全球智库信息集成服务系统(G2TT): Emerging Market Currency Excess Returns

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w14528
来源ID	Working Paper 14528
	Emerging Market Currency Excess Returns
	Stephen Gilmore; Fumio Hayashi
发表日期	2008-12-05
出版年	2008
语种	英语
摘要	We discuss the foreign currency forward premium puzzle in the context of 20 internationally tradable emerging market currencies. We find that since the late 1990s the broad basket of emerging market currencies has provided significant equity-like excess returns against a number of major market currencies, but with low volatility. We also find that the forward premium, or carry, is significant in explaining that excess return but that excess returns would still have existed even in the absence of positive carry. Our calculation shows that transactions cost due to bid/offer spreads is substantially lower than commonly supposed in the academic literature.
主题	International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w14528
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/572203
推荐引用方式 GB/T 7714	Stephen Gilmore,Fumio Hayashi. Emerging Market Currency Excess Returns. 2008.