Konu "Time-varying risk aversion" için İİBF - Makale Koleksiyonu | İşletme Bölümü / Department of Management listeleme
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Time-varying risk aversion and currency excess returns
(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 ...