Pricing currency risks

M Chernov, M Dahlquist, L Lochstoer - The Journal of Finance, 2023 - Wiley Online Library
The currency market features a small cross‐section, and conditional expected returns can
be characterized by few signals: interest differential, trend, and mean reversion. We exploit …

An anatomy of currency strategies: The role of emerging markets

M Chernov, M Dahlquist, LA Lochstoer - 2024 - nber.org
We show that a small set of emerging markets with floating exchange rates expand the
investment frontier substantially relative to G10 currencies. The frontier is characterized by …

Liquidity Risk and Currency Premia

P Söderlind, F Somogyi - Management Science, 2025 - pubsonline.informs.org
The currency market is the world's largest financial market by trading volume. We show that
even in this highly liquid market, exposure to liquidity risk commands an economically …

[PDF][PDF] The geography of exchange rate disconnect

G Bakshi, J Crosby, X Gao - Available at SSRN 3763550, 2020 - papers.ssrn.com
The Geography of Exchange Rate Disconnect Page 1 The Geography of Exchange Rate
Disconnect Gurdip Bakshi1, John Crosby2, and **aohui Gao3 1Fox School of Business …