Conditional Risk Premia in Currency Markets and Other Asset Classes

By Martin Lettau, Matteo Maggiori, Michael Weber. 2014

364 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/83951877bdbfb4e7003780a76f6183a4f9c7865e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Jesse Schreger
2. Alan Moreira
3. Tyler Muir
4. Wenxin Du

In Finance

1. Alan Moreira
2. Jesse Schreger
3. Tyler Muir
4. Wenxin Du

Citations in the corpus

• Intermediary Asset Pricing: New Evidence from Many Asset Classes (2017, neutral): “Tyler Muir at faculty.som.yale.edu/tylermuir/LEVERAGEFACTORDATA _ 001. txt , which ends in 2009. 38 See Lettau, Ludvigson and Ma (2017) for more on the momentum undervalue puzzle.”
• Local Currency Sovereign Risk (2013, positive): “First, our primary contribution is to present a set of new stylized facts about the LC sovereign risk, contributing to work by Reinhart and Rogoff (2011) on domestic defaults and earlier work by Burger and Warnock (2007) and Burger, Warnock, and Warnock (2012) on pricing the LC debt using bond retur”
• Volatility‐Managed Portfolios (2017, positive): “In the Appendix we show that our strategy works across 20 OECD stock market indices, that it can be further improved through the use of more sophisticated models of variance forecasting, that it does not generate fatter left tails than the original factors or create option-like payoffs, that it is l”
• The Share of Systematic Variation in Bilateral Exchange Rates (2018, neutral): “The findings in the current paper are, however, different from those of Lustig et al. (2011), which pertain to cross-sectional differences in interest rates (i.”
• Trade Network Centrality and Currency Risk Premia (2019, neutral): “Lettau et al. (2014) show that the cross-section of currency returns can be priced by a model of downside risk.”
• Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns (2014, neutral): “…empirical evidence of increased cross-asset correlations for higher (in an absolute sense) returns showed in Ang and Chen (2002), among many others, indirectly suggest nonzero systematic jump risk, as do the downside risk asset pricing model recently explored by Lettau, Maggiori, and Weber (2014).”