| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9101 |
| 来源ID | Working Paper 9101 |
| Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals | |
| Kenneth A. Froot; Tarun Ramadorai | |
| 发表日期 | 2002-08-08 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | We explore the interaction between exchange rates, institutional investor currency flows and exchange-rate fundamentals. We find that these flows are highly correlated with contemporaneous and lagged exchange rate changes, and that they carry information for future excess currency returns. This information, however, is not strongly linked to future fundamentals. Flows are important in understanding transitory elements of excess returns, which include short-run underreaction and long-run overreaction. However, flows have a zero or negative correlation with permanent components of excess returns. We find that measured fundamentals - not flows - seem important in understanding permanent elements of excess returns. We conclude that investor flows are important for understanding deviations of exchange rates from fundamentals, but not for understanding the long-run currency values. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w9101 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566712 |
| 推荐引用方式 GB/T 7714 | Kenneth A. Froot,Tarun Ramadorai. Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9101.pdf（668KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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