Browsing İİBF - Makale Koleksiyonu | İşletme Bölümü / Department of Management by Citation "Demirer, R., Yüksel, A. & Yüksel, S. A. (2022). Time-varying risk aversion and currency excess returns. Research in International Business and Finance, 59, 1-15. doi:10.1016/j.ribaf.2021.101555"
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(Elsevier Ltd, 2022-01)This paper documents an economically significant risk premium associated with a currency's sensitivity to time-varying risk aversion. Consequently, an investment strategy that takes a long (short) position in currencies ...