Common Macro Factors and Currency Premia
2017 ◽
Vol 52
(4)
◽
pp. 1731-1763
◽
Keyword(s):
We study the role of domestic and global factors in the payoffs of portfolios mimicking carry, dollar-carry, and momentum strategies. Using factors summarizing large data sets of macroeconomic and financial variables, we find that global equity-market factors are predictive for carry-trade returns, whereas U.S. inflation and consumption variables drive dollar-carry-trade payoffs, momentum returns are predominantly driven by U.S. inflation factors, and global factors capture the countercyclical nature of currency premia. We also find predictability in the exchange-rate component of each strategy and demonstrate strong economic value for risk-averse investors with mean-variance preferences, regardless of base currency.
2017 ◽
Vol 9
(4)
◽
pp. 1-17
Keyword(s):
2018 ◽
Vol 35
(2-3)
◽
pp. 141-156
An example of spectrum imaging used for comparison of EELS quantitative analysis techniques on Al-Li
1991 ◽
Vol 49
◽
pp. 726-727
1992 ◽
Vol 50
(2)
◽
pp. 1488-1489
Keyword(s):