Investor attention to news on financial integration and currency returns

Ilias Filippou, My T. Nguyen and Mark Taylor

Chapter 3 in Handbook of Financial Integration, 2024, pp 57-73 from Edward Elgar Publishing

Abstract: This chapter examines the economic value of a text-based measure of financial integration. The authors’ attention measure of financial integration is a strong positive predictor of currency excess returns. Specifically, the financial integration measure is positively priced in the cross-section of currency excess returns. Thus, investors require a risk premium for holding currencies with high exposure to financial integration news. The results are robust to alternative test assets, and the financial integration portfolios offer significant alphas when controlling for other currency investment strategies.

Keywords: Economics and Finance (search for similar items in EconPapers)
Date: 2024
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