Market news co-moments and currency returns

被引：0
|
作者：
Mohammadreza Tavakoli Baghdadabad
Girijasankar Mallik
机构：
[1] Australian National Institute of Management and Commerce (IMC),
[2] Business School,undefined
[3] Western Sydney University,undefined
来源：
Empirical Economics | 2021年 / 61卷
关键词：
Market news; Cash-flow; Discount rate; Risk co-moments; G12; G32;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We propose three co-moments of the market returns’ cash-flow, and discount-rate shocks and examine empirically an intertemporal capital asset pricing model using the co-moments on currency returns as well as stock returns during Dec. 1983 to Dec. 2017. We find that our proposed model has explanatory power for both currency and stock portfolios. We find several common sources of market risk in currency and stock returns that are reflected in market news. Our findings show that the co-moments are related to currency risk premiums and outperform the well-known liquidity, dollar and HML risk factors.
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页码：1819 / 1863
页数：44
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