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The Returns to Currency Speculation
16 references·16 citing·39 second hopsampled
The Returns to Currency Speculation (2006)The Returns to Currency SpeculationThe Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Empirical Evidence on the…The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment (2011)The Cross Section of Foreign …A Consumption‐Based Explanation of Expected Stock Returns (2006)A Consumption‐Based Explanati…Asset Pricing: Revised Edition (2005)Asset Pricing: Revised EditionThe Microstructure Approach to Exchange Rates (2001)The Microstructure Approach t…Affine Term Structure Models and the Forward Premium Anomaly (2001)Affine Term Structure Models …The forward premium puzzle: different tales from developed and emerging economies (2000)The forward premium puzzle: d…Order Flow and Exchange Rate Dynamics (1999)Order Flow and Exchange Rate …The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Puzzles in International Financial Markets (1994)Puzzles in International Fina…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Forward and spot exchange rates (1984)Forward and spot exchange rat…THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Market microstructure (1976)Market microstructureGlobal Currency Hedging with Common Risk Factors (2018)Global Currency Hedging with …Forward and Spot Exchange Rates in a Multi-Currency World* (2018)Forward and Spot Exchange Rat…Pricing and Liquidity in Decentralized Asset Markets (2016)Pricing and Liquidity in Dece…The new IMF approach to capital account management and its blind spots: lessons from Brazil and South Korea (2013)The new IMF approach to capit…International Diversification Benefits with Foreign Exchange Investment Styles (2013)International Diversification…Carry trade and foreign exchange rate puzzles (2013)Carry trade and foreign excha…Country Size, Currency Unions, and International Asset Returns (2011)Country Size, Currency Unions…Carry trades, momentum trading and the forward premium anomaly (2011)Carry trades, momentum tradin…Speculative capital and currency carry trades (2010)Speculative capital and curre…Monetary Policy and the Uncovered Interest Parity Puzzle (2010)Monetary Policy and the Uncov…Do Peso Problems Explain the Returns to the Carry Trade? (2010)Do Peso Problems Explain the …Risk Appetite and Exchange Rates (2009)Risk Appetite and Exchange Ra…Rare Disasters and Exchange Rates (2008)Rare Disasters and Exchange R…Carry Trade: The Gains of Diversification (2008)Carry Trade: The Gains of Div…What Can the Data Tell Us about Carry Trades in Japanese Yen? (2007)What Can the Data Tell Us abo…Global Currency Hedging (2007)Global Currency HedgingBid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Cost of Transacting (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Optimal dealer pricing under transactions and return uncertainty (1981)Insiders' profits, costs of trading, and market efficiency (1986)Market liquidity as a sentiment indicator (2004)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Investor Psychology and Asset Pricing (2001)Exchange Rates and Fundamentals (2005)Carry Trades and Currency Crashes (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Currency traders and exchange rate dynamics: a survey of the US market (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)International Liquidity and Exchange Rate Dynamics * (2015)Market microstructure: A survey (2000)Common Risk Factors in Currency Markets (2011)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Financial Markets and the Real Economy (2005)The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk (2007)The Pollution Premium (2020)The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium (2016)Taming the Factor Zoo: A Test of New Factors (2020)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 2001The Microstructure Approach to Exchange Rates1,043 cited
  • 1999Order Flow and Exchange Rate Dynamics790 cited
  • 2005Asset Pricing: Revised Edition718 cited
  • 2006A Consumption‐Based Explanation of Expected Stock Returns653 cited
  • 2014The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets601 cited
  • 2001Affine Term Structure Models and the Forward Premium Anomaly594 cited
  • 1976Market microstructure555 cited
  • 1994Puzzles in International Financial Markets523 cited
  • 2000The forward premium puzzle: different tales from developed and emerging economies501 cited
  • 2011The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment

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472 cited

Cited by

  • 2007Global Currency Hedging158 cited
  • 2016Pricing and Liquidity in Decentralized Asset Markets133 cited
  • 2018Forward and Spot Exchange Rates in a Multi-Currency World*118 cited
  • 2009Risk Appetite and Exchange Rates114 cited
  • 2013The new IMF approach to capital account management and its blind spots: lessons from Brazil and South Korea106 cited
  • 2010Speculative capital and currency carry trades106 cited
  • 2013International Diversification Benefits with Foreign Exchange Investment Styles102 cited
  • 2008Carry Trade: The Gains of Diversification97 cited
  • 2011Country Size, Currency Unions, and International Asset Returns94 cited
  • 2008Rare Disasters and Exchange Rates92 cited
  • 2011Carry trades, momentum trading and the forward premium anomaly88 cited
  • 2010Monetary Policy and the Uncovered Interest Parity Puzzle86 cited
  • 2010Do Peso Problems Explain the Returns to the Carry Trade?85 cited
  • 2007What Can the Data Tell Us about Carry Trades in Japanese Yen?78 cited
  • 2013Carry trade and foreign exchange rate puzzles74 cited
  • 2018Global Currency Hedging with Common Risk Factors74 cited