Event
Kun Ho Kim (Concordia University)
Friday, February 3, 2023 10:00to11:00
Title: Simultaneous Inference of the Efficient Market Hypothesis through a Portfolio-based Approach
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Abstract:听
This study proposes a portfolio-based forward premium regression with time-varying coefficients to conduct simultaneous inference of the efficient market hypothesis.
To this end, we sort individual currencies by their forward premiums to construct portfolios. Our portfolio construction allows us to diversify away currency returns that are orthogonal to changes in the forward premium. The empirical results show much weaker evidence of UIP breakdown for the currency portfolios than for individual currencies. The main implication is that, while currency-specific heterogeneity tends to contribute to generating the forward premium anomaly, one can substantially reduce the effects of heterogeneity through a simple portfolio construction.
Concordia University - Pavillon J.W. McConnell (Library) Building - Concordia (LB) Room/salle: LB 921-4