This comprehensive research study aims to highlight the evolution of momentum investing
research and identify the mature and emerging themes in momentum investing. This study …

This study investigates the relationship between geopolitical risk (GPR) and currency excess
returns. A zero-cost strategy that buys higher GPR currencies and sells lower GPR …

We construct a sovereign default network by employing high-dimensional vector
autoregressions obtained by analyzing connectedness in sovereign credit default swap …

Using real-time data, we show that currency excess return predictability is in part due to
mispricing. First, the risk-adjusted profitability of systematic trading strategies decreases after …

The role of economic policy uncertainty in the risk transmission between crude oil and stock
market cannot be ignored. However, it is unclear whether economic policy uncertainty …

An important ingredient in economic policy planning both in the public or the private sector is
risk management. In economics and finance, risk manifests through many forms and it is …

This paper shows the cross-sectional and time series momentum in currencies, which
cannot be explained by carry and dollar factors, summarize the autocorrelation of these …

We examine the cross-sectional predictive ability of the Refinitiv Environmental, Social and
Governance (ESG) score for returns in the foreign exchange market, using ESG scores …

Policy uncertainty created by regulatory authorities regarding the blockchain matters for the
initial coin offering (ICO) market. Using an ICO dataset from four major cryptocurrency …

Through an analysis of over 4,000 multinational firms with foreign exchange (FX) exposures
in 44 countries over a 30-year period to 2017, we provide cross-country evidence that …