Bank positions and forecasts of exchange rate movements
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
- Grinblatt, Mark & Titman, Sheridan, 1992. "The Persistence of Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 47(5), pages 1977-1984, December.
- Ammer, John & Brunner, Allan D., 1997.
"Are banks market timers or market makers? Explaining foreign exchange trading profits,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 43-60, April.
- John Ammer & Allan D. Brunner, 1994. "Are banks market timers or market makers? Explaining foreign exchange trading profits," International Finance Discussion Papers 484, Board of Governors of the Federal Reserve System (U.S.).
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Ammer, John & Brunner, Allan D., 1997.
"Are banks market timers or market makers? Explaining foreign exchange trading profits,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 43-60, April.
- John Ammer & Allan D. Brunner, 1994. "Are banks market timers or market makers? Explaining foreign exchange trading profits," International Finance Discussion Papers 484, Board of Governors of the Federal Reserve System (U.S.).
- Chamberlain, Sandra & Howe, John S. & Popper, Helen, 1997.
"The exchange rate exposure of U.S. and Japanese banking institutions,"
Journal of Banking & Finance, Elsevier, vol. 21(6), pages 871-892, June.
- Sandra Chamberlain & John S. Howe & Helen Popper, 1995. "The exchange rate exposure of U.S. and Japanese banking institutions," Pacific Basin Working Paper Series 95-11, Federal Reserve Bank of San Francisco.
- Sandra L. Chamberlain & John S. Howe & Helen Popper, 1996. "The Exchange Rate Exposure of U.S. and Japanese Banking Institutions," Center for Financial Institutions Working Papers 96-55, Wharton School Center for Financial Institutions, University of Pennsylvania.
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.- Roberto Casarin & Andrea Piva & Loriana Pelizzon, 2008.
"Italian Equity Funds: Efficiency and Performance Persistence,"
The IUP Journal of Financial Economics, IUP Publications, vol. 0(1), pages 7-28, March.
- Loriana Pelizzon & Roberto Casarin & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 2008_12, Department of Economics, University of Venice "Ca' Foscari".
- Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 0817, University of Brescia, Department of Economics.
- Hung, Pi-Hsia & Lien, Donald & Kuo, Ming-Sin, 2020. "Window dressing in equity mutual funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 338-354.
- Adrian E. Tschoegl, 2005.
"The Key to Risk Management: Management,"
Springer Books, in: Michael Frenkel & Markus Rudolf & Ulrich Hommel (ed.), Risk Management, edition 0, pages 721-739,
Springer.
- Adrian E. Tschoegl, 2000. "The Key to Risk Management: Management," Center for Financial Institutions Working Papers 99-42, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Wolfgang Bessler & Thomas Conlon & Diego Víctor de Mingo‐López & Juan Carlos Matallín‐Sáez, 2022. "Mutual fund performance and changes in factor exposure," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(1), pages 17-52, March.
- Elton, Edwin J. & Gruber, Martin J., 2013. "Mutual Funds," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1011-1061, Elsevier.
- Veeravel. V & A. Balakrishnan, 2023. "Persistence of Large-Cap Equity Funds performance, market timing ability, and selectivity: evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 37-48, March.
- Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2013.
"Revisiting mutual fund performance evaluation,"
Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1759-1776.
- Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2012. "Revisiting Mutual Fund Performance Evaluation," MPRA Paper 36644, University Library of Munich, Germany.
- Pi‐Hsia Hung & Donald Lien & Yun‐Ju Chien, 2020. "Portfolio concentration and fund manager performance," Review of Financial Economics, John Wiley & Sons, vol. 38(3), pages 423-451, July.
- Yundan Guo & Li Shen, 2023. "Commercial Retirement FOFs in China: Investment and Persistence Performance Analysis," Sustainability, MDPI, vol. 15(18), pages 1-22, September.
- Gallefoss, Kristoffer & Hansen, Helge Hoff & Haukaas, Eirik Solli & Molnár, Peter, 2015. "What daily data can tell us about mutual funds: Evidence from Norway," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 117-129.
- Wang, Haoyu & Di, Junpeng & Yang, Zhaojun & Han, Qing, 2020. "Assessment of mutual fund performance based on Ensemble Empirical Mode Decomposition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
- Connie Becker & Wayne Ferson & David Myers & Michael Schill, 1998. "Conditional Market Timing with Benchmark Investors," NBER Working Papers 6434, National Bureau of Economic Research, Inc.
- Andrew Clare & Mariana Clare, 2019. "An examination of ex ante fund performance: identifying indicators of future performance," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 175-195, May.
- Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
- Marwa Zouaoui, 2019. "Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds," IJFS, MDPI, vol. 7(3), pages 1-19, September.
- M. Imtiaz Mazumder & Edward M. Miller & Oscar A. Varela, 2010. "Market Timing the Trading of International Mutual Funds: Weekend, Weekday and Serial Correlation Strategies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7-8), pages 979-1007.
- Pei-I Chou & Chia-Hao Lee, 2012. "Is Concentration a Good Idea? Evidence from Active Fund Management," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(1), pages 23-41, March.
- Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2008. "UK mutual fund performance: Skill or luck?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 613-634, September.
- Prather, Larry J. & Middleton, Karen L. & Cusack, Antony J., 2001. "Are N+1 heads better than one? The timing and selectivity of Australian-managed investment funds," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 379-400, August.
- Vidal-García, Javier & Vidal, Marta & Boubaker, Sabri & Uddin, Gazi Salah, 2016. "The short-term persistence of international mutual fund performance," Economic Modelling, Elsevier, vol. 52(PB), pages 926-938.
More about this item
Keywords
Forecasting; Foreign exchange rates;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:fip:fedgif:486. 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: Ryan Wolfslayer ; Keisha Fournillier (email available below). General contact details of provider: https://edirc.repec.org/data/frbgvus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.