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Investor attention to news on financial integration and currency returns

In: Handbook of Financial Integration

Author

Listed:
  • Ilias Filippou
  • My T. Nguyen
  • Mark P. Taylor

Abstract

This chapter examines the economic value of a text-based measure of financial integration. The authors’ attention measure of financial integration is a strong positive predictor of currency excess returns. Specifically, the financial integration measure is positively priced in the cross-section of currency excess returns. Thus, investors require a risk premium for holding currencies with high exposure to financial integration news. The results are robust to alternative test assets, and the financial integration portfolios offer significant alphas when controlling for other currency investment strategies.

Suggested Citation

  • Ilias Filippou & My T. Nguyen & Mark P. Taylor, 2024. "Investor attention to news on financial integration and currency returns," Chapters, in: Guglielmo M. Caporale (ed.), Handbook of Financial Integration, chapter 3, pages 57-73, Edward Elgar Publishing.
    • Handle: RePEc:elg:eechap:21716_3
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    File URL: https://www.elgaronline.com/doi/10.4337/9781803926377.00009
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    Keywords

    Economics and Finance;

    Statistics

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