Miguel Villanueva

Crowninshield Financial Research

56 Harvard St

Brookline, MA 02445

United States

Boston University - MET

United States

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 21,295

SSRN RANKINGS

Top 21,295

in Total Papers Downloads

2,292

SSRN CITATIONS
Rank 33,993

SSRN RANKINGS

Top 33,993

in Total Papers Citations

1

CROSSREF CITATIONS

17

Scholarly Papers (9)

1.

Forecasting Currency Excess Returns: Can the Forward Bias Be Exploited?

Journal of Financial and Quantitative Analysis, Volume 42, Issue 4, December 2007, pp. 963-990
Number of pages: 46 Posted: 03 May 2005 Last Revised: 04 Apr 2019
Miguel Villanueva
Crowninshield Financial Research
Downloads 693 (37,156)
Citation 2

Abstract:

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Forward bias, FX trading profits, Monte Carlo simulation, bootstrap resampling

2.

Quantitative Easing and US Stock Prices

Number of pages: 37 Posted: 06 Sep 2015
Miguel Villanueva
Crowninshield Financial Research
Downloads 420 (70,345)
Citation 1

Abstract:

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Quantitative easing, federal fund rates, stock returns, out of sample forecasts, impulse-response analysis

3.

Can Foreign Exchange Risk Hedge Other Sources of Risk? A Multifactor Analysis

Number of pages: 22 Posted: 27 May 2004
James Ross McCown and Miguel Villanueva
University of Oklahoma - Division of Finance and Crowninshield Financial Research
Downloads 317 (97,246)

Abstract:

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International Asset Pricing, Exchange Rates,Foreign Exchange Risk

4.

Spot-Forward Cointegration, Structural Breaks and FX Market Unbiasedness

Journal of International Financial Markets, Institutions and Money, Volume 17, Issue 1, February 2007, Pages 58-78
Number of pages: 21 Posted: 30 Aug 2005 Last Revised: 04 Apr 2019
Miguel Villanueva
Crowninshield Financial Research
Downloads 256 (122,204)

Abstract:

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forward rates, market unbiasedness, structural breaks

5.

Perspectives on Uncovered Interest Rate Parity and the Carry Trade: Some Recent Evidence for G10 and Emerging Markets

Number of pages: 27 Posted: 18 Nov 2012
Miguel Villanueva
Crowninshield Financial Research
Downloads 216 (144,523)
Citation 1

Abstract:

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Uncovered interest parity, carry trade, FX economic model, policy and practitioner currency management

6.

FX Dynamics, Limited Participation, and the Forward Bias Anomaly

Financial Review, Vol. 40, pp. 67-93, 2005
Number of pages: 28 Posted: 30 Apr 2005
Miguel Villanueva
Crowninshield Financial Research
Downloads 198 (156,901)

Abstract:

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Forward-bias, generalized impulse response, limited participation, overshooting, undershooting

7.

Regressions of FX Returns on Fractionally Integrated Forward Premium

Number of pages: 38 Posted: 18 May 2007
Miguel Villanueva
Crowninshield Financial Research
Downloads 101 (269,412)

Abstract:

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Fractional integration, unbalanced regression, forward bias, small-sample bias, Monte Carlo simulation

8.

A Model of FX Fluctuations with News

Number of pages: 15 Posted: 14 Sep 2015
Miguel Villanueva
Crowninshield Financial Research
Downloads 55 (380,672)

Abstract:

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Currency valuation, FX dynamics, news to yields, deviations from uncovered interest parity.

9.

Stock Price Reactivity to Earnings Announcements: The Role of Cammer/Krogman Factors

Number of pages: 52 Posted: 14 Jan 2019 Last Revised: 23 Sep 2019
Miguel Villanueva and Steven P. Feinstein
Crowninshield Financial Research and Babson College - Finance Division
Downloads 36 (450,813)

Abstract:

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Earnings announcements, Cammer/Krogman factors, securities litigation, logit regression, stock price reactivity, market efficiency