Publication Type
PhD Dissertation
Version
publishedVersion
Publication Date
7-2018
Abstract
This thesis consists of three chapters. In Chapter1, I show that returns to currency carry and momentum strategies are compensations for the risk of US monetary policy uncertainty (MPU), with risk exposures explaining 96% of their cross-sectional return variations. The findings are consistent with an intermediary-based exchange rate model. Higher MPU triggers position unwinding by the intermediary, which decreases there turns of currency with high-interest rate or appreciation, while that with low-interest rate or depreciation earns positive returns. Different responses stem from the long and short behavior of the intermediary. The explanatory power of US MPU risk is robust and unrelated to commonly used risk factors.
Keywords
Currency carry and momentum, Intermediary, Inflation risk and ambiguity, stock return predictability, cross-section of stock returns
Degree Awarded
PhD in Economics
Discipline
Finance | Growth and Development
Supervisor(s)
YU, Jun
First Page
1
Last Page
193
Publisher
Singapore Management University
City or Country
Singapore
Citation
ZENG, Ming.
Three essays on empirical asset pricing. (2018). 1-193.
Available at: https://ink.library.smu.edu.sg/etd_coll/152
Copyright Owner and License
Author
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.