Currency Returns, Intrinsic Value, and Institutional-Investor Flows

By Kenneth A. Froot, Tarun Ramadorai. 2005

275 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d3fafd5e525b5dfdc8a6c47ac3b4c53ad019dc25

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

In Finance

Citations in the corpus

Foreign Safe Asset Demand and the Dollar Exchange Rate (2018, background): “We derive a novel expression for the dollar exchange rate as the expected value of all future interest rate differences and convenience yields less the value of all future currency risk premia, extending the work by Campbell and Clarida (1987); Clarida and Gali (1994); Froot and Ramadorai (2005).”
Institutional Portfolio Flows and International Investments (2008, result): “Our finding that cross-border flows exhibit trend-following (trend-reversing) in response to absolute (relative) return shocks is related to the results in Cohen, Gompers, and Vuolteenaho (2002), and Froot and Ramadorai (2005) despite important differences in methodology and sample.”
How is Macro News Transmitted to Exchange Rates (2008, unknown): “Flows from individual end-user segments in currency markets are addressed in Lyons (2001), Froot and Ramadorai (2005) , and Evans and Lyons (2005), among others.”
Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data (2005, unknown): “9 and 2, with the negative autocorrelations at some weekly and monthly intervals linked to the reduced R(2)s observed at longer horizons in the estimation of equation (1). The findings shown in Figures 1, 2, and 3, are consistent with an interpretation of the association between exchange rate return”
Understanding FX Liquidity (2015, result): “Evidence on the role of capital flows in explaining aggregate movements of FX rates has been documented in several studies, including those by Pavlova and Rigobon (2007), Hau and Rey (2004), and Froot and Ramadorai (2005), but none of the previous papers finds a (systematic) link between capital flo”
Capital Flows, Push versus Pull Factors and the Global Financial Crisis (2012, unknown): “Notable exceptions are Calvet, Campbell and Sodini (2009), Froot and Ramadorai (2005), Hau and Rey (2008), and Jotikasthira, Lundblad, and Ramadorai (2010).”
Countercyclical Currency Risk Premia (2013, unknown): “Froot and Ramadorai (2005) show that much of the exchange rate variation is driven by transitory shocks to expected excess returns.”
Volatility Risk Premia and Exchange Rate Predictability (2016, unknown): “For example, Froot and Ramadorai (2005), Evans and Lyons (2005) and Rime, Sarno, and Sojli (2010) show that order flow has predictive power for exchange rate movements.”
Risk Appetite and Exchange Rates (2010, unknown): “Froot and Ramadorai (2005) show that institutional investor order ow helps explain transitory discount rate news of exchange rates, but not longer term cash ow news.”
ORDER FLOW AND EXCHANGE RATE DYNAMICS: AN APPLICATION TO EMERGING MARKETS (2010, unknown): “See, for example, Carpenter and Wang (2003), Froot and Ramadorai (2005), Evans and Lyons (2005a), Marsh and O’Rourke (2005).”