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Uncovered return parity: Equity returns and currency returns
16 references·0 citing·46 second hop
Uncovered return parity: Equity returns and currency returns (2022)Uncovered return parity: Equity returns a…Deviations from Covered Interest Rate Parity (2018)Deviations from Covered Inter…International Liquidity and Exchange Rate Dynamics * (2015)International Liquidity and E…Market Expectations in the Cross‐Section of Present Values (2013)Market Expectations in the Cr…What Factors Drive Global Stock Returns? (2011)What Factors Drive Global Sto…The world price of liquidity risk (2010)The world price of liquidity …Safe Haven Currencies (2010)Safe Haven CurrenciesLimits of Arbitrage (2010)Limits of ArbitrageIndividualism and Momentum around the World (2010)Individualism and Momentum ar…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE! (2006)INDIVIDUAL EQUITY RETURN DATA…Exchange Rates, Equity Prices, and Capital Flows (2005)Exchange Rates, Equity Prices…Foundations of International Macroeconomics (1997)Foundations of International …The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Forward and spot exchange rates (1984)Forward and spot exchange rat…The "Speculative Efficiency" Hypothesis (1981)The "Speculative Efficiency" …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Empirical exchange rate models of the seventies (1983)The Determinants of Credit Spread Changes (2001)Market Liquidity and Funding Liquidity (2008)Do Peso Problems Explain the Returns to the Carry Trade? (2010)Currency momentum strategies (2012)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Empirical Asset Pricing via Machine Learning (2020)Noise Trader Risk in Financial Markets (1990)The Limits of Arbitrage (1995)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)Intermediary asset pricing: New evidence from many asset classes (2017)Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?* (2019)Risk, Return, and Equilibrium: Empirical Tests (1973)Culture and the Self: Implications for Cognition, Emotion, and Motivation (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor sentiment and stock returns: Some international evidence (2009)Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010)When firms talk, do investors listen? The role of trust in stock market reactions to corporate earnings announcements (2013)Exchange Rate Dynamics Redux (1995)International Financial Adjustment (2005)International Financial Adjustment (2007)Rare Disasters and Exchange Rates * (2015)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)Agency Costs, Net Worth, And Business Fluctuations (1988)When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020)Exchange Rate Disconnect in General Equilibrium (2021)Foreign Safe Asset Demand and the Dollar Exchange Rate (2021)Common risk factors in the returns on stocks and bonds (1993)Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole (2003)Understanding commonality in liquidity around the world (2011)The Effects of Mandatory ESG Disclosure Around the World (2024)The determinants of cross-border equity flows (2004)Financial Globalization: A Reappraisal (2006)Why Doesn't Capital Flow from Rich to Poor Countries? An Empirical Investigation (2008)
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References

  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1997Foundations of International Macroeconomics2,980 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 2010Individualism and Momentum around the World1,312 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 2006INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!893 cited
  • 2015International Liquidity and Exchange Rate Dynamics *821 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • 2018Deviations from Covered Interest Rate Parity722 cited
  • 2005Exchange Rates, Equity Prices, and Capital Flows622 cited
  • 2011What Factors Drive Global Stock Returns?576 cited
  • 2013Market Expectations in the Cross‐Section of Present Values573 cited
  • 2010Safe Haven Currencies488 cited
  • 2010The world price of liquidity risk487 cited
  • 2010Limits of Arbitrage486 cited
  • 1981The "Speculative Efficiency" Hypothesis440 cited

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