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Geopolitical risk and currency returns
16 references·0 citing·45 second hop
Geopolitical risk and currency returns (2024)Geopolitical risk and currency returnsMeasuring Geopolitical Risk (2022)Measuring Geopolitical RiskMeasuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…The Sum of All FEARS Investor Sentiment and Asset Prices (2014)The Sum of All FEARS Investor…Value and Momentum Everywhere (2013)Value and Momentum EverywherePolitical uncertainty and risk premia (2013)Political uncertainty and ris…Carry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…A skeptical appraisal of asset pricing tests☆ (2009)A skeptical appraisal of asse…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Rational contagion and the globalization of securities markets (2000)Rational contagion and the gl…Commonality in liquidity (2000)Commonality in liquidityOn the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Data-Snooping Biases in Tests…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (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)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Time Series Momentum (2011)… and the Cross-Section of Expected Returns (2015)Does Academic Research Destroy Stock Return Predictability? (2015)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Noise Trader Risk in Financial Markets (1990)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Manager sentiment and stock returns (2018)Economic policy uncertainty: A literature review (2019)Continuous Auctions and Insider Trading (1985)Market Liquidity and Trading Activity (2001)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)Protection For Sale (1992)Distributive Politics and Economic Growth (1994)Uncertainty about Government Policy and Stock Prices (2012)Policy Uncertainty and Corporate Investment (2015)Carbon Tail Risk (2018)The Role of Monetary Policy (1995)The Impact of Uncertainty Shocks (2009)Measuring Uncertainty (2015)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Estimation and Inference of Impulse Responses by Local Projections (2005)Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine (2022)Russia–Ukraine crisis: The effects on the European stock market (2022)The impact of the Russian-Ukrainian war on global financial markets (2023)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2022Measuring Geopolitical Risk3,788 cited
  • 2013Political uncertainty and risk premia2,375 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 2000Commonality in liquidity1,748 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 2014The Sum of All FEARS Investor Sentiment and Asset Prices1,384 cited
  • 2009A skeptical appraisal of asset pricing tests☆1,204 cited
  • 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models1,121 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2000Rational contagion and the globalization of securities markets952 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2008Carry Trades and Currency Crashes792 cited

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