Research
Links
Research Interests
Empirical Asset Pricing
International Finance
Monetary Policy and Asset Prices
Current Working Papers
Global Bank Lending and Exchange Rates
(with J. Becker and A. Schrimpf)
Passive Investing and Market Quality
(with P. Höfler and C. Schlag)
Crypto Carry
(with A. Schrimpf and K. Todorov)
Deciphering Monetary Policy Shocks
(with P. Gnan, M. Schleritzko and C. Wagner)
Published and Accepted Papers (selected)
What Moves Markets?
(with Mark Kerssenfischer)
Journal of Monetary Economics (forthcoming)
Macro news event database (csv) | Overview of event database
Does Central Bank Tone Move Asset Prices?
(with Christian Wagner)
Journal of Financial and Quantitative Analysis (forthcoming)
Monetary Policy Expectation Errors
(with Sigurd Steffensen and Andreas Schrimpf)
Journal of Financial Economics 146 (2022), 841-858
Short-term Momentum
(with Mamdouh Medhat)
Review of Financial Studies 35 (2022), 1480-1526
Exchange Rates and Sovereign Risk
(with Pasquale Della Corte, Lucio Sarno, and Christian Wagner)
Management Science 68 (2022), 5557-6354
The FOMC Risk Shift
(with Tim Kroencke and Andreas Schrimpf)
Journal of Monetary Economics 120 (2021), 21-39
Currency Value
(with Lukas Menkhoff, Lucio Sarno, and Andreas Schrimpf)
Review of Financial Studies 30 (2017), 416-441
Capital Market Integration and Consumption Risk Sharing over the Long-Run
(with Jesper Rangvid and Pedro Santa-Clara)
Journal of International Economics 103 (2016), 27-43
Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades
(with Lukas Menkhoff, Lucio Sarno, and Andreas Schrimpf)
Journal of Finance 71 (2016), 601-634
Dividend Predictability Around the World
(joint with Jesper Rangvid and Andreas Schrimpf)
Journal of Financial and Quantitative Analysis 49 (2014), 1255-1277
Currency Momentum Strategies
(with L. Menkhoff, L. Sarno, and A. Schrimpf)
Journal of Financial Economics 106 (2012), 660-684
Coverage in the Financial Times, Wall Street Journal, CNBC.com
A Comprehensive Look at Financial Volatility Prediction by Economic Variables
(with C. Christiansen and A. Schrimpf)
Journal of Applied Econometrics 27 (2012), 956-977
Carry Trades and Global Foreign Exchange Volatility
(with Lukas Menkhoff, Lucio Sarno, and Andreas Schrimpf)
Journal of Finance 67 (2012), 681-718
Coverage: Wall Street Journal
Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book
(joint with Michael Melvin and Lukas Menkhoff)
Journal of International Economics 79 (2009), 54-63
Earlier version: here
Investor Sentiment and Stock Returns: Some International Evidence
Journal of Empirical Finance 16 (2009), 394-408
Permanent Working Papers
Dissecting Announcement Returns
(with Mamdouh Medhat)
Permanent Working Paper
Common Factors, Order Flows, and Exchange Rate Dynamics
(with V. Fourel, D. Rime, L. Sarno, and A. Verdelhan)
Global Asset Allocation Shifts
(with Tim Kröncke and Andreas Schrimpf)
Other Writings
Was bewegt die Märkte?
(with M. Kerssenfischer)
Bundesbank Research Brief, 15 August 2022
Deciphering Monetary Policy Shocks
(with P. Gnan, M. Schleritzko and C. Wagner)
Default Expectations and Currency Movements
(with P. Della Corte, L. Sarno and C. Wagner)
Central Bank Tone Moves Asset Prices
(with Christian Wagner)
Carry Trades and Global Foreign Exchange Volatility
(with L. Menkhoff, L. Sarno, and A. Schrimpf)
FAMe Magazine, 2014, 1
Limits to currency momentum trading
(with L. Menkhoff, L. Sarno, and A. Schrimpf)
The risk in carry trades
(with L. Menkhoff, L. Sarno, and A. Schrimpf)
Rendite und Risiko von Carry Trade Strategien auf Devisenmärkten
(with A. Schrimpf)
ZEW Wachstums- und Konjunkturanalysen, September 2009, p. 10/11.