作者:Jiang, X (Jiang, Xue)[ 1 ] ; Han, LY (Han, Liyan)[ 1 ] ; Yin, LB (Yin, Libo)[ 2 ]
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
卷: 48
页: 628-641
DOI: 10.1016/j.najef.2018.07.018
出版年: APR 2019
文献类型:Article
摘要
This paper investigates whether the skewness of returns is informative about future currency excess returns. We first conduct portfolio-level analyses with and without control variables, such as volatility, liquidity and global foreign exchange (FX) volatility risk. Then, we run regressions at the currency level to examine the predictive ability of skewness. The empirical results indicate a positive and significant relationship between skewness and future currency excess returns. We then compare the skewness strategy with the traditional carry trade and find that skewness still matters after excluding the effects of the carry trade. Our empirical findings are robust to sub samples (emerging, non-Euro and Group of Twenty economies) and different business cycle states. Finally, we find that skewness strategies cannot be enhanced by considering information about currency regimes.
关键词
作者关键词:Skewness; Currency excess returns; Carry trade; Time-series test; Cross-sectional tests
KeyWords Plus:COMMON RISK-FACTORS; CROSS-SECTION; EQUILIBRIUM; PREMIA; STOCKS; INVESTMENT; VOLATILITY; PREFERENCE; LOTTERIES
作者信息
通讯作者地址:
Central University of Finance & Economics Cent Univ Finance & Econ, Sch Finance, 39 South Coll Rd, Beijing 100081, Peoples R China.
通讯作者地址: Yin, LB (通讯作者)
Cent Univ Finance & Econ, Sch Finance, 39 South Coll Rd, Beijing 100081, Peoples R China.
地址:
[ 1 ]Beihang Univ, Sch Econ & Management, Beijing, Peoples R China
[ 2 ]Cent Univ Finance & Econ, Sch Finance, 39 South Coll Rd, Beijing 100081, Peoples R China
电子邮件地址:yinlibowsxbb@126.com
