade, forward premium puzzle, liquidity, volatility
Currency value, macro fundamentals, real exchange rate, predictability
Realized volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty
Realised volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty
Exchange rates, economic fundamentals, forecasting, present value model
File name: DP9472.
economic fundamentals, Exchange rates, forecasting, present value model
Dividend Yield, Predictability, International Stock Markets, Value, Growth, Idiosyncratic Volatility
dividend yield, predictability, international stock markets, value, growth, idiosyncratic volatility
Exchange rates, currency risk premium, sovereign risk, CDS spreads
Portfolio Rebalancing, Mutual Funds, Momentum, Search For Yield, Monetary Policy
Inflation expectations, Money Illusion, Proxy hypothesis, Stock Return Predictability
Order Flow, Foreign Exchange Risk Premia, Heterogeneous Information, Carry Trades
Market microstructure, informed trading, trade size, foreign exchange
foreign exchange, microstructure, intervention, exchange rate
exchange rates, intervention, microstructure
Higher-Order Expectations, Stock Market Forecasts, Forecaster Heterogeneity
limit-order market, order submission, informed traders, market conditions
Bond Yields, Expectations Hypothesis, Time-Varying Risk Premia, Term Premia, Aggregate Uncertainty
central bank communication, stock returns, return predictability, bond yields, monetary policy, textual analysis
Foreign exchange microstructure, order flow, informed traders, counterparty identity
International Asset Pricing, Long-run Consumption Risk, Capital Market Integration, Long Term Data
Market integration, Consumption risk sharing, International financial markets
Exchange rates, risk premium, order flow
File name: DP11324.
Currency value, macro fundamentals, predictability, real exchange rate
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