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UID:20250715T070055EDT-1883HTexIK@132.216.98.100
DTSTAMP:20250715T110055Z
DESCRIPTION:Title: Simultaneous Inference of the Efficient Market Hypothesi
 s through a Portfolio-based Approach\n\n \n\nAbstract: \n\nThis study prop
 oses a portfolio-based forward premium regression with time-varying coeffi
 cients to conduct simultaneous inference of the efficient market hypothesi
 s.\n	\n	To this end\, we sort individual currencies by their forward premium
 s to construct portfolios. Our portfolio construction allows us to diversi
 fy away currency returns that are orthogonal to changes in the forward pre
 mium. The empirical results show much weaker evidence of UIP breakdown for
  the currency portfolios than for individual currencies. The main implicat
 ion is that\, while currency-specific heterogeneity tends to contribute to
  generating the forward premium anomaly\, one can substantially reduce the
  effects of heterogeneity through a simple portfolio construction.\n\nConc
 ordia University - Pavillon J.W. McConnell (Library) Building - Concordia 
 (LB) Room/salle: LB 921-4\n
DTSTART:20230203T150000Z
DTEND:20230203T160000Z
SUMMARY:Kun Ho Kim (Concordia University)
URL:/mathstat/channels/event/kun-ho-kim-concordia-univ
 ersity-345740
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