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- W3105616648 abstract "We uncover a novel source of currency return predictability stemming from cross-border merger and acquisition (M&A) activity: abnormally large M&A inflows lead exchange rate appreciations, while depreciations follow unusually large M&A outflows. We show that a simple cross-sectional currency strategy exploiting this predictability generates a Sharpe ratio of over 0.70 and is orthogonal to existing currency strategies. The portfolio weights are found to coincide with local extremes in macroeconomic fundamentals: countries experiencing the largest abnormal M&A outflows are growing most above their economic growth trend - a pattern that reverses following portfolio formation - while the opposite reversal in macroeconomic fundamentals is observed in countries experiencing unusually large M&A inflows." @default.
- W3105616648 created "2020-11-23" @default.
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- W3105616648 date "2020-01-01" @default.
- W3105616648 modified "2023-09-23" @default.
- W3105616648 title "Cross-Border M&A and Currency Returns" @default.
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- W3105616648 doi "https://doi.org/10.2139/ssrn.3711715" @default.
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