| ID | 62526 |
| FullText URL | |
| Author |
Byrne, Joseph P.
Edinburgh Business School (Economics), School of Social Sciences, Heriot-Watt University
Sakemoto, Ryuta
Graduate School of Humanities and Social Sciences, Okayama University
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| Abstract | Our paper examines conditional risk-return relations in a number of currency investment strategies, while modeling economic states using a large number of underlying risk factors. We identify a time-varying relationship between currency returns and volatility risk for most currency portfolios. In particular, value and momentum portfolios present risk-return relationships which switch sign, depending upon economic states. The positive relationship for the value portfolio is associated with “flight to quality” periods and the mean reversion for nominal exchange rates during financial crises. The positive relationship for the momentum portfolio is linked to the US and global business cycles and investors require positive compensation for risk in recessions.
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| Keywords | Systematic Risk
Currency Carry Trade
Momentum
Value
Conditional Factor Model
Currency Variability
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| Note | JEL codes: C12, C58, F3, G11, G15
© 2021 Elsevier B.V. This manuscript version is made available under the CC-BY-NC-ND 4.0 License.http://creativecommons.org/licenses/by-nc-nd/4.0/.This is the accepted manuscript version. The formal published version is available at [https://doi.org/10.1016/j.intfin.2021.101415] . This fulltext is available in Sep. 2023. |
| Published Date | 2021-09
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| Publication Title |
Journal of International Financial Markets, Institutions and Money
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| Volume | volume74
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| Publisher | Elsevier
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| Start Page | 101415
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| ISSN | 1042-4431
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| NCID | AA10818219
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| Content Type |
Journal Article
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| language |
English
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| OAI-PMH Set |
岡山大学
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| Copyright Holders | © 2021 Elsevier B.V.
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| File Version | author
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| DOI | |
| Web of Science KeyUT | |
| Related Url | isVersionOf https://doi.org/10.1016/j.intfin.2021.101415
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| License | http://creativecommons.org/licenses/by-nc-nd/4.0/
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| Citation | Joseph P. Byrne, Ryuta Sakemoto, The conditional volatility premium on currency portfolios, Journal of International Financial Markets, Institutions and Money, Volume 74, 2021, 101415, ISSN 1042-4431, https://doi.org/10.1016/j.intfin.2021.101415.
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| Funder Name |
Japan Society for the Promotion of Science
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| 助成番号 | 20K22092
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