The underlying literature hypothesises and provides randomised evidence for the positive impact of promoting the broad-based inclusion,empowerment,and representation of women on regional ecosystems.This study seeks to...The underlying literature hypothesises and provides randomised evidence for the positive impact of promoting the broad-based inclusion,empowerment,and representation of women on regional ecosystems.This study seeks to isolate a female agencydriven development factor in external sovereign emerging market debt and finds evidence for superior risk-adjusted returns from tilting towards female agency leaders.We propose the female agency factor as an additional scope in the modern investor’s toolbox of holistic credit assessment,allowing investors to isolate the issuers which are the most effective sovereign transmission mechanisms of sustainable development capital.This contribution to the corpus supports the notion of integrating sustainability factors into portfolio construction and reinforces the argument for supporting femaleled development from a financial markets’perspective.展开更多
We construct a sovereign default network by employing high-dimensional vector autoregressions obtained by analyzing connectedness in sovereign credit default swap markets.We develop four measures of centrality,namely,...We construct a sovereign default network by employing high-dimensional vector autoregressions obtained by analyzing connectedness in sovereign credit default swap markets.We develop four measures of centrality,namely,degree,betweenness,closeness,and eigenvector centralities,to detect whether network properties drive the currency risk premia.We observe that closeness and betweenness centralities can negatively drive currency excess returns but do not exhibit a relationship with forward spread.Thus,our developed network centralities are independent of an unconditional carry trade risk factor.Based on our findings,we develop a trading strategy by taking a long position on peripheral countries’currencies and a short position on core coun-tries’currencies.The aforementioned strategy generates a higher Sharpe ratio than the currency momentum strategy.Our proposed strategy is robust to foreign exchange regimes and the coronavirus disease 2019 pandemic.展开更多
文摘The underlying literature hypothesises and provides randomised evidence for the positive impact of promoting the broad-based inclusion,empowerment,and representation of women on regional ecosystems.This study seeks to isolate a female agencydriven development factor in external sovereign emerging market debt and finds evidence for superior risk-adjusted returns from tilting towards female agency leaders.We propose the female agency factor as an additional scope in the modern investor’s toolbox of holistic credit assessment,allowing investors to isolate the issuers which are the most effective sovereign transmission mechanisms of sustainable development capital.This contribution to the corpus supports the notion of integrating sustainability factors into portfolio construction and reinforces the argument for supporting femaleled development from a financial markets’perspective.
基金supported by the Natural Science Foundation of Guangdong Province,Grant No.2023A1515030221.
文摘We construct a sovereign default network by employing high-dimensional vector autoregressions obtained by analyzing connectedness in sovereign credit default swap markets.We develop four measures of centrality,namely,degree,betweenness,closeness,and eigenvector centralities,to detect whether network properties drive the currency risk premia.We observe that closeness and betweenness centralities can negatively drive currency excess returns but do not exhibit a relationship with forward spread.Thus,our developed network centralities are independent of an unconditional carry trade risk factor.Based on our findings,we develop a trading strategy by taking a long position on peripheral countries’currencies and a short position on core coun-tries’currencies.The aforementioned strategy generates a higher Sharpe ratio than the currency momentum strategy.Our proposed strategy is robust to foreign exchange regimes and the coronavirus disease 2019 pandemic.
