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Location, location, location: currency effects and return predictability?
journal contribution
posted on 2016-06-22, 08:44 authored by Steven J. Jordan, Andrew VivianAndrew Vivian, Mark WoharMost 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.
History
School
- Business and Economics
Department
- Business
Published in
Applied EconomicsCitation
JORDAN, S., VIVIAN, A. and WOHAR, M., 2015. Location, location, location: currency effects and return predictability? Applied Economics, 47(18), pp. 1883-1898.Publisher
© Taylor & FrancisVersion
- AM (Accepted Manuscript)
Publisher statement
This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/Publication date
2015Notes
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.ISSN
0003-6846eISSN
1466-4283Publisher version
Language
- en