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Article: Pricing Implications of Covariances and Spreads in Currency Markets

TitlePricing Implications of Covariances and Spreads in Currency Markets
Authors
Maurer, TATô, TTran, N
Issue Date2022
PublisherOxford University Press. The Journal's web site is located at http://www.oxfordjournals.org/our_journals/raps/
Citation
The Review of Asset Pricing Studies, 2022, v. 12 n. 1, p. 336-388 How to Cite?
DOI: http://dx.doi.org/10.1093/rapstu/raab019
AbstractWe introduce a covariance and spread (i.e., exchange rate forward discount) adjusted carry factor that prices the cross-section of FX market returns, where many other single- and multifactor models fail. Both the covariance matrix of exchange rate growths and forward discounts contain important information for pricing that is not captured by well-known factors. The time-varying conditional covariance matrix and forward discounts forecast future realized currency returns.
Persistent Identifierhttp://hdl.handle.net/10722/301726
ISSN
2045-9920
2023 Impact Factor: 2.2
2023 SCImago Journal Rankings: 6.315
ISI Accession Number ID
WOS:000792245500001

 

DC FieldValueLanguage
dc.contributor.authorMaurer, TA-
dc.contributor.authorTô, T-
dc.contributor.authorTran, N-
dc.date.accessioned2021-08-09T03:43:20Z-
dc.date.available2021-08-09T03:43:20Z-
dc.date.issued2022-
dc.identifier.citationThe Review of Asset Pricing Studies, 2022, v. 12 n. 1, p. 336-388-
dc.identifier.issn2045-9920-
dc.identifier.urihttp://hdl.handle.net/10722/301726-
dc.description.abstractWe introduce a covariance and spread (i.e., exchange rate forward discount) adjusted carry factor that prices the cross-section of FX market returns, where many other single- and multifactor models fail. Both the covariance matrix of exchange rate growths and forward discounts contain important information for pricing that is not captured by well-known factors. The time-varying conditional covariance matrix and forward discounts forecast future realized currency returns.-
dc.languageeng-
dc.publisherOxford University Press. The Journal's web site is located at http://www.oxfordjournals.org/our_journals/raps/-
dc.relation.ispartofThe Review of Asset Pricing Studies-
dc.titlePricing Implications of Covariances and Spreads in Currency Markets-
dc.typeArticle-
dc.identifier.emailMaurer, TA: maurer@hku.hk-
dc.identifier.authorityMaurer, TA=rp02560-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1093/rapstu/raab019-
dc.identifier.hkuros324032-
dc.identifier.volume12-
dc.identifier.issue1-
dc.identifier.spage336-
dc.identifier.epage388-
dc.identifier.isiWOS:000792245500001-
dc.publisher.placeUnited Kingdom-

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