The Department of Banking and Financial Management announces the upcoming seminar with Prof. Ilias Filippou, University of Warwick.
Ilias Filippou will present:
Global Political Risk and Currency Momentum
Using a measure of global political risk, relative to the U.S., that captures unexpected political conditions, we show that political risk is priced in the cross section of currency momentum and contains information beyond other risk factors. Our results are robust after controlling for transaction costs, reversals and alternative limits to arbitrage. The global political environment a↵ects the profitability of the momentum strategy in the foreign exchange market; investors following such strategies are compensated for the exposure to the global political risk of those currencies they hold, i.e., the past winners, and exploit the lower returns of loser portfolios.
Time and Place
May 18, 2017
Place: Room 01
More upcoming Seminars 2017:
May 25, 2017
Irina Zviadadze, Swedish House of Finance
June 1, 2017
Penti Saikkonen, University of Helsinki