+44 (0)1509 263171
Please use this identifier to cite or link to this item:
|Title: ||Location, location, location: currency effects and return predictability?|
|Authors: ||Jordan, Steven J.|
Vivian, Andrew J.
Wohar, Mark E.
|Issue Date: ||2015|
|Publisher: ||© Taylor & Francis|
|Citation: ||JORDAN, S., VIVIAN, A. and WOHAR, M., 2015. Location, location, location: currency effects and return predictability? Applied Economics, 47(18), pp. 1883-1898.|
|Abstract: ||Most international financial market studies that compare across countries utilize the US dollar as the common numeraire. We explore the little studied question of the appropriate choice for the base currency and ask if currency choice can affect the final conclusion of whether predictability exists. We provide empirical results for stock return predictability that demonstrate the importance of the numeraire. For example, the existence (absence) of predictability for a US investor does not necessarily imply the existence (absence) of predictability for other foreign investors.|
|Description: ||This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 21/01/2015, available online: http://dx.doi.org/10.1080/00036846.2014.1000537.|
|Version: ||Accepted for publication|
|Publisher Link: ||http://dx.doi.org/10.1080/00036846.2014.1000537|
|Appears in Collections:||Published Articles (Business School)|
Files associated with this item:
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.