| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10685 |
| DP10685 What Do Stock Markets Tell Us About Exchange Rates? | |
| LUCIO SARNO; Richard Payne; Giorgio Valente; Gino Cenedese | |
| 发表日期 | 2015-07-05 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | The sign of the correlation between equity returns and exchange rate returns can be positive or negative in theory. Using data for a broad set of 42 countries, we find that exchange rate movements are in fact unrelated to differentials in country-level equity returns. Consequently, a trading strategy that invests in countries with the highest expected equity returns and shorts those with the lowest generates substantial returns and Sharpe ratios. These returns partially reflect compensation for global equity volatility risk, but significant excess returns remain after controlling for exposure to standard risk factors. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Empirical asset pricing Exchange rates International asset allocation |
| URL | https://cepr.org/publications/dp10685 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539517 |
| 推荐引用方式 GB/T 7714 | LUCIO SARNO,Richard Payne,Giorgio Valente,et al. DP10685 What Do Stock Markets Tell Us About Exchange Rates?. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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