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- catalog abstract "We explore the interaction between exchange rates, institutional investor currency flows and exchange-rate fundamentals. We find that these flows are highly correlated with contemporaneous and lagged exchange rate changes, and that they carry information for future excess currency returns. This information, however, is not strongly linked to future fundamentals. Flows are important in understanding transitory elements of excess returns, which include short-run underreaction and long-run overreaction. However, flows have a zero or negative correlation with permanent components of excess returns. We find that measured fundamentals not flows seem important in understanding permanent elements of excess returns. We conclude that investor flows are important for understanding deviations of exchange rates from fundamentals, but not for understanding the long-run currency values.".
- catalog contributor b12944169.
- catalog contributor b12944170.
- catalog contributor b12944171.
- catalog created "c2003.".
- catalog date "2003".
- catalog date "c2003.".
- catalog dateCopyrighted "c2003.".
- catalog description "Includes bibliographical references.".
- catalog description "We explore the interaction between exchange rates, institutional investor currency flows and exchange-rate fundamentals. We find that these flows are highly correlated with contemporaneous and lagged exchange rate changes, and that they carry information for future excess currency returns. This information, however, is not strongly linked to future fundamentals. Flows are important in understanding transitory elements of excess returns, which include short-run underreaction and long-run overreaction. However, flows have a zero or negative correlation with permanent components of excess returns. We find that measured fundamentals not flows seem important in understanding permanent elements of excess returns. We conclude that investor flows are important for understanding deviations of exchange rates from fundamentals, but not for understanding the long-run currency values.".
- catalog extent "47 p. :".
- catalog isPartOf "Working paper (Harvard Business School. Division of Research) ; 03-008.".
- catalog isPartOf "Working paper / Division of Research, Harvard Business School ; 03-008".
- catalog issued "2003".
- catalog issued "c2003.".
- catalog language "eng".
- catalog publisher "[Boston] : Division of Research, Harvard Business School,".
- catalog subject "Foreign exchange market.".
- catalog subject "Foreign exchange rates.".
- catalog subject "Institutional investments.".
- catalog subject "Rate of return.".
- catalog title "Currency returns, institutional investor flows, and exchange rate fundamentals / Kenneth A. Froot and Tarun Ramadorai.".
- catalog type "text".