Common risk factors in currency markets

"Currency excess returns are highly predictable, more than stock returns, and about as much as bond returns. In addition, these predicted excess returns are strongly counter-cyclical. The average excess returns on low interest rate currencies are 4.8 percent per annum smaller than those on hi...

Ausführliche Beschreibung

Bibliographische Detailangaben

1. Verfasser:	Lustig, Hanno (VerfasserIn)
Weitere Verfasser:	Roussanov, Nikolai (VerfasserIn), Verdelhan, Adrien (VerfasserIn)
Format:	UnknownFormat
Sprache:	eng
Veröffentlicht:	Cambridge, Mass. National Bureau of Economic Research 2008
Schriftenreihe:	NBER working paper series 14082
Schlagworte:	1983-2008 > Devisenmarkt > Kapitaleinkommen > Zinsrisiko > Risikoprämie > Welt > Arbeitspapier > Graue Literatur
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