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• W3191496317 abstract "Chapter 1: What Flows Around Comes Around:Mean Reversion and Portfolio FlowsThis paper investigates mean reversion properties of real effective exchange rates (REERs)using a semi-parametric quantile autoregression approach. This method accounts for nonnormalityand captures asymmetric and dynamic adjustments towards the REER’s long runequilibrium, conditional on the size of the shock to the REER. Due to the nonstandard limitingdistribution of our tests, we apply a resampling procedure for robust inference. Usinga sample of 29 countries over the period 1980–2017, we indeed show that the REER featuresnon-linear mean-reverting tendencies following large shocks. The REER adjusts dynamicallyand asymmetrically towards its long run equilibrium, conditional on the size of the shock. Wefind half-lives of less than one year in some cases for the most extreme quantiles. Additionally,panel regressions indicate that this behavior can be explained by portfolio flows. Largedeviations in the REER from its long run mean are followed by debt portfolio flows from internationalinvestors. These flows are associated with an appreciation in the REER, conditionalon the level of deviation and the shocks incurred, leading to faster mean reversion in REERs.In the most extreme quantile, the flows move the REER back towards its mean by 1.78% permonth.Chapter 2: Understanding Volatility-ManagedPortfoliosContrary to the intuition that the standard risk-return tradeoff should lead to underperformanceof a portfolio that scales down exposure during volatile periods a recent paper by Moreiraand Muir (2017) actually shows that volatility-managed portfolios produce robust andsignificant alphas. The present paper investigates the mechanisms that lead to the outperformanceof volatility management. By implementing timing regressions and relating returnsof a volatility-managed portfolio to discount-rate, cash-flow and expected volatility news weprovide evidence that volatility management outperforms by levering up good times withoutincreasing downside exposure to fundamental risk drivers. On the contrary, during the mostsevere cumulative news shocks (either to cash flows, discount rates or expected volatility) thescaling strategy suffers less than the buy-and-hold portfolio and, thus, increases investor utility.Furthermore, we relate volatility-managed strategies to popular timing strategies basedon a measure of risk-neutral variance as a lower bound for the expected equity risk premium.We find that strategies that combine elements from both, volatility management and timingbased on risk-neutral variance, outperform over a recent sample period and produce significantalphas in spanning regressions, posing further puzzles for the asset pricing literature.Chapter 3: Analyst Forecasts and Currency MarketsI examine the forecasting performance, directional accuracy, rationality and economic valueof analyst forecasts and characteristics of investment portfolios built from these forecasts for30 currency pairs from 2006 to 2020. My results show that analyst forecasts perform worsethan forecasts based on a random walk and forward rates and that they are biased and donot provide significant economic value to investors. Forecasts from global systemically importantbanks do not differ from non-systemically important banks in terms of forecasting ability.Median forecasts may strongly deviate from market expectations, while analyst forecast dispersionis positively associated with future currency returns. Portfolios built from analystforecasts tend to strongly underperform the dollar factor, value, carry and momentum portfoliosand are spanned by them. My findings indicate that expected returns extracted fromanalyst forecasts are negatively related to realized excess returns in FX markets and thus contributeto the literature on survey-based returns in asset pricing." @default.
• W3191496317 created "2021-08-16" @default.
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• W3191496317 date "2021-05-04" @default.
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• W3191496317 title "Essays in Financial Economics" @default.
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