Is there a credit risk anomaly in FX markets?
Author
Abstract
Suggested Citation
DOI: 10.1016/j.frl.2016.03.011
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2008.
"In Search of Distress Risk,"
Journal of Finance, American Finance Association, vol. 63(6), pages 2899-2939, December.
- Campbell, John Y. & Hilscher, Jens & Szilagyi, Jan, 2005. "In search of distress risk," Discussion Paper Series 1: Economic Studies 2005,27, Deutsche Bundesbank.
- John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2005. "In Searach of Distress Risk," Harvard Institute of Economic Research Working Papers 2081, Harvard - Institute of Economic Research.
- Szilagyi, Jan & Hilscher, Jens & Campbell, John, 2008. "In Search of Distress Risk," Scholarly Articles 3199070, Harvard University Department of Economics.
- John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2006. "In Search of Distress Risk," NBER Working Papers 12362, National Bureau of Economic Research, Inc.
- Klaus Grobys, 2014. "Momentum, sovereign credit ratings and global equity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 21(18), pages 1288-1292, December.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012.
"Currency momentum strategies,"
Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2011. "Currency Momentum Strategies," BIS Working Papers 366, Bank for International Settlements.
- Menkhoff, Lukas & Sarno, Lucio & Schrimpf, Paul & Schmeling, Maik, 2012. "Currency Momentum Strategies," CEPR Discussion Papers 8747, C.E.P.R. Discussion Papers.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012. "Currency Momentum Strategies," Working Paper series 09_12, Rimini Centre for Economic Analysis.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012.
"Carry Trades and Global Foreign Exchange Volatility,"
Journal of Finance, American Finance Association, vol. 67(2), pages 681-718, April.
- Menkhoff, Lukas & Sarno, Lucio & Schrimpf, Paul & Schmeling, Maik, 2011. "Carry Trades and Global Foreign Exchange Volatility," CEPR Discussion Papers 8291, C.E.P.R. Discussion Papers.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2011.
"Common Risk Factors in Currency Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 24(11), pages 3731-3777.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2008. "Common Risk Factors in Currency Markets," NBER Working Papers 14082, National Bureau of Economic Research, Inc.
- Nick Roussanov & Adrien Verdelhan & Hanno Lustig, 2008. "Common Risk Factors in Currency Markets," 2008 Meeting Papers 711, Society for Economic Dynamics.
- Avramov, Doron & Chordia, Tarun & Jostova, Gergana & Philipov, Alexander, 2013. "Anomalies and financial distress," Journal of Financial Economics, Elsevier, vol. 108(1), pages 139-159.
- Adrien Verdelhan, 2018.
"The Share of Systematic Variation in Bilateral Exchange Rates,"
Journal of Finance, American Finance Association, vol. 73(1), pages 375-418, February.
- Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
- Grobys, Klaus, 2014. "Momentum in global equity markets in times of troubles: Does the economic state matter?," Economics Letters, Elsevier, vol. 123(1), pages 100-103.
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2009.
"Carry Trades and Currency Crashes,"
NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 313-347,
National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," Working Papers 2008-1, Princeton University. Economics Department..
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Doron Avramov & Tarun Chordia & Gergana Jostova & Alexander Philipov, 2012. "The World Price of Credit Risk," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 2(2), pages 112-152.
- Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Palwishah, Rana & Kashif, Muhammad & Rehman, Mobeen Ur & Al-Faryan, Mamdouh Abdulaziz Saleh, 2024. "Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 91(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
- Grobys, Klaus & Heinonen, Jari-Pekka & Kolari, James, 2018. "Return dispersion risk in FX and global equity markets: Does it explain currency momentum?," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 264-280.
- Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020.
"Business cycles and currency returns,"
Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
- Riccardo Colacito & Steven J. Riddiough & Lucio Sarno, 2019. "Business Cycles and Currency Returns," NBER Working Papers 26299, National Bureau of Economic Research, Inc.
- Sarno, Lucio & Colacito, Ric & Riddiough, Steven, 2019. "Business Cycles and Currency Returns," CEPR Discussion Papers 14015, C.E.P.R. Discussion Papers.
- Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
- Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2014.
"International Diversification Benefits with Foreign Exchange Investment Styles,"
Review of Finance, European Finance Association, vol. 18(5), pages 1847-1883.
- Kroencke, Tim Alexander & Schindler, Felix & Schrimpf, Andreas, 2011. "International diversification benefits with foreign exchange investment styles," ZEW Discussion Papers 11-028, ZEW - Leibniz Centre for European Economic Research.
- Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2011. "International Diversification Benefits with Foreign Exchange Investment Styles," CREATES Research Papers 2011-10, Department of Economics and Business Economics, Aarhus University.
- Jamali, Ibrahim & Yamani, Ehab, 2019. "Out-of-sample exchange rate predictability in emerging markets: Fundamentals versus technical analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 241-263.
- Nucera, Federico & Valente, Giorgio, 2013.
"Carry trades and the performance of currency hedge funds,"
Journal of International Money and Finance, Elsevier, vol. 33(C), pages 407-425.
- Federico Nucera & Giorgio Valente, 2013. "Carry Trades and the Performance of Currency Hedge Funds," Working Papers 032013, Hong Kong Institute for Monetary Research.
- Choi, Jin Ho & Suh, Sangwon, 2021. "A filtered currency carry trade," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2018.
"Common information in carry trade risk factors,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 37-47.
- Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2016. "Common Information in Carry Trade Risk Factors," MPRA Paper 75367, University Library of Munich, Germany.
- Fan, Zhenzhen & Londono, Juan M. & Xiao, Xiao, 2022. "Equity tail risk and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 143(1), pages 484-503.
- Atanasov, Victoria & Nitschka, Thomas, 2014.
"Currency excess returns and global downside market risk,"
Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
- Victoria Galsband & Dr. Thomas Nitschka, 2013. "Currency excess returns and global downside market risk," Working Papers 2013-07, Swiss National Bank.
- Jiang, Xue & Han, Liyan & Yin, Libo, 2019. "Can skewness predict currency excess returns?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 628-641.
- Gino Cenedese & Richard Payne & Lucio Sarno & Giorgio Valente, 2016.
"What Do Stock Markets Tell Us about Exchange Rates?,"
Review of Finance, European Finance Association, vol. 20(3), pages 1045-1080.
- Sarno, Lucio & Payne, Richard & Valente, Giorgio & Cenedese, Gino, 2015. "What Do Stock Markets Tell Us About Exchange Rates?," CEPR Discussion Papers 10685, C.E.P.R. Discussion Papers.
- Cenedese, Gino & Payne, Richard & Sarno, Lucio & Valente, Giorgio, 2015. "What do stock markets tell us about exchange rates?," Bank of England working papers 537, Bank of England.
- Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2019.
"Carry trades and commodity risk factors,"
Journal of International Money and Finance, Elsevier, vol. 96(C), pages 121-129.
- Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "Carry Trades and Commodity Risk Factors," MPRA Paper 80789, University Library of Munich, Germany.
- Gordon Schulze, 2021. "Carry Trade Returns and Segmented Risk Pricing," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 49(1), pages 23-40, March.
- Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015.
"Understanding FX Liquidity,"
The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
- Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul, 2013. "Understanding FX Liquidity," Working Papers on Finance 1315, University of St. Gallen, School of Finance, revised Apr 2015.
- Ivanova, Yuliya & Neely, Christopher J. & Weller, Paul & Famiglietti, Matthew T., 2021.
"Can risk explain the profitability of technical trading in currency markets?,"
Journal of International Money and Finance, Elsevier, vol. 110(C).
- Matthew Famiglietti & Yuliya Ivanova & Christopher J. Neely & Paul A. Weller, 2014. "Can risk explain the profitability of technical trading in currency markets?," Working Papers 2014-033, Federal Reserve Bank of St. Louis, revised 12 Jun 2020.
- Zhang, Shaojun, 2022.
"Dissecting currency momentum,"
Journal of Financial Economics, Elsevier, vol. 144(1), pages 154-173.
- Zhang, Shaojun, 2020. "Dissecting Currency Momentum," Working Paper Series 2020-15, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Thomas A Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2023. "Market Timing and Predictability in FX Markets," Review of Finance, European Finance Association, vol. 27(1), pages 223-246.
- Liu, Xi & Zhang, Xueyong, 2024. "Geopolitical risk and currency returns," Journal of Banking & Finance, Elsevier, vol. 161(C).
More about this item
Keywords
Credit risk; FX markets; Currency markets; Carry trade; Anomaly;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:18:y:2016:i:c:p:1-6. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.