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Currency Returns, Skewness and Crash Risk
16 references·8 citing·26 second hopsampled
Currency Returns, Skewness and Crash Risk (2012)Currency Returns, Skewness and Crash RiskCarry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Bubbles and Crashes (2003)Bubbles and CrashesNonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Nonlinear Pricing Kernels, Ku…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Autoregressive Conditional Skewness (1999)Autoregressive Conditional Sk…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Equity tail risk and currency risk premiums (2021)Equity tail risk and currency…Uncertainty, currency excess returns, and risk reversals (2017)Uncertainty, currency excess …Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns (2017)Term Structure of Consumption…The European sovereign debt crisis: What have we learned? (2016)The European sovereign debt c…Risk and Return Spillovers Among the G10 Currencies (2016)Risk and Return Spillovers Am…Pricing Risks Across Currency Denominations (2015)Pricing Risks Across Currency…Can implied volatility predict returns on the currency carry trade? (2015)Can implied volatility predic…The Carry Trade: Risks and Drawdowns (2014)The Carry Trade: Risks and Dr…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Judgment under Uncertainty: Heuristics and Biases (1974)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Expected Stock Returns and Variance Risk Premia (2009)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 2003Bubbles and Crashes1,246 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2002Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns840 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • 1999Autoregressive Conditional Skewness

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  • 2017Uncertainty, currency excess returns, and risk reversals67 cited
  • 2017Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns50 cited
  • 2021Equity tail risk and currency risk premiums37 cited
  • 2015Can implied volatility predict returns on the currency carry trade?30 cited
  • 2015Pricing Risks Across Currency Denominations27 cited
  • 2016The European sovereign debt crisis: What have we learned?27 cited
  • 2016Risk and Return Spillovers Among the G10 Currencies26 cited
  • 2014The Carry Trade: Risks and Drawdowns24 cited