Currency Returns, Intrinsic Value, And Institutional - Investor Flows  

Oleh:

Froot, Kenneth A. ; Ramadorai, Tarun

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 60 no. 3 (Jun. 2005), page 1535-1566.
Topik: CURRENCY BOARD; currencies; studies; foreign exchange rates; return on investment
Fulltext: p 1535.pdf (288.26KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We decompose currency returns into (permanent) intrinsic - value shocks and (transitory) expected - return shocks. We explore interactions between these shocks, currency returns, and institutional - investor currency flows. Intrinsic - value shocks are : dwarfed by expected - return shocks (yet currency returns overreact to them), unrelated to flows (although expected return - shocks correlate with flows), and related positively to forecasted cumulated - interest differentials. These results suggest flows are related to short - term currency returns, while fundamentals better explain long - term returns and values. They also rationalize the long - observed poor performance of exchange - rate models : by ignoring the distinction between permanent and transitory exchange - rate changes, prior tests obscure the connection between currencies and fundamentals.

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