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

Copyright Owner and License

Author

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