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Location, location, location: currency effects and return predictability?

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journal contribution
posted on 22.06.2016 by Steven J. Jordan, Andrew Vivian, Mark Wohar
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.

History

School

  • Business and Economics

Department

  • Business

Published in

Applied Economics

Citation

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 & Francis

Version

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

2015

Notes

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

0003-6846

eISSN

1466-4283

Language

en

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