16/5/2017

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

ABSTRACT:

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.

http://www.research.mbs.ac.uk/accounting-finance/Portals/0/Users/002/02/2/Global%20Political%20Risk%20and%20Currency%20Momentum%202016.pdf

Time and Place

May 18, 2017

Time: 16.15-18.00

Place: Room 01

More upcoming Seminars 2017:

May 25, 2017

Irina Zviadadze, Swedish House of Finance

June 1, 2017

Penti Saikkonen, University of Helsinki

ALL FINANCE SEMINARS