We examine 24 global factor premiums across equity, bond, commodity, and currency
markets via replication and out-of-sample evidence between 1800 and 2016. Replication …

In this paper we derive a new model on exchange rate response to a lasting higher interest
rate level. Contemporary models do not provide a convincing explanation for this …

Uncovered interest rate parity (UIP) is a theoretical relation linking changes in exchange
rates and corresponding interest rate differentials. Despite its considerable intellectual …

This article explores the risks and returns to currency speculation during the 1920s and
1930s. We study the performance of two well-known technical trading strategies (carry and …

The literature on cross-sectional stock return predictability has documented over 450 factors.
We take the perspective of an institutional investor and navigate this zoo of factors by …

Features trading strategies for a variety of asset classes and trading styles including stocks,
options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles …

This paper is the second of a two-part series that provides essential context for any serious
study of alternative risk premium (ARP) strategies. Practitioners uniformly emphasize the …

This study exploits a new long-run data set of daily bid and offered exchange rates in spot
and forward markets from 1919 to the present to analyze carry returns in fixed and floating …

This paper uses 15‐minute exchange rate returns data for the six most liquid currencies (ie,
the Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, and Swiss franc) …

We document the existence of excess returns to naïve currency trading strategies during the
emergence of the modern foreign exchange market in the 1920s and 1930s. This era of …